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Re: st: newey-west estimation

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.


Inactive hide details for Nazaria Solferino <>Nazaria Solferino <>

          Nazaria Solferino <>
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          01.09.2004 11:04
          Bitte antworten an




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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