I'm testing certain asset pricing factor models (e.g. Fama and French 3 factor model) and want to check if the alphas of my time series regressions are jointly zero.
Most papers use the Gibbons, Ross, Shanken (1989) Test to do so.
I buildt the test by myself in R, but I want to do it with robust residuals. How do I get them, corrected for heteroscedasticity and autocorrelation with e.g. Newey West?
This is how my regressions looks like:
FF3 <- lm(Excess_Return ~ RMRF + SMB + HML)
If I do:
FF3_corrected <- coeftest(FF3, vcov = NeweyWest)
Then R just shows me the corrected coefficients, but I need the corrected residuals...