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?
Thanks for your help.