[R] HAC corrected standard errors

[Shruthi Jayaram]

Hi,

I have a simple linear regression for which I want to obtain HAC corrected
standard errors, since I have significant serial/auto correlation in my
residuals, and also potential heteroskedasticity.

Would anyone be able to direct me to the function that implements this in R?
It's a basic question and I'm sure I'm missing something obvious here. I
looked up this post:

http://www.nabble.com/Re%3A-Moving-Window-regressions-with-corrections-for-Heteroscedasticity-and-Autocorrelations(HAC)-td6075371.html#a6075371

which recommended that I use the coeftest() function in package lmtest, but
when I tried to assign an object:

result <- coeftest(regre, NeweyWest), where regre is an object of class lm,
this returned an error. 

I'd be grateful for any advice, since I'm sure I'm making one of those
simple bloopers.

Thanks!

Shruthi
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