On Tue, 13 Jul 2010, Paolo Veneri wrote:
Hi, I have a cross section of 158 spatial units. Robust LM tests suggest me to estimate a Spatial Durbin Model (SDM). However, given the non-normality of OLS residuals, the presence of heteroschedasticity and the presence of one endogenous explanatory variable, I should not use the classic "lagsarlm" function, since I should not use ML methods. The point is that I did not find any package in R that estimate a SDM with IV method (hence correcting for endogeneity and heteroschedasticity). Would you suggest any strategy?
You are quite correct that the structuring of the stsls (and equivalent heteroskedastic version in the sphet package) makes it effectively impossible to fit a Spatial Durbin model. Even if one tries (using higher lags by hand), the results are typically numerically unstable. So you are left with ML - I would not worry about the distribution of the residual too much, but analysis of outliers from the influence measures of the linear fit might suggest a missing variable, or possibly a dummy that could releive som heteroskedasticity. You could check this out on the linear model first, and then use ML to fit the improved SDM model.
The only SDM with heteroskedastic errors that I know of is the Bayesian approach in the Matlab toolbox, documented in LeSage and Pace (2009). As I'm sure you know, you need to take the impacts of the RHS variables into account, rather than interpreting the SDM coefficients - this is provided for in impacts() methods in spdep for the SDM model.
Hope this helps, Roger
Paolo _______________________________________________ R-sig-Geo mailing list R-sig-Geo@stat.math.ethz.ch https://stat.ethz.ch/mailman/listinfo/r-sig-geo
-- Roger Bivand Economic Geography Section, Department of Economics, Norwegian School of Economics and Business Administration, Helleveien 30, N-5045 Bergen, Norway. voice: +47 55 95 93 55; fax +47 55 95 95 43 e-mail: roger.biv...@nhh.no _______________________________________________ R-sig-Geo mailing list R-sig-Geo@stat.math.ethz.ch https://stat.ethz.ch/mailman/listinfo/r-sig-geo
