R help - May 2010 - question about 2SLS

Hi All,

I am using R 2.11.0 on a Ubuntu machine. I estimated a model using
"tsls"
from the package "sem". Is there a way to get Newey West standard
errors for
the parameter estimates?

When estimating the model by OLS, I used "NeweyWest" from the package
"sandwich" to get HAC standard errors. But, I am not able to use the
same
method with the results of the "tsls" estimation.

Any help would be appreciated.

Deepankar

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On Sun, 2 May 2010, Dipankar Basu wrote:
> Hi All,
>
> I am using R 2.11.0 on a Ubuntu machine. I estimated a model using
"tsls"
> from the package "sem". Is there a way to get Newey West standard
errors for
> the parameter estimates?
>
> When estimating the model by OLS, I used "NeweyWest" from the
package
> "sandwich" to get HAC standard errors. But, I am not able to use
the same
> method with the results of the "tsls" estimation.
You can use ivreg() from package "AER" which provides a few more
methods
than tsls(). In particular, it provides an estfun() method so that the 
covariance matrix estimators from "sandwich" can be employed.
Z
> Any help would be appreciated.
>
> Deepankar
>
> 	[[alternative HTML version deleted]]
>
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