fitted: Fitted values of GEL and GMM

In gmm: Generalized Method of Moments and Generalized Empirical Likelihood

Fitted values of GEL and GMM

Description

Method to extract the fitted values of the model estimated by gel or gmm.

Usage

## S3 method for class 'gel'
fitted(object, ...)
## S3 method for class 'gmm'
fitted(object, ...)

Arguments

object	An object of class gel or gel returned by the function gel or gmm
...	Other arguments when fitted is applied to an other class object

Value

It returns a matrix of the estimated mean \hat{y} in g=y~x as it is done by fitted.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))
plot(y, main = "Fitted ARMA with GEL")
lines(fitted(res), col = 2)

# 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, y, main = "Fitted model with GMM")
lines(x, fitted(res), col = 2)
legend("topright", c("Y","Yhat"), col = 1:2, lty = c(1,1))

gmm documentation built on March 31, 2023, 3:08 p.m.