This post was nearly what I was searching for.
Im actually trying to reproduce my Stata results in R and don´t overcome the
problem of the NeweyWest Estimators. I have quarterly PanelData
In Stata i used:
newey y x, lag(4) force
In R this should be
reg1.2<-lm(y~x)
coeftest(reg1.2, df = Inf, vcov = NeweyWest(reg1.2, lag = 4,prewhite=0))
but i get slightly different Std. Dev. and P-values.
Do i use the wrong command? Or the wrong specification?
Thanks a lot for your suggestions!
Katie
Achim Zeileis-4 wrote
> On Sun, 27 Jun 2010, Jurica Brajkovi? wrote:
>
>> I want to calculate Newey West robust standard error using NeweyWest.
>> Comparing the results to what I get in STATA, in order to get the same
>> results in I need to specify "prewhite=0". Can someone explain what this
>> prewhite command means?
>
> It controls whether autocorrelation in the estimating functions should be
> removed/reduced by using a VAR model.
>
> ?NeweyWest says:
>
> prewhite: logical or integer. Should the estimating functions be
> prewhitened? If 'TRUE' or greater than 0 a VAR model of order
> 'as.integer(prewhite)' is fitted via 'ar' with method '"ols"'
> and 'demean = FALSE'. The default is to use VAR(1)
> prewhitening.
>
> The "Details" section adds: To obtain the estimator described in Newey &
> West (1987), prewhitening has to be suppressed.
>
> References can also be found on the manual page as well as in Section 3.2
> of vignette("sandwich", package = "sandwich").
> Z
>
>>
>>
>> Thanks
>>
>>
>> [[alternative HTML version deleted]]
>>
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