Newey West HAC-errors for panels
On Sat, 22 Jan 2011, Dirk Heine wrote:
Dear all, I am looking for an equivalent to the "newey2"-extension in Stata, in order to compute Newey-West HAC standard errors in a regression using panel data. I would be very grateful for advice which R-package could do this.
I wouldn't be aware of any package doing it at the moment (but would be happy to be corrected on this). Maybe Yves and Giovanni (cc) have played around with this for "plm"? Z
I thank you very much in advance. Dirius
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