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emil
2009 Dec 10
2
Problem with coeftest using Newey West estimator
Hi,
I want to calculate the t- and p-values for a linear model using the Newey West estimator.
I tried this Code and it usually worked just fine:
> oberlm <- lm(DYH ~ BIP + Infl + EOil, data=HU_H)
> coeftest(oberlm, NeweyWest(oberlm, lag=2))
t test of coefficients:
Estimate Std. Error t value Pr(>|t|)
(Intercept) 0.1509950 0.0743832 2.0300 0.179486
BIP -5.5131683 1.2536813 -4.3976 0.048016 *
Infl -0.0623530 0.0036215 -17.2175...