[R] Problem with Autocorrelation and GLS Regression

[and_mue]

For the analysis I follow the approach of Keown & Pinkerton (
http://e-m-h.org/KePi81.pdf http://e-m-h.org/KePi81.pdf ). They do also use
daily data to compute alphas and betas of the market model. These estimated
coefficients are then used to estimate abnormal returns for a given period. 

market model would be: 
Rjt=ajt+bjt*Rmt+ejt

Rjt is the return of company j on day t
Rmt is the return of the market on day t (Index)
ejt is the unsystematic component of firm j's return

after estimation I want to estimate abnormal returns:
êjt=Rjt-(âj+bj*Rmt)
aj and bj are the estimatet coefficients from the equation above.

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