R: logLik value of the spml spatial panel model

Hello. Thanks for keeping us posted.

As was aptly observed, while RE and pooled models do actually have a logLik element, FE ones don't but there's a reason. While it is not difficult to output the  LL for the FE models too, like Jeremie did (or perhaps even setting quiet=FALSE and taking the last loglikelihood value from optimization), we never managed to decide whether outputting this is appropriate or not. In fact the LL element from the procedure is relative to the "pooled" model on demeaned data, so it is sort of a crossbred likelihood; most people asking for it want it to compare to the LL of the random effects model or similar uses, which I would not advise.

Gianfranco (author of the FE stuff) do please step in if appropriate.
Best,
Giovanni

-----Messaggio originale-----
Da: Jeremie Juste [mailto:jeremiejuste at gmail.com]
Inviato: gioved? 25 ottobre 2018 11:21
A: Roger Bivand
Cc: Danlin Yu; r-sig-geo at r-project.org; Millo Giovanni; Gianfranco Piras
Oggetto: Re: [R-sig-Geo] logLik value of the spml spatial panel model


Hello,

Thanks for the feedback.

Here is the diff. It is my first one so I'm not sure I'm doing everything right. :-)


modified   R/likelihoodsFE.R
@@ -459,7 +459,7 @@ if(Hess) asyv <- NULL  else asyv <- asyv


-       return<-list(coeff=betas, rho = rho, s2 = s2, rest.se = rest.se, rho.se = rho.se, s2.se = s2.se, asyvar1=asyvar1, residuals = r, asyv = asyv)
+    return<-list(coeff=betas, rho = rho, s2 = s2, rest.se = rest.se,
+ rho.se = rho.se, s2.se = s2.se, ll=LL, asyvar1=asyvar1, residuals = r,
+ asyv = asyv)
  }

I have compressed splm with the modification with the .git inside. I have installed the modified package again and checked that the modification worked.

fespaterr <- spml(fm, data = Produc, listw = mat2listw(usaww),
model="within", spatial.error="b", Hess = FALSE) fespaterr$logLik

It may be,however, that there was a reason for omitting it, so checks
to verify that it actually is a logLik value on the same basis as
other logLik values (not from an abbreviated log-likelihood function
used for fitting by omitting constants) would be helpful. It would be
good to provide logLik methods for the ML fitted model objects.

I have checked that it is the logLik that correspond to the estimation of the rho.

Best regards,

Jeremie




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