I am trying to update my lm() based model to get correct standard errors and tests. I am really confused which VC matrix to use. The
sandwich package offers
NeweyWest. While the former only accounts for heteroskedasticity the latter two account for both serial correlation and heteroskedasticity. Yet, the documentation does not tell much about the difference between the latter two (at least I don't get it). Looking to the function itself I realized that NeweyWest actually calls vcovHAC.
Empirically the results of
coeftest(mymodel, vcov. = vcovHAC) and
coeftest(mymodel, vcov. = NeweyWest)are mad different. While
vcovHACis somewhat close to the naive lm results, using NeweyWest all coefficients turn insignificant (tests even close to 1).