[R] Newey-West and SUR regression models

Richard Saba sabaric at auburn.edu
Fri Oct 26 14:39:45 CEST 2007

Is anyone aware of a procedure to apply Newey-West corrections for
autocorrelation to a SUR regression model? The SANDWICH package seems to be
applicable only to LM or GLM models.



Richard Saba

Department of Economics

Auburn University

Email:  sabaric at auburn.edu

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