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.
coeftest() R squared
2 messages · T.Riedle, Achim Zeileis
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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