residuals: Residuals of GEL or GMM

In gmm: Generalized Method of Moments and Generalized Empirical Likelihood

Residuals of GEL or GMM

Description

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

Usage

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

Arguments

object	An object of class gmm or gel returned by the function gmm or 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")

# 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")

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