residuals.gmm {gmm} | R Documentation |
Method to extract the residuals of the model estimated by gmm
.
## S3 method for class 'gmm': residuals(object, ...)
object |
An object of class gmm returned by the function gmm |
... |
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
.
# GMM is like GLS for linear models without endogeneity problems set.seed(345) n = 200 phi<-c(.2,.7) thet <- 0 sd <- .2 x <- matrix(arima.sim(n=n,list(order=c(2,0,1),ar=phi,ma=thet,sd=sd)),ncol=1) y <- 10+5*rnorm(n) + x res <- gmm(y~x,x) plot(x,residuals(res), main="Residuals of an estimated model with GMM")