[R] Newey West HAC-errors for panels
Achim.Zeileis at uibk.ac.at
Sat Jan 22 16:11:48 CET 2011
On Sat, 22 Jan 2011, Dirk Heine wrote:
> Dear all,
> I am looking for an equivalent to the "newey2"-extension in Stata, in
> order to compute Newey-West HAC standard errors in a regression using
> panel data.
> I would be very grateful for advice which R-package could do this.
I wouldn't be aware of any package doing it at the moment (but would be
happy to be corrected on this). Maybe Yves and Giovanni (cc) have played
around with this for "plm"?
> I thank you very much in advance.
> R-help at r-project.org mailing list
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> and provide commented, minimal, self-contained, reproducible code.
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