R: R: R: R: Spatial Durbin Model with regimes in a cross section framework
I am using Windows 10 Loredana -----Messaggio originale----- Da: Roger Bivand [mailto:Roger.Bivand at nhh.no] Inviato: mercoled? 21 ottobre 2015 15:26 A: Loredana Mirra Cc: r-sig-geo at r-project.org Oggetto: Re: R: R: R: [R-sig-Geo] Spatial Durbin Model with regimes in a cross section framework
On Wed, 21 Oct 2015, Loredana Mirra wrote:
Thanks Roger, At least you managed to have an output even if it contains some issues which I could address changing variables. Instead sorry but I am stuck. How can I get that?
library(spdep)
sessionInfo() # spdep >=0.5-88
load("chow_error.RData")
ONE <- rep(1, nrow(highways))
NOC_Nord <- as.integer(!highways$C_Nord) durb<-lagsarlm(GR5101m~ 0+
(ONE+LVAPC51):(C_Nord+NOC_Nord),
data=highways, listw, type="mixed")
summary(durb)
works for me (I'm using the development version of spdep, which seems to be
the reason for the difference). There was an indexing error in
create_WX() that is corrected in the development version but not in 0.5-88
on CRAN. Which OS are you using - there are reasons for not releasing the
development version yet?
Roger
Loredana -----Messaggio originale----- Da: Roger Bivand [mailto:Roger.Bivand at nhh.no] Inviato: mercoled? 21 ottobre 2015 14:19 A: Loredana Mirra Cc: r-sig-geo at r-project.org Oggetto: Re: R: R: [R-sig-Geo] Spatial Durbin Model with regimes in a cross section framework On Wed, 21 Oct 2015, Loredana Mirra wrote:
Here the traceback()
4: stop("0 (non-NA) cases")
3: lm.fit(x, y, offset = offset, singular.ok = singular.ok, ...)
2: lm(y ~ x - 1)
1: lagsarlm(GR5101m ~ 0 + (ONE + LVAPC51):(C_Nord + NOC_Nord), data =
highwaysreg,
listw, type = "mixed")
No, problem. Data are not private. I tried to use the lmSLX and I got
the same error
OK, thanks. I cannot reproduce your error as such - I'm constructing:
ONE <- rep(1, nrow(highways))
NOC_Nord <- as.integer(!highways$C_Nord)
which may not be correct. I'm seeing:
Warning message:
In lagsarlm(GR5101m ~ 0 + I(factor(C_Nord))/(LVAPC51), data = highways, :
inversion of asymptotic covariance matrix failed for tol.solve = 1e-10
reciprocal condition number = 6.6223e-12 - using numerical Hessian.
and an issue in an interaction term between the NOC_Nord term and the
intercept:
Coefficients: (numerical Hessian approximate standard errors)
(1 not defined because of singularities)
Estimate Std. Error z value Pr(>|z|)
ONE:C_Nord 0.1385889 0.1310782 1.0573 0.2904
ONE:NOC_Nord 0.1493507 0.1322529 1.1293 0.2588
LVAPC51:C_Nord -0.0170657 0.0010275 -16.6083 <2e-16
LVAPC51:NOC_Nord -0.0192602 0.0018370 -10.4845 <2e-16
lag.ONE:C_Nord 0.0195317 0.1159969 0.1684 0.8663
lag.ONE:NOC_Nord NA NA NA NA
lag.LVAPC51:C_Nord -0.0034108 0.0086611 -0.3938 0.6937
lag.LVAPC51:NOC_Nord -0.0032861 0.0223143 -0.1473 0.8829
Rho: 0.57171, LR test value: 1.8528, p-value: 0.17346 Approximate
(numerical
Hessian) standard error: 0.34917
z-value: 1.6374, p-value: 0.10156
Wald statistic: 2.6809, p-value: 0.10156
Roger
This is the link to the file with errors https://onedrive.live.com/redir?resid=4484D82DD190F118!2202&authkey=! A EXvKmB o2FVgrQI&ithint=file%2cRData Thank you Loredana -----Messaggio originale----- Da: Roger Bivand [mailto:Roger.Bivand at nhh.no] Inviato: mercoled? 21 ottobre 2015 13:26 A: Loredana Mirra Cc: r-sig-geo at r-project.org Oggetto: Re: R: [R-sig-Geo] Spatial Durbin Model with regimes in a cross section framework On Wed, 21 Oct 2015, Loredana Mirra wrote:
Hi, and thank you again for your help. Following Anselin (2007) Spatial regression analysis in R I managed to test for the presence of spatial regimes (also performing a Chow test) in R. Since, I need to apply a Spatial Durbin model, I tried fitting it using the following (just adding the option "mixed") to the sar command in the cases of regimes (Centre_North and South in my case): durb<-lagsarlm(GR5101m~ 0+ (ONE+ LVAPC51):(C_Nord+NOC_Nord),data=highways,listw, type="mixed") summary(durb) I always get this error error in lm.fit(x, y, offset = offset, singular.ok = singular.ok, ...) : 0 (non-NA) cases
Please provide the output of traceback() after the error has occurred. I think that if the same model can be fitted with type="lag", but not with "mixed", then the lagged X variables are possibly to blame. Maybe also try to use lmSLX() on the same formula, data and listw objects, to see whether you also see failures in the lagged X variables. The underlying create_WX() function does check for NAs, but may not do it correctly - possibly for this formula. If this sounds hard, do: save(highways, listw, file="chow_error.RData") and make the "chow_error.RData" file available on a link (possibly off-list if the data are private). Hope this helps, Roger
I checked if there were NA cases and tried with other variables or weight matrices. I wonder if this is a good approach or what is wrong. Thank you for your attention Loredana Mirra -----Messaggio originale----- Da: Roger Bivand [mailto:Roger.Bivand at nhh.no] Inviato: venerd? 2 ottobre 2015 10:59 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 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
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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
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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
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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
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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