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
maxiter : int, 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.
**kwargs
Additional keyword arguments passed to fit.
- Returns
RegressionResults
The results computed using an iterative fit.