R help - Jan 2011 - Newey West HAC-errors for panels

Dear all,

I am looking for an equivalent to the "newey2"-extension in Stata, in
order to compute Newey-West HAC standard errors in a regression using
panel data.

I would be very grateful for advice which R-package could do this. 

I thank you very much in advance.

Dirius

On Sat, 22 Jan 2011, Dirk Heine wrote:
> Dear all,
>
> I am looking for an equivalent to the "newey2"-extension in
Stata, in
> order to compute Newey-West HAC standard errors in a regression using
> panel data.
>
> I would be very grateful for advice which R-package could do this.
I wouldn't be aware of any package doing it at the moment (but would be 
happy to be corrected on this). Maybe Yves and Giovanni (cc) have played 
around with this for "plm"?
Z
> I thank you very much in advance.
>
> Dirius
>
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