The Cochrane-Orcutt procedure:

**One note**: In step 5 when it says to use the estimated betas
obtained in step 4 in equation (9.5), this means to go back to the
origanal equation (9.5) and find u_{t} = Y_{t} - b_{1} - b_{2}X_{2t} - ... - b_{k}X_{kt} where the b's are the estimated betas using the transformed ("starred") variables in step 4. However, be careful about obtaining the value of b_{1}. Note from above in equation (9.9) that you have to divide the estimate of the constant from the regression involving the "starred" values by 1-ρ in order to obtain b_{1}.

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