Question about the results of mixed lagsarlm
Good, please post your question on the list after checking all the references, for example for lm.morantest, lm.morantest.sad and lm.LMtests; lm.moantest.exact is covered in Bivand, Roger; M?ller, Werner G.; Reder, Markus. Power calculations for global and local Moran's l. Computational Statistics & Data Analysis 2009 ;Volum 53.(8) s. 2859-2872. The Tiefelsdorf 2002 reference is very relevant, as are works cited there. In general, normality is not a real issue, unless the shape of the residuals is very badly behaved, but you can always run some simulations. Roger
On Fri, 16 Nov 2012, Marcio Pupin Mello wrote:
> Dear Prof. Roger,
> thanks for your reply.
> I've just sent a new post to the list and it worked now.
> I haven't read the papers where tests were introduced. Would them
be those ones you cited in the help for summary.sarlm {spdep}? But I
read in LeSage and Pace (2009) that a CI for the estimated parameters
could be found through simulation processes.
> Apparently, results of the summary.sarlm showed that the test for
the Intercept is Z based (Gaussian assumption, though), but I am not
sure about the LR and Wald tests for Rho as well as LM test for residual
autocorrelation.
> Bests,
>
> Marcio
> www.dsr.inpe.br/~mello
>
> LeSage, J. and Pace, R.K. Introduction to Spatial Econometrics. CRC
Press: Boca Raton, USA, 2009. 354 p.
On 12/22/11 1:21 PM, Roger Bivand wrote:
On Thu, 22 Dec 2011, Dimitrios Efthymiou wrote:
Hi Roger,
thanks for your help.
Now I get a result, but many variables that are significant at the error
and lag models, are not significant here.
In addition, few variables have statistically significant direct impact,
others indirect and others total.
e.g.
Simulated z-values:
Direct Indirect Total
...
log(sqm) 134.33514612 6.95584281 27.94811234
parking 9.01409655 0.51593572 1.58416761
chimney 4.20407856 1.15585250 1.67326910
auto_heat 5.37231195 0.66981923 1.30766715
klima 4.75291342 2.42475203 2.99642118
dist_cbd 1.86144465 -2.04747304 -1.08141630
metro -0.29541702 2.75180894 3.47650020
...
This question does not have to do with the package's functions, but I
would
appreciate any help because I'm not totally sure how to explain these
results.
Please refer to the advice given by J. Paul Elhorst on the openspace list: http://groups.google.com/group/openspace-list/browse_thread/thread/9381788c8f5c5352 (click on: Show quoted text) In addition, if you look at the summary output for your error model with Hausman=TRUE, you'll see whether an error model is acceptable if the Common Factor LR test indicates error rather than spatial Durbin. The Hausman test is described in LeSage & Pace 2009. Hope this helps, Roger
Many thanks in advance for your help. Dimitris On 21 December 2011 14:48, Roger Bivand <Roger.Bivand at nhh.no> wrote:
On Wed, 21 Dec 2011, Dimitrios Efthymiou wrote: Hi all,
I'm using the 'spdep' package of R, in a server with Ubuntu. I'm trying to estimate a lagsarlm "mixed" model using 8.000 observations of house prices. until now, I can estimate the errorraslm, lagsarlm (lagged) and sacsarlm without problem, but when I try to estimate the mixed lagsarlm, NAs appear at the Std. Error, z-value and p columns of many variables.
This means that you have issues in the close correlations between the variables and lagged variables. If you use a trs= argument of MC traces, the finite difference estimate of the Hessian will be augmented as shown in LeSage & Pace (2009), and as the help page for lagsarlm says, the problem may go away. You need the series of traces of powers of W anyway for impacts(), so no extra effort is required. If the coefficient itself is dropped, a variable and its lag are aliased, but this isn't your case here. Hope this helps, Roger
Does anyone know what causes this? I'm using k-nearest neighbours = 12, the S-coding variance - stabilising, and the LU method (I concluded to these numbers and methods after experimentation in the other models). Characteristics of weights list object: Neighbour list object: Number of regions: 8066 Number of nonzero links: 185518 Percentage nonzero weights: 0.2851475 Average number of links: 23 Non-symmetric neighbours list Weights style: S Weights constants summary: n nn S0 S1 S2 S 8066 65060356 8066 630.5066 32982.99 sessionInfo()R version 2.14.0 (2011-10-31)
Platform: x86_64-pc-linux-gnu (64-bit) locale: [1] C attached base packages: [1] splines grid stats graphics grDevices utils datasets [8] methods base other attached packages: [1] ape_2.8 ade4_1.4-17 car_2.0-11 [4] survival_2.36-10 nnet_7.3-1 gstat_1.0-10 [7] spacetime_0.5-7 xts_0.8-2 zoo_1.7-6 [10] rasterVis_0.10-7 hexbin_1.26.0 latticeExtra_0.6-19 [13] RColorBrewer_1.0-5 RANN_2.1.3 spdep_0.5-43 [16] coda_0.14-6 nlme_3.1-102 MASS_7.3-16 [19] Matrix_1.0-2 boot_1.3-3 ggplot2_0.8.9 [22] proto_0.3-9.2 reshape_0.8.4 plyr_1.6 [25] spgwr_0.6-13 spatstat_1.25-0 deldir_0.0-16 [28] mgcv_1.7-12 rgdal_0.7-5 maptools_0.8-10 [31] lattice_0.20-0 foreign_0.8-48 raster_1.9-55 [34] sp_0.9-91 loaded via a namespace (and not attached): [1] gee_4.13-17 tools_2.14.0 Many thanks in advance for your help. Dimitris
-- Roger Bivand Department of Economics, NHH Norwegian School of Economics, Helleveien 30, N-5045 Bergen, Norway. voice: +47 55 95 93 55; fax +47 55 95 95 43 e-mail: Roger.Bivand at nhh.no