residuals.gel {gmm} | R Documentation |
Method to extract the residuals of the model estimated by gel
.
## S3 method for class 'gel': residuals(object, ...)
object |
An object of class gel returned by the function gel |
... |
Other arguments when residuals is applied to an other classe object |
It returns the matrix of residuals (y-hat{y}) in g=y~x
as it is done by residuals.lm
.
# GEL can deal with endogeneity problems n = 200 phi<-c(.2,.7) thet <- 0.2 sd <- .2 set.seed(123) x <- matrix(arima.sim(n=n,list(order=c(2,0,1),ar=phi,ma=thet,sd=sd)),ncol=1) y <- x[7:n] ym1 <- x[6:(n-1)] ym2 <- x[5:(n-2)] H <- cbind(x[4:(n-3)],x[3:(n-4)],x[2:(n-5)],x[1:(n-6)]) g <- y~ym1+ym2 x <- H res <- gel(g,x,c(0,.3,.6)) e <- residuals(res) plot(e,type='l',main="Residuals from an ARMA fit using GEL")