In S-plus + FinMetrics, there is a function (asymp.var) to compute the nonparametric Newey-West long-run variance of a time series (see example in Modelling Financial Time Series with S-PLUS by Eric Zivot and Jiahui Wang, Section 3.2.8).
Is there a similar function in R? The NW estimator is used, for example, to obtain the variance as part of the Phillips-Perron unit root test in the tseries package, but how can that estimate be obtained? Has anyone written a code in R that does what asymp.var does in S-Plus? Regards,
Jose

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