Prais-Winsten regression maintains valid inference under AR2 and AR3 errors in MG-ITSA simulations, while Newey-West shows inflated type I error rates up to 57% and coverage as low as 45%.
Applied Econometric Time Series
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Multiple-group (Controlled) Interrupted Time Series Analysis with Higher-Order Autoregressive Errors: A Simulation Study Comparing Newey-West and Prais-Winsten Methods
Prais-Winsten regression maintains valid inference under AR2 and AR3 errors in MG-ITSA simulations, while Newey-West shows inflated type I error rates up to 57% and coverage as low as 45%.