So sánh phương pháp

	Mô hình Tự hồi quy (AR)	Tổng bình phương nhỏ nhất tổng quát mạnh mẽ (Robust GLS)
Lĩnh vực	Kinh tế lượng	Kinh tế lượng
Họ	Regression model	Regression model
Năm ra đời	1970s (popularised 1976)	1936 / 1980
Người khởi xướng	George E. P. Box and Gwilym M. Jenkins	Aitken (GLS theory, 1936); White (robust covariance, 1980)
Loại	Time series model	Robust linear regression
Công trình gốc	Box, G. E. P., & Jenkins, G. M. (1976). Time Series Analysis: Forecasting and Control (revised ed.). Holden-Day. ISBN: 978-0816211043	Greene, W. H. (2012). Econometric Analysis (7th ed.). Pearson. Chapter 9: The Generalized Regression Model and Heteroscedasticity. ISBN: 978-0131395381
Tên gọi khác	AR model, AR(p) model, autoregression, AR process	robust generalized least squares, GLS with robust standard errors, heteroscedasticity-consistent GLS, HC-GLS
Liên quan	6	5
Tóm tắt	An autoregressive model of order p — AR(p) — expresses the current value of a time series as a linear function of its own p most recent past values plus a white-noise error. It is the building block of the Box-Jenkins family of time-series models and is widely used for forecasting stationary economic and financial series.	Robust GLS extends classical Generalized Least Squares by pairing GLS coefficient estimation with heteroscedasticity- and autocorrelation-consistent (HAC) standard errors, or by using M-estimation within the GLS framework. It corrects for non-spherical errors — heteroscedasticity, autocorrelation, or both — while also guarding inference against misspecification of the error covariance structure.