GLSAR.iterative_fit()

statsmodels.regression.linear_model.GLSAR.iterative_fit

GLSAR.iterative_fit(maxiter=3, rtol=0.0001, **kwds) [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:	maxiter : integer, optional the number of iterations rtol : float, optional Relative tolerance between estimated coefficients to stop the estimation. Stops if max(abs(last - current) / abs(last)) < rtol