residuals.carx: Residuals of a fitted 'carx' object
In carx: Censored Autoregressive Model with Exogenous Covariates

Description Usage Arguments Details Value References Examples

View source: R/carx_residuals.R

Computes the residuals of fitted carx object. When no censoring is present, the ordinary residuals will be computed. Otherwise, the simulated residuals (Gourieroux, Monfort, Renault, and Trognon 1987) of a fitted carx object will be computed, as suggested in Wang and Chan (2015).

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## S3 method for class 'carx'
residuals(object, type = c("raw", "pearson"), seed = NULL,
  ...)

`object`	a fitted `carx` object.
`type`	a string indicates which type of residual is to be returned. "raw" returns the (simulated) residuals; "pearson" returns the raw residuals divided by estimated standard error of the residuals.
`seed`	the seed for the random number generator.
`...`	not used.

The simulated residuals are constructed as follows. First, impute each unobserved Y_t^* by a (random) realization from the conditional distribution D(Y_t^*|\{(Y_s,X_s)\}_{s=1}^t), evaluated at the parameter estimate. Then, refit the model with (Y_t^* , X_t) so obtained, via the method of conditional maximum likelihood; the residuals from the latter model are the simulated residuals \varepsilon_t.

the simulated residuals.

Gourieroux C, Monfort A, Renault E, Trognon A (1987). "Simulated residuals." Journal of Econometrics, 34(1), 201-252.

Wang C, Chan KS (2015). "Quasi-likelihood estimation of a censored autoregressive model with exogenous variables." Submitted.

dat = carxSim(nObs=100,seed=0)
mdl <- carx(y~X1+X2-1,data=dat, p=2, CI.compute = FALSE)
#compute the raw residuals
res = residuals(mdl,type="raw")
#compute the Pearson residuals
res = residuals(mdl,type="pearson")