estfun function

Extract Empirical Estimating Functions

Generic function for extracting the empirical estimating functions of a fitted model. UTF-8

estfun(x, ...)

Arguments

• x: a fitted model object.
• ...: arguments passed to methods.

Returns

A matrix containing the empirical estimating functions. Typically, this should be an $n x k$ 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 $k$).

See Also

lm, glm

References

Zeileis A (2006). Object-Oriented Computation of Sandwich Estimators.

Journal of Statistical Software, 16 (9), 1--16. tools:::Rd_expr_doi("10.18637/jss.v016.i09")

Zeileis A, Köll S, Graham N (2020). Various Versatile Variances: An Object-Oriented Implementation ofClustered Covariances in R.

Journal of Statistical Software, 95 (1), 1--36. tools:::Rd_expr_doi("10.18637/jss.v095.i01")

Examples

## linear regression
x <- 1:9
y <- sin(1:9/5)
m <- lm(y ~ x)

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