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st: F-statistic using Newey


From   Hernan Urcola <hernanurcola@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: F-statistic using Newey
Date   Mon, 18 May 2009 22:09:32 -0300

I am running a series of regressions using the regress and newey
procedures. However, the F-statistic is different when I run regress y
x than when I run newey y x. I thought the newey procedure only
adjusted the VCV matrix leaving the residuals (used to compute the
F-stat) unchanged, but apparently that is not case.
Does anybody know the exact formulas that Stata uses to compute the
F-statistic under the newey procedure?

Thanks much,

Hernan
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