fitted.gel {gmm} | R Documentation |
Method to extract the fitted values of the model estimated by gel
.
## S3 method for class 'gel': fitted(object, ...)
object |
An object of class gel returned by the function gel |
... |
Other arguments when fitted is applied to an other classe object |
It returns a matrix of the estimated mean hat{y} in g=y~x
as it is done by fitted.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)) plot(y, main="Fitted ARMA with GEL") lines(fitted(res),col=2)