I would like to estimate a confidence interval for coefficients of my regression. I calculate the coefficients of the regression with the following code:
library(sandwich) library(lmtest) myRegression <- lm(x ~ y) coeftest(myRegression, vcov = NeweyWest(myRegression, lag = NULL))
And the confidence interval with this code:
confint(Regression, vcov = NeweyWest(myRegression, lag = NULL),level = 0.95)
However, when I try
confint(Regression, level = 0.95)
I get the same confidence interval, although the standard error changes with the Newey West method.
Can someone explain me whether I make a mistake?