statsmodels.regression.linear_model.GLSAR.iterative_fit

method

GLSAR.iterative_fit(maxiter=3, rtol=0.0001, **kwds)

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

maxiterinteger, 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