coeftest() R squared
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.
______________________________________________ R-help at r-project.org mailing list -- To UNSUBSCRIBE and more, see https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.