This post was nearly what I was searching for.

 

Im actually trying to reproduce my Stata results in R and don´t overcome the

problem of the NeweyWest Estimators. I have quarterly PanelData

 

In Stata i used: 

newey y x, lag(4) force 

 

In R this should be

reg1.2<-lm(y~x)

coeftest(reg1.2, df = Inf, vcov = NeweyWest(reg1.2, lag = 4,prewhite=0))

 

but i get slightly different Std. Dev. and P-values.

 

Do i use the wrong command? Or the wrong specification?

 

 

Thanks a lot for your suggestions!

Katie

 

 

 

 

Achim Zeileis-4 wrote

> On Sun, 27 Jun 2010, Jurica Brajkovi? wrote:

> 

>> I want to calculate Newey West robust standard error using NeweyWest. 

>> Comparing the results to what I get in STATA, in order to get the same 

>> results in I need to specify "prewhite=0". Can someone explain what this 

>> prewhite command means?

> 

> It controls whether autocorrelation in the estimating functions should be 

> removed/reduced by using a VAR model.

> 

> ?NeweyWest says:

> 

> prewhite: logical or integer. Should the estimating functions be

>            prewhitened? If 'TRUE' or greater than 0 a VAR model of order

>            'as.integer(prewhite)' is fitted via 'ar' with method '"ols"'

>            and 'demean = FALSE'. The default is to use VAR(1)

>            prewhitening.

> 

> The "Details" section adds:  To obtain the estimator described in Newey & 

> West (1987), prewhitening has to be suppressed.

> 

> References can also be found on the manual page as well as in Section 3.2

> of vignette("sandwich", package = "sandwich").

> Z

> 

>> 

>> 

>> Thanks

>> 

>> 

>>    [[alternative HTML version deleted]]

>> 

>> ______________________________________________

>> 

 

> R-help@

 

>  mailing list

>>  <https://stat.ethz.ch/mailman/listinfo/r-help>
https://stat.ethz.ch/mailman/listinfo/r-help

>> PLEASE do read the posting guide

>>  <http://www.R-project.org/posting-guide.html>
http://www.R-project.org/posting-guide.html

>> and provide commented, minimal, self-contained, reproducible code.

>> 

> 

> ______________________________________________

 

> R-help@

 

>  mailing list

>  <https://stat.ethz.ch/mailman/listinfo/r-help>
https://stat.ethz.ch/mailman/listinfo/r-help

> PLEASE do read the posting guide

>  <http://www.R-project.org/posting-guide.html>
http://www.R-project.org/posting-guide.html

> and provide commented, minimal, self-contained, reproducible code.

 

 

 


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