[R] glm and Newey-West estimator

[Thomas Lumley]

On Tue, 15 Oct 2002, Christof Bigler wrote:

> Dear R-users,
>
> has anybody combined the glm function with the Newey-West estimator of
> variance, similar as in Stata 7.0? I'd like to estimate corrected
> standard errors within a logistic regression model, taking into account
> the auto-correlated binary observations within individuals.
> I use R1.5.1 on Mac OS X (10.2).
>
There is code at
  http://faculty.washington.edu/tlumley/weave.html

(as you will see there is also code to do this for Stata 5.0 -- I suspect
I was responsible for Stata realising that the Newey-West estimator works
with glms)

	-thomas

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