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scikits.statsmodels.regression.linear_model.GLSAR.iterative_fit

GLSAR.iterative_fit(maxiter=3)[source]

Perform an iterative two-stage procedure to estimate a GLS model.

The model is assumed to have AR(p) errors, AR(p) parameters and regression coefficients are estimated simultaneously.

Parameters :

maxiter : integer, optional

the number of iterations

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