gmm (version 1.6-2)

fitted: Fitted values of GEL and GMM

Description

Method to extract the fitted values of the model estimated by gel or gmm.

Usage

# S3 method for gel
fitted(object, ...)
# S3 method for gmm
fitted(object, ...)

Arguments

object

An object of class gel or gel returned by the function gel or gmm

...

Other arguments when fitted is applied to an other class object

Value

It returns a matrix of the estimated mean \(\hat{y}\) in g=y~x as it is done by fitted.lm.

Examples

Run this code
# NOT RUN {
# 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))
plot(y, main = "Fitted ARMA with GEL")
lines(fitted(res), col = 2)

# 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, y, main = "Fitted model with GMM")
lines(x, fitted(res), col = 2)
legend("topright", c("Y","Yhat"), col = 1:2, lty = c(1,1))
# }

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