Hello. Thx Achim for forwarding.

Although "simple" Newey-West is feasible in panels, the best panel analogue is perhaps Driscoll and Kraay's "SCC" covariance estimator, which extends Newey-West allowing for (contemporaneous and lagged-) cross-sectional as well as serial correlation.

This is implemented in 'plm' as vcovSCC(). Please see the function's documentation for references.

Best,
Giovanni


-----Original Message-----
From: Achim Zeileis [mailto:Achim.Zeileis@uibk.ac.at]
Sent: Sat 1/22/2011 4:11 PM
To: Dirk Heine
Cc: r-help@r-project.org; yves.croissant@univ-reunion.fr; Millo Giovanni
Subject: Re: [R] Newey West HAC-errors for panels
 
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"?
Z

> I thank you very much in advance.
>
> Dirius
>
> ______________________________________________
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> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
>


 
Ai sensi del D.Lgs. 196/2003 si precisa che le informazi...{{dropped:15}}

