[R] NeweyWest

[stiff83 at gmx.de]

Hey everyone,

For an investment strategy I built some portfolios of historical stock returns (every 6 month for 10 years->20observations). To get more observations I´m using overlapping observations(40obs. which means lag=1).The goal is to test whether the reruns are positiv or market efficient(=0).

To correct for autocorrelation I would like to use NeweyWest(sandwich)in R,
to get the correct standard deviation for the t-test, but NeweyWest requires a regression model (lm or glm) which I dont have.
Is there a possibility to do this without a linear model??

Thanks!!! solari
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