<p>Newey-West/Robust are methods to calculate standard errors.</p>
<p>OLS/GLS/GLM are methods to estimate coefficients.</p>
<p>I think typically econometricians first choose a method to estimate coefficients (GLS/OLS/whatever), then given that choice, they choose how to estimate the standard errors of their estimates (baseline/robust/Newey-West)...</p>
<p>GLS is rarely used in practice because OLS is the &quot;best&quot; linear approximation to the conditional expectation function (best in a &quot;minimizing expected square loss&quot; sense). GLS does not have this interpretation.</p>
<p>Sorry if I'm not answering your question, but more context would help us in answering.</p>

CC BY-SA 4.0
2022-09-15T17:22:44.623Z
So you're saying Newey-West is not illegal for GLM?
Coo
CC BY-SA 4.0
2022-09-15T18:04:34.910Z
OLS is a special case of GLS. They are the same if you know the $\Omega$ or $\Sigma$
Coo
CC BY-SA 4.0
2022-09-15T19:28:48.777Z
Hm, is the following not the case? 1. OLS is "best" under the assumption of homoskedasticity. 2. GLS is "best" under heteroskedasticity. (GLS is infeasible, though, so FGLS is needed and that is only an approximation to the "best" estimator.) But that is not what you are saying, so?...
Richard Hardy
CC BY-SA 4.0
2022-09-16T04:38:13.780Z
Richard Hardy, you are using "Best" in a sense of efficiency. I am referring to approximating E[Y|X]
Michael Gmeiner
CC BY-SA 4.0
2022-09-15T17:12:48.907Z
2022-09-15T17:12:48.907Z
Michael Gmeiner
<p>My hypothesis and I have not done any proofs, but I think Newey-West with GLS would have better estimation than OLS with Newey-West.</p>

CC BY-SA 4.0
2022-09-15T16:42:49.917Z
On what data do you base the assumption that economists mainly use OLS?
Alex
CC BY-SA 4.0
2022-09-15T17:17:21.307Z
You should provide more details. 1. Not just economist but anyone doing statistics will at some point use non-standard errors (eg NW, White, robust standard etc). 2. You should however not focus on what other people are doing you should do what is best for your research. For example White errors are used when there is heteroskedasticity but no autocorrelation in model, do you have that situation? If yes use those errors if not use different ones. Always use the best methods for your case irrespective of what others are doing
1muflon1
<econometrics><regression>
Do Economists use Newey-West/Robust Standard Errors with GLS or GLM?
Coo
# Do Economists use Newey-West/Robust Standard Errors with GLS or GLM?

(Asked by: username_0 on 2022-09-15)

My hypothesis and I have not done any proofs, but I think Newey-West with GLS would have better estimation than OLS with Newey-West.

**Tags:** econometrics, regression

> **Comments:**
> **username_1**: On what data do you base the assumption that economists mainly use OLS?  
> **username_2**: You should provide more details. 1. Not just economist but anyone doing statistics will at some point use non-standard errors (eg NW, White, robust standard etc). 2. You should however not focus on what other people are doing you should do what is best for your research. For example White errors are used when there is heteroskedasticity but no autocorrelation in model, do you have that situation? If yes use those errors if not use different ones. Always use the best methods for your case irrespective of what others are doing  

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## 1 answers

### Answer by username_3 on 2022-09-15. Score: 1 | Accepted answer

Newey-West/Robust are methods to calculate standard errors.

OLS/GLS/GLM are methods to estimate coefficients.

I think typically econometricians first choose a method to estimate coefficients (GLS/OLS/whatever), then given that choice, they choose how to estimate the standard errors of their estimates (baseline/robust/Newey-West)...

GLS is rarely used in practice because OLS is the "best" linear approximation to the conditional expectation function (best in a "minimizing expected square loss" sense). GLS does not have this interpretation.

Sorry if I'm not answering your question, but more context would help us in answering.

> **Comments:**
> **username_0**: So you're saying Newey-West is not illegal for GLM?  
> **username_0**: OLS is a special case of GLS. They are the same if you know the $\Omega$ or $\Sigma$  
> **username_4**: Hm, is the following not the case? 1. OLS is "best" under the assumption of homoskedasticity. 2. GLS is "best" under heteroskedasticity. (GLS is infeasible, though, so FGLS is needed and that is only an approximation to the "best" estimator.) But that is not what you are saying, so?...  
> **username_3**: username_4, you are using "Best" in a sense of efficiency. I am referring to approximating E[Y|X]  

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