Dear Komal Jindal,

Try to use the function NeweyWest from the sandwich library.

Newey-West HAC Covariance Matrix Estimation Description

A set of functions implementing the Newey & West (1987, 1994) heteroscedasticity and autocorrelation consistent (HAC) covariance matrix estimators.

1. Usage

NeweyWest(x, lag = NULL, order.by = NULL, prewhite = TRUE, adjust = FALSE, diagnostics = FALSE, sandwich = TRUE, ar.method = "ols", data = list(), verbose = FALSE)

2. Arguments

x : a fitted model object.

lag : integer specifying the maximum lag with positive weight for the Newey-West estimator. If set to NULL floor(bwNeweyWest(x, ...)) is used.

order.by : Either a vector z or a formula with a single explanatory variable like ~ z. The observations in the model are ordered by the size of z. If set to NULL (the default) the observations are assumed to be ordered (e.g., a time series).

prewhite : logical or integer. Should the estimating functions be prewhitened? If TRUE or greater than 0 a VAR model of order as.integer(prewhite) is fitted via ar with method "ols" and demean = FALSE. The default is to use VAR(1) prewhitening.

kernel : a character specifying the kernel used. All kernels used are described in Andrews (1991). bwNeweyWest can only compute bandwidths for "Bartlett", "Parzen" and "Quadratic Spectral".

adjust : logical. Should a finite sample adjustment be made? This amounts to multiplication with n/(n-k) where n is the number of observations and k the number of estimated parameters.

diagnostics : logical. Should additional model diagnostics be returned? See vcovHAC for details.

sandwich : logical. Should the sandwich estimator be computed? If set to FALSE only the middle matrix is returned.

ar.method : character. The method argument passed to ar for prewhitening (only, not for bandwidth selection).

data : an optional data frame containing the variables in the order.by model. By default the variables are taken from the environment which the function is called from.

verbose : logical. Should the lag truncation parameter used be printed?

weights : numeric. A vector of weights used for weighting the estimated coefficients of the approximation model (as specified by approx). By default all weights are 1 except that for the intercept term (if there is more than one variable).

3. Details

NeweyWest is a convenience interface to vcovHAC using Bartlett kernel weights as described in Newey & West (1987, 1994). The automatic bandwidth selection procedure described in Newey & West (1994) is used as the default and can also be supplied to kernHAC for the Parzen and quadratic spectral kernel. It is implemented in bwNeweyWest which does not truncate its results - if the results for the Parzen and Bartlett kernels should be truncated, this has to be applied afterwards. For Bartlett weights this is implemented in NeweyWest.

To obtain the estimator described in Newey & West (1987), prewhitening has to be suppressed.

In addition to Joël Kazadi 's suggestion, you should also consult your Eviews manual and compare the instructions with the R instructions. You might also find Article Various Versatile Variances: An Object-Oriented Implementati...

Thanks for help @Joel Kazadi and @john C Frain