Hello. Thx Achim for forwarding. Although "simple" Newey-West is feasible in panels, the best panel analogue is perhaps Driscoll and Kraay's "SCC" covariance estimator, which extends Newey-West allowing for (contemporaneous and lagged-) cross-sectional as well as serial correlation.
This is implemented in 'plm' as vcovSCC(). Please see the function's documentation for references. Best, Giovanni -----Original Message----- From: Achim Zeileis [mailto:achim.zeil...@uibk.ac.at] Sent: Sat 1/22/2011 4:11 PM To: Dirk Heine Cc: r-help@r-project.org; yves.croiss...@univ-reunion.fr; Millo Giovanni Subject: Re: [R] 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 > > ______________________________________________ > R-help@r-project.org mailing list > 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. > Ai sensi del D.Lgs. 196/2003 si precisa che le informazi...{{dropped:15}} ______________________________________________ R-help@r-project.org mailing list 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.
