Residuals of GEL or GMM
Method to extract the residuals of the model estimated by gmm or gel.
## S3 method for class 'gel' residuals(object, ...) ## S3 method for class 'gmm' residuals(object, ...)
It returns the matrix of residuals (y-\hat{y}) in g=y~x as it is done by residuals.lm.
# 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")
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