wrho {DBfit}

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.

Note

This function is for internal use. The main function for users is dbfit.

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.