Abstract
An exact transformation that reduces the AR(p) process into white noise is well known in statistics, see Fuller (1976). However, practitioners still use and econometric textbooks still recommend the Cochrane-Orcutt procedure for p>2, see Greene (1990). This paper derives an alternative exact transformation for the AR(p) process which is computationally simple. Based on this transformation, a GLS estimator is proposed, requiring only least squares regressions and recursive computations. This is illustrated for the AR(3) case.
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