Average Return Differential Calculation - Newey West t-Statistic

I am reading Table II on page 28 in Bali et al. (2007), Value at Risk and the Cross-Section of Hedge Fund Returns:

Please can anyone explain the calculation of t-statistic and Newey West t-statistic in the following table? I am bit confused how they calculate the standard deviation of the average return differential.

• Could you provide the reference where this table is from? – LocalVolatility Mar 14 '18 at 21:38
• this is part of a paper " Value at risk and the cross-section of hedge fund returns by Bali et al. (2007) – S H Ali Mar 15 '18 at 2:42
• Thanks Alex for edited my question, I am totally new to this forum so don't know how to get the answers, can you please help me to get the answer of this query. – S H Ali Mar 15 '18 at 20:08

The values for $$VaR$$ and $$CF-VaR$$ are the time-series means for each cross-sectional values. As mentioned in the table description, you calculate both variables for each month from Jan. 1995 to Dec. 2003 and the table reports their time-series means.
The standard t-statistic is applied with $$H_0:\bar{VaR}=0$$ and $$H_0:\bar{CF-VaR}=0$$. The standard deviation of both your variables is derived from their time-series movement from Jan. 1995 to Dec. 2003. With values of -0.17 and -0.14, $$VaR$$ and $$CF-VaR$$ are statistically not significant different from zero. Newey-West t-statistic corrects both estimations for heteroskedasticity and autocorrelation within the time-series of your variables.