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Alex Rivera
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I am using NeweyWest standard errors to correct my lm() / dynlm() output. E.g.: fit1<-dynlm(depvar~covariate1+covariate2) coeftest(fit1,vcov=NeweyWest) Coefficients are displayed the way I´d like to, but unfortunately I loose all the regression output information like R squared, F-Test etc. that is displayed by summary. So I wonder how I can display robust se and all the other stuff in the same summary output. Is there a way to either get everything in one call or to overwrite the 'old' estimates? I bet I just missed something badly, but that is really relevant when sweaving the output. Test example, taken from ?dynlm . require(dynlm) require(sandwich) data("UKDriverDeaths", package = "datasets") uk <- log10(UKDriverDeaths) dfm <- dynlm(uk ~ L(uk, 1) + L(uk, 12)) #shows R-squared, etc. summary(dfm) #no such information coeftest(dfm, vcov = NeweyWest) btw.: same applies for vcovHC
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