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GLSAR incorrect initial condition in whiten #62
Original Launchpad bug 434420: https://bugs.launchpad.net/statsmodels/+bug/434420
I started to verify GLSAR against a matlab implementation, and found
Shortening the arrays during whitening also will require a
The alternative, that I have used in some other code is that the
e.g. in Model
(written from memory, not tested for syntax errors)
I tried it but this doesn't work in this case because wendog is not known yet in init of GLS class.
Never trust any code that hasn't been tested.
I have a correction that reproduces the comparison results for given rho (checked for params, bse and tstatistic), but convergence in iterative_fit is not completely the same. Difference in 3rd decimal. Need to check some more but will commit tomorrow.