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. ______________________________________________ R-help@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.
