VARmodel_quotedspread <- VAR(data_for_VAR_model_quotedSpread, lag.max = 2, ic = "HQ", type = c("const"))
NeweyWest(VARmodel_quotedspread$varresult$quoted_spread)

NeweyWest(VARmodel_quotedspread$varresult$quoted_spread)
Error in AA %*% t(X) : requires numeric/complex matrix/vector arguments
In addition: Warning message:
In ar.ols(x, aic = aic, order.max = order.max, na.action = na.action,  :
  model order:  1 singularities in the computation of the projection matrix results are only valid up to model order 0

lm(VARmodel_quotedspread$varresult$quoted_spread$model$y ~
VARmodel_quotedspread$varresult$quoted_spread$model$quoted_spread.l1 +
VARmodel_quotedspread$varresult$quoted_spread$model$ILLIQ.l1 +
VARmodel_quotedspread$varresult$quoted_spread$model$absolute_r_S_P500.l1
 + VARmodel_quotedspread$varresult$quoted_spread$model$r_S_P500.l1 +
VARmodel_quotedspread$varresult$quoted_spread$model$r.l1 +
VARmodel_quotedspread$varresult$quoted_spread$model$monthly_trading_vol_dollar_corrected.l1 +
VARmodel_quotedspread$varresult$quoted_spread$model$quoted_spread.l2 +
VARmodel_quotedspread$varresult$quoted_spread$model$ILLIQ.l2 +
VARmodel_quotedspread$varresult$quoted_spread$model$absolute_r_S_P500.l2
+ VARmodel_quotedspread$varresult$quoted_spread$model$r_S_P500.l2 +
 VARmodel_quotedspread$varresult$quoted_spread$model$r.l2 +
VARmodel_quotedspread$varresult$quoted_spread$model$monthly_trading_vol_dollar_corrected.l2)
NeweyWest(linear_model)