Iterations in the Cochrane-Orcutt method for AR(1)should be continued until
A) $\hat { \rho } = 0 .$
B) $\hat { \rho } = \rho .$
C) $\hat { \rho }$ changes by .05 between iterations.
D) $\hat { \rho }$ is stable between iterations.

Question

Quizplus · Accepted Answer

The Cochrane-Orcutt method for AR(1) requires iterations to estimate the autocorrelation parameter, $\rho$. The iterations should continue until the estimated autocorrelation parameter $\hat{\rho}$ becomes stable, which means that it does not change significantly between iterations. Therefore, the best choice for determining when to stop the iterations is D, where $\hat{\rho}$ is stable between iterations.

Iterations in the Cochrane-Orcutt Method for AR(1)should Be Continued Until ρ^=0.\hat { \rho } = 0 .ρ^​=0.

Iterations in the Cochrane-Orcutt Method for AR(1)should Be Continued Until $\hat { \rho } = 0 .$