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".
Looking into the code, I figured out that NeweyWest() calls i) bwNeweyWest()
and ii) vcovHAC(), and that both of these functions use estfun(x)... which
is unable to handle the object. I tried:
est <- biglm(y~x1+x2,...)
res <- y - predict(est,...)
estfun<-function(res,x1,x2){
return(res*cbind(1,x1,x2))
}
...but NeweyWest() still did not work.
Is there a way to work around this problem? Do you know a package that is
able to handle "biglm" objects?
Thanks a lot for your help!
Philipp
____________
EBS Universitaet fuer Wirtschaft und Recht i.Gr.
FARE Department
Wiesbaden/ Germany
www.ebs.edu
-----
____________________________________
EBS Universitaet fuer Wirtschaft und Recht
FARE Department
Wiesbaden/ Germany
http://www.ebs.edu/index.php?id=finacc&L=0
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