[R] coeftest() R squared

Achim Zeileis Achim.Zeileis at uibk.ac.at
Wed Feb 15 09:54:52 CET 2017

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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