Or you could use ivreg2, which will give you the R2.
E.g., the following two are equivalent:
ivreg2 cinf unem, bw(3) robust small
newey cinf unem, lag(2)
Cheers,
Mark
Subject: Re: st: newey-west estimation
To: [email protected]
From: [email protected]
Date sent: Wed, 1 Sep 2004 11:12:51 +0200
Send reply to: [email protected]
>
> newey corrects only the standard errors of the coefficients. it does
> not affect the R2, which can be obtained by a normal OLS commad, e.g.
> reg.
>
> Cheers,
>
> Justina
>
>
>
> Nazaria Solferino
> <[email protected]>
> Gesendet von: An
> owner-statalist@h [email protected]
> sphsun2.harvard.e
> Kopie du
> Thema
> st: newey-west estimation
> 01.09.2004 11:04
>
>
> Bitte antworten
> an
> statalist@hsphsun
> 2.harvard.edu
>
>
>
>
>
>
> I'm doing some estimations using the "newey" command:
> newey y x , lag(#); could someone tell me why as
> result there are informations only on the F test and
> not also on the R squared? How may I measure also the
> R squared?
>
>
>
>
>
>
>
>
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Prof. Mark E. Schaffer
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