Recently we discussed on SO how to update a standard linear regression summary with NeweyWest standard errors. I used
sandwich package. It was told to use unclass to update my already existing summary like this:
library(sandwich) library(lmtest) temp.lm <- lm(runif(100) ~ rnorm(100)) temp.summ <- summary(temp.lm) temp.summ$coefficients <- unclass(coeftest(temp.lm, vcov. = NeweyWest)
Now I wonder whether the joint parameters shown in the summary aren't affected at all when using a NeweyWest VC matrix? I mean with this code they are not affected obviously – but is this correct? Note this is not a syntax but a stats question :) Stuff like
Residual standard error: 1.177 on 83 degrees of freedom Multiple R-squared: 0.7265, Adjusted R-squared: 0.71 F-statistic: 44.1 on 5 and 83 DF, p-value: < 2.2e-16
remains the same. Are there any cases that need adjustment as well?