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Re: st: Newey2 R-squared


From   Mark Schaffer <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu, John A Karikari <KarikariJ@gao.gov>
Subject   Re: st: Newey2 R-squared
Date   Tue, 15 Jul 2003 10:36:19 +0100 (BST)

John,

Quoting John A Karikari <KarikariJ@gao.gov>:

> The Newey-West procedure for IV estimation of panel data does not
> report
> the R-squared.  Please, how can I obtain the R-squared.  Thanks.

This may have an easy answer.  If I'm not mistaken, -newey- will report the 
same regression coefficients as -regress- but with HAC-robust standard 
errors.  Since the usual R2 depends on the coefficients but not on the SEs, 
you could get the R2 from -regress-.  The same may be true in your 
application.  If you estimate using IV and get the same coefficients as 
when you used Newey-West, then you can just use the R2 reported with the IV 
estimation.

Hope this helps.

--Mark

Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3008
email: m.e.schaffer@hw.ac.uk
web: http://www.sml.hw.ac.uk/ecomes
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