Prais–Winsten estimation

In econometrics, Prais–Winsten estimation is a procedure meant to take care of the serial correlation of type AR(1) in a linear model. Conceived by Sigbert Prais and Christopher Winsten in 1954, it is a modification of Cochrane–Orcutt estimation in the sense that it does not lose the first observation, which leads to more efficiency as a result and makes it a special case of feasible generalized least squares. In econometrics, Prais–Winsten estimation is a procedure meant to take care of the serial correlation of type AR(1) in a linear model. Conceived by Sigbert Prais and Christopher Winsten in 1954, it is a modification of Cochrane–Orcutt estimation in the sense that it does not lose the first observation, which leads to more efficiency as a result and makes it a special case of feasible generalized least squares.