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.