I have implemented a model using OLS estimates, but the results don't look too good. I've come across this term 'Newey-West covariance', and that I need to use residuals from my model as input, but ...
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: ...
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 ...
How do joint test, r-squared behave when using autocorrelation / heteroskedasticity robust std. errors?
Recently we discussed on SO how to update a standard linear regression summary with NeweyWest standard errors. I used coeftestfrom the ...