Hi R users:

I am trying PLM package (Linear Models for Panel Data) with some big high-frequency financial dataset.
 
It keeps me giving me the following error message when dealing with
higher frequency data but it handles well for lower frequency dataset. Command pggls is used for the general FGLS estimators.
 
pggls(X.RETURN. ~ IOB + IOBS,data=E, model = "pooling")
Error in array(NA, dim = c(nother, nother, ncond), dimnames =
list(other.names,  :
  'dim' specifies too large an array
Calls: pggls -> array
 

Would you recommend some solution hint for the error in array if possible?

Thanks,

Weihan
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