Get the R2 from GMM Newey-West in SAS

Question

I'm running a simple cross-sectional regression where I first run regressions for every year of observations and then I'm running this code to get the Newey-West corrected standard errors:

ods listing close;
ods output parameterestimates=pe;
proc reg data=dset;
 by year;
 model depvar = indvars; run;
quit;
ods listing;

proc means data=pe mean std t probt;
 var estimate; class variable;
run;

proc sort data=pe; by variable; run;

%let lags=3;
ods output parameterestimates=nw;
ods listing close;
proc model data=pe;
 by variable;
 instruments / intonly;
 estimate=a;
 fit estimate / gmm kernel=(bart,%eval(&lags+1),0); run;
quit;
ods listing;

proc print data=nw; id variable;
 var estimate--df; format estimate stderr 7.4;
run;

What's the best way to get the R2 once I correct for the standard errors for the cross-sectional regression?

Answer 1

Newey-West standard errors only change the estimates of the standard errors. Since the estimates of the coefficients themselves don't change, the $R^2$ of the model doesn't change.