[R] coeftest() R squared

T.Riedle tr206 at kent.ac.uk
Wed Feb 15 08:56:51 CET 2017

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)

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.

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