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Re: st: newey-west estimation


From   Justina.Fischer@unisg.ch
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: newey-west estimation
Date   Wed, 1 Sep 2004 11:12:51 +0200

newey corrects only the standard errors of the coefficients. it does not affect the R2, which can be obtained by a normal OLS commad, e.g. reg.

Cheers,

Justina
Inactive hide details for Nazaria Solferino <solf73@yahoo.it>Nazaria Solferino <solf73@yahoo.it>


          Nazaria Solferino <solf73@yahoo.it>
          Gesendet von: owner-statalist@hsphsun2.harvard.edu

          01.09.2004 11:04
          Bitte antworten an
          statalist@hsphsun2.harvard.edu


An

statalist@hsphsun2.harvard.edu

Kopie


Thema

st: newey-west estimation

I'm doing some estimations using the "newey" command:
newey y x , lag(#);  could someone tell me why as
result there are informations only on the  F test and
not also on the R squared? How may I measure also the
R squared?








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