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It feels somehow wrong to me that Prais-Winston was published in 1954 while Newey-West was published in 1986...
It feels somehow wrong to me that Prais-Winston was published in 1954 while Newey-West was published in 1986...
Newey always feels like a bit of a lazy cop-out to me (Although I do still use it):
Yeah, we know OLS doesn& #39;t work real well with autocorrelation, but we& #39;ll just tweak the standard errors using some matrix algebra and everything will be fine.
Yeah, we know OLS doesn& #39;t work real well with autocorrelation, but we& #39;ll just tweak the standard errors using some matrix algebra and everything will be fine.
Whereas Prais "feels" more responsible:
Quasi-difference the whole damn model. Oh and here is a (sort of sophisticated) way to come up with an efficient AR(1) parameter so you don& #39;t have to drop an observation.
Quasi-difference the whole damn model. Oh and here is a (sort of sophisticated) way to come up with an efficient AR(1) parameter so you don& #39;t have to drop an observation.
If @Chris_Auld has any problems with this thread I want you all to know it& #39;s a big joke and I totally meant to misunderstand whatever it is I misunderstood.
