residuals.gel {gmm}R Documentation

Residuals of GEL

Description

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

Usage

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

Arguments

object An object of class gel returned by the function gel
... 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


# 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")


[Package gmm version 1.1-1 Index]