statsmodels.regression.linear_model.GLSAR.iterative_fit

GLSAR.iterative_fit(maxiter=3, rtol=0.0001, **kwargs)[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 iteratively.

Parameters:
maxiterint, optional

The number of iterations.

rtolfloat, optional

Relative tolerance between estimated coefficients to stop the estimation. Stops if max(abs(last - current) / abs(last)) < rtol.

**kwargs

Additional keyword arguments passed to fit.

Returns:
RegressionResults

The results computed using an iterative fit.


Last update: May 14, 2024