[R] question about 2SLS

[Achim Zeileis]

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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>
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