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 -- GMX DSL Doppel-Flat ab 19,99 Euro/mtl.! Jetzt mit gratis Handy-Flat! http://portal.gmx.net/de/go/dsl ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
