On Wed, 15 Feb 2017, T.Riedle wrote:
Dear all,
I want to run a regression using lm() with Newey West corrected standard errors.
This is the code
Reg<-lm(g~sent + liquidity + Cape, data=dataUsa)
CoefNW<-coeftest(Reg, vcov.=NeweyWest)
CoefNW
In contrast to summary(Reg) the output of CoefNW neither returns the
adjusted R squared nor the F-statistic. How can I obtain the R squared
for coeftest? Alternatively, how do I get robust standard errors and the
R squared of the regression?
The adjusted analogue to the F statistic can be obtained by
waldtest(Reg, vcov = NeweyWest)
For the R-squared there is no appropriate quantity with analogous
properties. Hence nothing is provided in the package.
Thanks for your help.
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______________________________________________
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PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
