[R] Newey-West and SUR regression models

[Achim Zeileis]

On Fri, 26 Oct 2007, Richard Saba wrote:

> Is anyone aware of a procedure to apply Newey-West corrections for
> autocorrelation to a SUR regression model? The SANDWICH package seems to be
> applicable only to LM or GLM models.

No, "sandwich" is applicable to any estimating function-based model,
provided estfun() and bread() methods are available. See
  vignette("sandwich-OOP", package = "sandwich")
for more details.

You can estimate SUR models with systemfit() but I don't think that the
package currently provides such methods. Given that these are linear
models, it shouldn't be too difficult to write such methods. If you do,
you could maybe provide them to the "systemfit" authors.
Z