wrho: Creating a new design matrix for Durbin stage 2
Description
It returns a new design matrix for Durbin stage 2.
Usage
wrho(xc, adjphi)
Arguments
xc
centered design matrix, no column of ones
adjphi
(initial) estimate of rho in Durbin stage 1
Details
see reference.
References
McKnight, S. D., McKean, J. W., and Huitema, B. E. (2000). A double bootstrap method
to analyze linear models with autoregressive error terms. Psychological methods,
5 (1), 87.
Shaofeng Zhang (2017). Ph.D. Dissertation.