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