R help - Feb 2017 - coeftest() R squared

Dear all,
I want to run a regression using lm() with Newey West corrected standard errors.

This is the code

Reg<-lm(g~sent + liquidity + Cape, data=dataUsa)
CoefNW<-coeftest(Reg, vcov.=NeweyWest)
CoefNW

In contrast to summary(Reg) the output of CoefNW neither returns the adjusted R
squared nor the F-statistic. How can I obtain the R squared for coeftest?
Alternatively, how do I get robust standard errors and the R squared of the
regression?
Thanks for your help.

On Wed, 15 Feb 2017, T.Riedle wrote:
>
> Dear all,
> I want to run a regression using lm() with Newey West corrected standard
errors.
>
> This is the code
>
> Reg<-lm(g~sent + liquidity + Cape, data=dataUsa)
> CoefNW<-coeftest(Reg, vcov.=NeweyWest)
> CoefNW
>
> In contrast to summary(Reg) the output of CoefNW neither returns the 
> adjusted R squared nor the F-statistic. How can I obtain the R squared 
> for coeftest? Alternatively, how do I get robust standard errors and the 
> R squared of the regression?
The adjusted analogue to the F statistic can be obtained by
waldtest(Reg, vcov = NeweyWest)

For the R-squared there is no appropriate quantity with analogous
properties. Hence nothing is provided in the package.
> Thanks for your help.
>
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