[R] question about 2SLS
Achim.Zeileis at uibk.ac.at
Sun May 2 21:51:14 CEST 2010
On Sun, 2 May 2010, Dipankar Basu wrote:
> Hi All,
> I am using R 2.11.0 on a Ubuntu machine. I estimated a model using "tsls"
> from the package "sem". Is there a way to get Newey West standard errors for
> the parameter estimates?
> When estimating the model by OLS, I used "NeweyWest" from the package
> "sandwich" to get HAC standard errors. But, I am not able to use the same
> method with the results of the "tsls" estimation.
You can use ivreg() from package "AER" which provides a few more methods
than tsls(). In particular, it provides an estfun() method so that the
covariance matrix estimators from "sandwich" can be employed.
> Any help would be appreciated.
> [[alternative HTML version deleted]]
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