Re: [R] Newey-West and SUR regression models

2007-10-30 Thread Markus Jäntti
Achim Zeileis wrote: > On Fri, 26 Oct 2007, Richard Saba wrote: > >> Is anyone aware of a procedure to apply Newey-West corrections for >> autocorrelation to a SUR regression model? The SANDWICH package seems to be >> applicable only to LM or GLM models. > > No, "sandwich" is applicable to any es

Re: [R] Newey-West and SUR regression models

2007-10-29 Thread Achim Zeileis
On Fri, 26 Oct 2007, Richard Saba wrote: > Is anyone aware of a procedure to apply Newey-West corrections for > autocorrelation to a SUR regression model? The SANDWICH package seems to be > applicable only to LM or GLM models. No, "sandwich" is applicable to any estimating function-based model, p

[R] Newey-West and SUR regression models

2007-10-26 Thread Richard Saba
Is anyone aware of a procedure to apply Newey-West corrections for autocorrelation to a SUR regression model? The SANDWICH package seems to be applicable only to LM or GLM models. Thanks, Richard Saba Department of Economics Auburn University Email: [EMAIL PROTECTED] _