[R] Newey West HAC-errors for panels

Achim Zeileis 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.
> Dirius
> ______________________________________________
> R-help at r-project.org mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.

More information about the R-help mailing list