Re: [Gretl-users] Standard error for confidence intervals
On Viernes, 16 de Octubre de 2009 12:35:09 Francisco Sosa escribió:
I understand the concept, but:
I have and AR(1), Prais-Winsten transformation, and I have seen that the
error should be E(t)=rho*E(t-1)+U(t) (Please let me know if I am wrong). I
assume that U(t) is the standard error of the regression, and E(t) is the
error in T, for example:
But, why are you using Prais-Winsten to estimate an AR(1)? or am I loosing
something?
You can estimate an AR(1) directly by OLS or using the arima command of gretl.
Is your model Y_t=const+\phi Y_{t-1}+\eps_t or is it
Y_t=alpha+beta X_t + E_t
with E_t=rho*E_(t-1)+U_t?
This last is the model that the Prais-Winsten estimator is for.
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