gmm (version 1.1-1)

residuals.gmm: Residuals of GMM

Description

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

Usage

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

Arguments

object

An object of class gmm returned by the function gmm

...

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

# 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")