Spatial Durbin Model with regimes in a cross section framework
On Fri, 2 Oct 2015, Loredana Mirra wrote:
Thank you very much for your kind help. Yes, I should check also if, after having estimated separated coefficients, the difference, if any, is statistically significant (using a chow test). Implementing such test is the major issue to me. Can you give me an hint about this?
Please see ch. 4 in Kleiber and Zeilis (2008) Applied Econometrics with R. You may use anova() on the no-regime model and the regime model, which is equivalent to a Chow test (personal communication, Achim Zeileis, 2005). It will however suffer from misspecification such as outliers, discussed in section 4.3 and the use of a Wald test with an HC covariance matrix.
Thanks also for the suggestion about the interpretation of output in SDM.
A "Chow" test might go through a Likelihood Ratio test, but should arguably be presented using the empirical distributions of the impacts for each X variable for the no-regime model and for each regime. Hope this helps, Roger
Best Regards Loredana -----Messaggio originale----- Da: Roger Bivand [mailto:Roger.Bivand at nhh.no] Inviato: gioved? 1 ottobre 2015 20:45 A: Loredana Mirra Cc: r-sig-geo at r-project.org Oggetto: Re: [R-sig-Geo] Spatial Durbin Model with regimes in a cross section framework On Thu, 1 Oct 2015, Loredana Mirra wrote:
I am writing to ask you a suggestion about the availability of a R routine or piece of program for the purposes of my empirical analysis. I should revise my paper using a Spatial Durbin model. This was recommended in order to mitigate a problem due to the possible presence of
unobserved factors.
Unfortunately data do not permit to perform a panel but a cross section analysis. I do not have troubles to perform a Spatial Durbin Model on the entire sample, but I need to study the presence of Spatial Regimes. The problem is that I cannot find a program, in a cross sections framework. Do you know if there is a program available in R
to perform this analysis? How do you want to handle the "regimes"? Estimate separate coefficients for each regime (regime defined as a factor)? If so, this is a standard formula construction, and can be used with formula objects in model fitting functions: lm(mpg ~ 0 + I(factor(am))/(disp + wt), data=mtcars) or similar - check in detailed discussions of formula objects. You need to be careful to report impacts, not coefficient values, from the Spatial Durbin model. Hope this helps, Roger
Thank you very much in advance for your help. Best regards Loredana Mirra ------------------------- Dott.ssa Loredana Mirra Universit??? di Roma ???Tor Vergata??? Dipartimento di Economia Diritto e Istituzioni Via Columbia, 2 00133 Roma Italia tel. +390672595725 <mailto:pozzolo at unimol.it> loredana.mirra at uniroma2.it --- Questa e-mail ??? stata controllata per individuare virus con Avast
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-- Roger Bivand Department of Economics, Norwegian School of Economics, Helleveien 30, N-5045 Bergen, Norway. voice: +47 55 95 93 55; fax +47 55 95 91 00 e-mail: Roger.Bivand at nhh.no --- Questa e-mail ? stata controllata per individuare virus con Avast antivirus. https://www.avast.com/antivirus
Roger Bivand Department of Economics, Norwegian School of Economics, Helleveien 30, N-5045 Bergen, Norway. voice: +47 55 95 93 55; fax +47 55 95 91 00 e-mail: Roger.Bivand at nhh.no