[R] fitted from plm

[Achim Zeileis]

On Wed, 20 Oct 2010, max.e.brown at gmail.com wrote:

> Hi,
>
> I am estimating a (fixed-effects) model with plm, for which I would like
> to get the fitted values. If I call fitted() on my estimated model, it
> returns NULL.
>
> How do I get the fitted values out of the plm object?

I think there is currently no method for that. In many cases, you can 
compute them fairly easily from the residuals via

   y - residuals(...)

And if the model frame is retained you find y in the $model element. 
Hence, a dirty hack that should work is

   fitted.panelmodel <- function(object, ...)
     object$model[[1]] - object$residuals

However, beware of models where the number of observations might be 
reduced due to lags and differencing.

And of course this covers just in-sample predictions. The out-of-sample 
case would have to be done by hand.

Yves and Giovanni (cc) might be able to provide more/better/correct 
information...

Best,
Z

> Thanks.
>
> Max
>
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