I'm running a simple cross-sectional regression where I first run regressions for every year of observations and then I'm running this code to get the Newey-West corrected standard errors:
ods listing close; ods output parameterestimates=pe; proc reg data=dset; by year; model depvar = indvars; run; quit; ods listing; proc means data=pe mean std t probt; var estimate; class variable; run; proc sort data=pe; by variable; run; %let lags=3; ods output parameterestimates=nw; ods listing close; proc model data=pe; by variable; instruments / intonly; estimate=a; fit estimate / gmm kernel=(bart,%eval(&lags+1),0); run; quit; ods listing; proc print data=nw; id variable; var estimate--df; format estimate stderr 7.4; run; What's the best way to get the R2 once I correct for the standard errors for the cross-sectional regression?
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Best Answer
Newey-West standard errors only change the estimates of the standard errors. Since the estimates of the coefficients themselves don't change, the $R^2$ of the model doesn't change.
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