gmm (version 1.1-1)

residuals.gel: Residuals of GEL

Description

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

Usage

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

Arguments

object

An object of class gel returned by the function 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")