Method | Autocorrelation adjustment |
---|---|
Ordinary Least Squares | None |
 | Newey-West SE adjustment (lag-1) |
Generalised least squares | Prais-Winsten |
Restricted maximum likelihood | Lag-1 autocorrelation |
 | Lag-1 autocorrelation with small sample Satterthwaite approximation |
Autoregressive integrated moving average | Lag-1 autocorrelation (i.e. ARIMA(1,0,0)) |