On Sun, 2 May 2010, Dipankar Basu wrote:
Hi All,
I am using R 2.11.0 on a Ubuntu machine. I estimated a model using "tsls"
from the package "sem". Is there a way to get Newey West standard errors for
the parameter estimates?
When estimating the model by OLS, I used "NeweyWest" from the package
"sandwich" to get HAC standard errors. But, I am not able to use the same
method with the results of the "tsls" estimation.
You can use ivreg() from package "AER" which provides a few more methods
than tsls(). In particular, it provides an estfun() method so that the
covariance matrix estimators from "sandwich" can be employed.
Z
Any help would be appreciated.
Deepankar
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