John,
Quoting John A Karikari <[email protected]>:
> 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: [email protected]
web: http://www.sml.hw.ac.uk/ecomes
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