[R] biglm() and NeweyWest()

[Philipp Grueber]

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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