I have seen that in several papers, where the aim was to evaluate the performance of a certain investment strategy, they use t-statistics to test for significance in the results. However, this seems a bit odd to me as the t-statistics assumes that you have some theoretical mean that the observed mean deviates from, which is not being told in the article. The particular article I'm refering to is "Pairs Trading: Performance of a Relative-Value Arbitrage Rule", by Gatev et al. There are several others that use similar tests.
So my first question is what does these t-statistics tell them (or what is it that I do not understand)?
Furthermore, I wonder how the Newey-West standard error, as used in this manner, could be calculated in Matlab. As far as I have understood it there is no built in function to do this. After some googleing I could find a code, although it seemed to have several flaws (if I understood the conversation about it) so I guess it was not usable.
It seems like several similar questions have been asked before without success (http://stats.stackexchange.com/questions/43898/newey-west-t-statistics), hopefully I am a bit luckier this time!
Note: I am not sure if I am allowed to cross-post like this, I asked this question originally on stats.stackexchange without success. But as it concerns quant trading to some level I thought I might aswell try asking it here.