[R] glm and Newey-West estimator

Thomas Lumley tlumley at u.washington.edu
Tue Oct 15 17:32:05 CEST 2002

On Tue, 15 Oct 2002, Christof Bigler wrote:

> Dear R-users,
> has anybody combined the glm function with the Newey-West estimator of
> variance, similar as in Stata 7.0? I'd like to estimate corrected
> standard errors within a logistic regression model, taking into account
> the auto-correlated binary observations within individuals.
> I use R1.5.1 on Mac OS X (10.2).
There is code at

(as you will see there is also code to do this for Stata 5.0 -- I suspect
I was responsible for Stata realising that the Newey-West estimator works
with glms)


r-help mailing list -- Read http://www.ci.tuwien.ac.at/~hornik/R/R-FAQ.html
Send "info", "help", or "[un]subscribe"
(in the "body", not the subject !)  To: r-help-request at stat.math.ethz.ch

More information about the R-help mailing list