There is no available Prais–Winsten algorithm for regression with AR(2) or higher order errors, and the one with AR(1) errors is not fully justified or is implemented incorrectly (thus being inefficient). This paper addresses both issues, providing an accurate, computationally fast, and inexpensive generic zig-zag algorithm.
Correction to: São Paulo City is getting 2 °C hotter in the last 50 years: regression model with autoregressive errors or with lagged temperatures?