[R] biglm() and NeweyWest()

Thomas Lumley tlumley at uw.edu
Mon Jul 25 23:26:00 CEST 2011

On Tue, Jul 26, 2011 at 12:29 AM, Philipp Grueber
<philipp.grueber at 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 Lumley
Professor of Biostatistics
University of Auckland

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