sandwich (version 2.2-0)

estfun: Extract Empirical Estimating Functions

Description

Generic function for extracting the empirical estimating functions of a fitted model.

Usage

estfun(x, ...)

Arguments

x

a fitted model object.

...

arguments passed to methods.

Value

• A matrix containing the empirical estimating functions. Typically, this should be an $n \times k$ matrix corresponding to $n$ observations and $k$ parameters. The columns should be named as in coef or terms, respectively.

  The estimating function (or score function) for a model is the derivative of the objective function with respect to the parameter vector. The empirical estimating functions is the evaluation of the estimating function at the observed data ($n$ observations) and the estimated parameters (of dimension $k$).

References

Zeileis A (2006), Object-oriented Computation of Sandwich Estimators. Journal of Statistical Software, 16(9), 1--16. URL http://www.jstatsoft.org/v16/i09/.

See Also

lm, glm

Examples

## linear regression
x <- sin(1:10)
y <- rnorm(10)
fm <- lm(y ~ x)

## estimating function: (y - x'beta) * x
estfun(fm)
residuals(fm) * cbind(1, x)