>> Actually my model is:
>>
>> Y'_t=alpha+beta X'_t + E_t
>>
>> When Y'_t= Y_t - rho*Y_t-1 and X'_t= X_t - rho*X_t-1.
>>
>> And E_t=rho*E_(t-1)+U_t is the standard formula for one AR(1).
>>
>> Prais-Winsten is an improvement of the algorithm for estimating
>regressions
>> (AR(1)) in the present of autocorrelated errors, I guess I have to do
>> something else to calculate the E_t+h, I need the variance to calculate
>the
>> confidence interval.
>Prais-Winsten is a type of feasible GLS estimator. I don't know the formula
>...
>predictable portion of an AR error term:
>
> u_t = r1 u_{t-1} + r2 u_{t-1} + ... + e_t
>
> where e_t is white noise. The forecasts are based on the
>...
> dependent variable as regressors.
*/
Many thanks for your answer Ignacio, I already saw this formula in the help
(u_t = r1 u_{t-1} + r2 u_{t-1} + ... + e_t), it's the same as
E_t=rho*E_(t-1)+U_t, just different letters, one of my thoughts is that I
was using a different rho, or something else, but I tried many things but
none of the worked. That's why I am bit eager to know the formula.
Regards
