residuals.gmm {gmm}R Documentation

Residuals of GMM

Description

Method to extract the residuals of the model estimated by gmm.

Usage

## S3 method for class 'gmm':
residuals(object, ...)

Arguments

object An object of class gmm returned by the function gmm
... Other arguments when residuals is applied to an other classe object

Value

It returns the matrix of residuals (y-hat{y}) in g=y~x as it is done by residuals.lm.

Examples


# 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")

[Package gmm version 1.1-1 Index]