On Tue, Jul 26, 2011 at 12:29 AM, Philipp Grueber <philipp.grue...@ebs.edu> wrote: > Dear all, > > I am working on a large dataset and need to use biglm() to perform OLS > regressions. I have detected significant ARCH effects which I try to account > for using the Newey-West correction. > > So far, I have worked with NeweyWest() in the sandwich package. NeweyWest() > however seems to be unable to handle an object of class "biglm". >
An object of class 'biglm' doesn't contain enough information to compute the Newey-West estimator. The whole point of biglm() is that it works with one observation at a time and doesn't store all the data. You'll probably need to do nearly all the work for the Newey-West estimator yourself -- you can get the fitted values and the information matrix out of biglm(), but not much else. -thomas -- Thomas Lumley Professor of Biostatistics University of Auckland ______________________________________________ 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.
