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Prais-Winsten

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Definition: The Prais-Winsten transformation is an improvement to the original Cochrane-Orcutt algorithm for estimating time series regressions in the presence of autocorrelated errors. The implicit reference is to Prais-Winsten (1954).

The Prais-Winsten tranformation makes it possible to include the first observation in the estimation.

(Econterms)

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