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Re: st: newey-west estimation


From   "Mark Schaffer" <M.E.Schaffer@hw.ac.uk>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: newey-west estimation
Date   Wed, 01 Sep 2004 11:23:19 +0100

Or you could use ivreg2, which will give you the R2.

E.g., the following two are equivalent:

ivreg2 cinf unem, bw(3) robust small

newey cinf unem, lag(2)

Cheers,
Mark

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

> 
> 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
> 
> 
> 
>              Nazaria Solferino                                  
>              <solf73@yahoo.it>                                  
>              Gesendet von:                                   An
>              owner-statalist@h          statalist@hsphsun2.harvard.edu
>                  sphsun2.harvard.e                                  
>              Kopie du                                   
>                                    Thema 
>                                    st: newey-west estimation          
>              01.09.2004 11:04                                   
> 
> 
>               Bitte antworten                                   
>                     an                                   
>              statalist@hsphsun                                   
>                2.harvard.edu                                   
> 
> 
> 
> 
> 
> 
> 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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Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS  UK
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