gmm (version 1.1-1)

plot.gmm: Plot Diagnostics for a gmm Object

Description

It is a plot method for gmm objects.

Usage

## S3 method for class 'gmm':
plot(x, which = c(1L:3),
	    main = list("Residuals vs Fitted values", "Normal Q-Q",
	    "Response variable and fitted values"),
	    panel = if(add.smooth) panel.smooth else points,
	    ask = prod(par("mfcol")) < length(which) && dev.interactive(), ...,
	    add.smooth = getOption("add.smooth"))

Arguments

x

gmm object, typically result of gmm.

which

if a subset of the plots is required, specify a subset of the numbers 1:3.

main

Vector of titles for each plot.

panel

panel function. The useful alternative to points, panel.smooth can be chosen by add.smooth = TRUE.

ask

logical; if TRUE, the user is asked before each plot, see par(ask=.).

...

other parameters to be passed through to plotting functions.

add.smooth

logical indicating if a smoother should be added to most plots; see also panel above.

Details

It is a beta version of a plot method for gmm objects. It is a modified version of plot.lm. For now, it is available only for linear models expressed as a formula. Any suggestions are welcome regarding plots or options to include. The first two plots are the same as the ones provided by plot.lm and the third is the dependant variable $y$ with its mean $\hat{y}$ (the fitted values).

Examples

n = 500
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 <- 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 <- gmm(g,x)

plot(res,which=3)