Common Factors test in R
Thank you very much :) -----Original Message----- From: Roger Bivand [mailto:Roger.Bivand at nhh.no] Sent: Tuesday, April 9, 2019 12:43 PM To: Hul?nyi Martin <martin.hulenyi at vlada.gov.sk> Cc: r-sig-geo at r-project.org Subject: RE: [R-sig-Geo] Common Factors test in R
On Mon, 8 Apr 2019, Hul?nyi Martin wrote:
Thank you very much. I tried it with lrtest, but i got the following error:
lrtest(durbin1, spem)
Error in UseMethod("logLik") :
no applicable method for 'logLik' applied to an object of class "splm"
As you said, it might have been caused by the fact that panel spatial
error model does not produce log likelihood.
No, you need to attract the attention of the package maintainer, and either contribute the missing method (spml is maximum likelihood based, so does have the value internally, it is simply neither returned, nor made accessible by a logLik() method), or hope that the maintainer might do so. The package lives on R-Forge at https://r-forge.r-project.org/projects/splm/ so you can check out the package with anonymous SVN: svn checkout svn://svn.r-forge.r-project.org/svnroot/splm/ make the changes, build and install locally, check the results, and take svn diff diffs to send back to the maintainer. That is after all how open source software works. You could start in R/spreml.R, checking to see where the optimized objective function values go and where they are returned if they are. In your case:
spem$logLik
NULL
durbin$logLik
[1] -8678.189 Even without working on the code: debug(spml) debug(splm:::spfeml) debug(sperrorlm) lets you see what is going on to some extent (for spem). In the spem case, opt$objective is assigned to LL, but not returned by sperrorlm() in R/likelihoodsFE.R line 466/467. Had it been, writing logLik() methods would be easier, although seeing which model is nested in which given all the variants is hard. Further, Durbin impacts are not (yet) available, I think.
Would you say that using slmtest to compare the two models is better?
No, it doesn't compare two spatial models, but tests aspatial panel models for many kinds of mis-specification if I understand correctly. Hope this helps, Roger
Best regards, Martin -----Original Message----- From: Roger Bivand [mailto:Roger.Bivand at nhh.no] Sent: Friday, April 5, 2019 9:35 PM To: Hul?nyi Martin <martin.hulenyi at vlada.gov.sk> Cc: r-sig-geo at r-project.org Subject: Re: [R-sig-Geo] Common Factors test in R On Fri, 5 Apr 2019, Hul?nyi Martin wrote:
Hello, I would like to perform a common factor test, conducted using likelihood ratio test on spatial error model and spatial durbin model (both in panel format). I have not found a command in R, that would help me to conduct the test. Hence, I am trying to perform the test manuallly using the splm package and data available in the splm and plm packages.
Here is my code:
library(splm)
library(plm)
data(Produc, package="plm")
data(usaww)
Produc <- pdata.frame(Produc, index = c("state", "year"))
usaww<- mat2listw(usaww, style="W")
Produc$slagUnemp <- slag(Produc$unemp, listw = usaww)
durbin <- spml(gsp~unemp + slagUnemp,
data=Produc, listw=usaww, effect = "twoways",
model="within", lag=TRUE, spatial.error = "none",
quiet = FALSE)
spem <- spml(gsp ~ unemp,
data=Produc, listw=usaww, effect = "twoways",
model="within", lag=FALSE, spatial.error = "b",
quiet = FALSE)
Is it correct to take the last value of the function from the console
output to compute the likelihood ratio?
Without checking whether the likelihoods are compatible (here probably are), you will not see whether the fitting functions concentrate them, possibly differently. Here both are lag=TRUE but one has spatial.error="none", the other "b", so without reading the code, you can't tell. It would be a good idea if these models had logLik() methods, because then lmtest::lrtest() should work. It then handles the degrees of freedom accounting between the models. Hope this helps, Roger
Meaning, in this example, to calculate 2*(function(non-nested) - function(nested)) = 2*(10261.79 - 10255.74) = 12.1? If it is correct, how can I compute the significance values? If it is not correct, is there a better way to compute this? Autorom tejto spr???vy elektronickej po???ty je Martin Hul???nyi. T???to spr???va je ur???en??? v???lu???ne jej adres???tovi. Inform???cie a ???daje, ktor??? s??? v nej uveden???, alebo ktor??? s??? obsiahnut??? v jej prilo???en???ch s???boroch, m???u by??? inform???ciami alebo ???dajmi chr???nen???mi pod???a platn???ch pr???vnych predpisov v Slovenskej republike. V pr???pade, ak nie ste ur???en??? ako prij???mate??? tejto spr???vy alebo jeho opr???vnen??? z???stupca, upozor???ujeme V???s, ???e inform???cie a ???daje v nej uveden??? nie ste opr???vnen??? sprac???va???, ani ich spr???stupni??? alebo poskytn?????? tretej osobe alebo ich zverejni???. Ak ste nedopatren???m prijali alebo zachytili tuto spr???vu elektronickej po???ty, dovo???ujeme si V???s po???iada???, aby ste ju zaslali sp??? na elektronick??? adresu jej odosielate???a, a aby ste ju n???sledne zmazali zo svojho po??????ta???a a z Va???ej schr???nky elektronickej po???ty. Odosielate??? tejto spr???vy nenesie zodpovednos??? za ???kody sp???soben??? nespr???vnym pou???it???m tejto spr???vy elektronickej po???ty a jej pr???loh. The author of this e-mail message is Martin Hul???nyi. This message is intended solely for the recipient. The information and data contained therein or contained in its enclosed files may be information or data protected under applicable laws in the Slovak Republic. If you are not designated as the recipient of this message or its authorized representative, we would like to inform you that the information and data contained therein are not authorized to process or make them available to third parties or to disclose them. If you have received or downloaded this e-mail message accidentally, we ask you to send it back to the e-mail address of the sender and then delete it from your computer and from your e-mail. The sender of this message is not responsible for damages caused by incorrect use of this e-mail message and its attachments. [eco.jpg] Pred vytla???en???m tohto mailu zv???te pros???m vplyv na ???ivotn??? prostredie. ???akujeme. Please consider the environment before printing this e-mail. Thanks [[alternative HTML version deleted]]
-- Roger Bivand Department of Economics, Norwegian School of Economics, Helleveien 30, N-5045 Bergen, Norway. voice: +47 55 95 93 55; e-mail: Roger.Bivand at nhh.no https://orcid.org/0000-0003-2392-6140 https://scholar.google.no/citations?user=AWeghB0AAAAJ&hl=en Autorom tejto spr?vy elektronickej po?ty je Martin Hul?nyi. T?to spr?va je ur?en? v?lu?ne jej adres?tovi. Inform?cie a ?daje, ktor? s? v nej uveden?, alebo ktor? s? obsiahnut? v jej prilo?en?ch s?boroch, m??u by? inform?ciami alebo ?dajmi chr?nen?mi pod?a platn?ch pr?vnych predpisov v Slovenskej republike. V pr?pade, ak nie ste ur?en? ako prij?mate? tejto spr?vy alebo jeho opr?vnen? z?stupca, upozor?ujeme V?s, ?e inform?cie a ?daje v nej uveden? nie ste opr?vnen? sprac?va?, ani ich spr?stupni? alebo poskytn?? tretej osobe alebo ich zverejni?. Ak ste nedopatren?m prijali alebo zachytili tuto spr?vu elektronickej po?ty, dovo?ujeme si V?s po?iada?, aby ste ju zaslali sp?? na elektronick? adresu jej odosielate?a, a aby ste ju n?sledne zmazali zo svojho po??ta?a a z Va?ej schr?nky elektronickej po?ty. Odosielate? tejto spr?vy nenesie zodpovednos? za ?kody sp?soben? nespr?vnym pou?it?m tejto spr?vy elektronickej po?ty a jej pr?loh. The author of this e-mail message is Martin Hul?nyi. This message is intended solely for the recipient. The information and data contained therein or contained in its enclosed files may be information or data protected under applicable laws in the Slovak Republic. If you are not designated as the recipient of this message or its authorized representative, we would like to inform you that the information and data contained therein are not authorized to process or make them available to third parties or to disclose them. If you have received or downloaded this e-mail message accidentally, we ask you to send it back to the e-mail address of the sender and then delete it from your computer and from your e-mail. The sender of this message is not responsible for damages caused by incorrect use of this e-mail message and its attachments. [eco.jpg] Pred vytla?en?m tohto mailu zv??te pros?m vplyv na ?ivotn? prostredie. ?akujeme. Please consider the environment before printing this e-mail. Thanks
-- Roger Bivand Department of Economics, Norwegian School of Economics, Helleveien 30, N-5045 Bergen, Norway. voice: +47 55 95 93 55; e-mail: Roger.Bivand at nhh.no https://orcid.org/0000-0003-2392-6140 https://scholar.google.no/citations?user=AWeghB0AAAAJ&hl=en Autorom tejto spr?vy elektronickej po?ty je Martin Hul?nyi. T?to spr?va je ur?en? v?lu?ne jej adres?tovi. Inform?cie a ?daje, ktor? s? v nej uveden?, alebo ktor? s? obsiahnut? v jej prilo?en?ch s?boroch, m??u by? inform?ciami alebo ?dajmi chr?nen?mi pod?a platn?ch pr?vnych predpisov v Slovenskej republike. V pr?pade, ak nie ste ur?en? ako prij?mate? tejto spr?vy alebo jeho opr?vnen? z?stupca, upozor?ujeme V?s, ?e inform?cie a ?daje v nej uveden? nie ste opr?vnen? sprac?va?, ani ich spr?stupni? alebo poskytn?? tretej osobe alebo ich zverejni?. Ak ste nedopatren?m prijali alebo zachytili tuto spr?vu elektronickej po?ty, dovo?ujeme si V?s po?iada?, aby ste ju zaslali sp?? na elektronick? adresu jej odosielate?a, a aby ste ju n?sledne zmazali zo svojho po??ta?a a z Va?ej schr?nky elektronickej po?ty. Odosielate? tejto spr?vy nenesie zodpovednos? za ?kody sp?soben? nespr?vnym pou?it?m tejto spr?vy elektronickej po?ty a jej pr?loh. The author of this e-mail message is Martin Hul?nyi. This message is intended solely for the recipient. The information and data contained therein or contained in its enclosed files may be information or data protected under applicable laws in the Slovak Republic. If you are not designated as the recipient of this message or its authorized representative, we would like to inform you that the information and data contained therein are not authorized to process or make them available to third parties or to disclose them. If you have received or downloaded this e-mail message accidentally, we ask you to send it back to the e-mail address of the sender and then delete it from your computer and from your e-mail. The sender of this message is not responsible for damages caused by incorrect use of this e-mail message and its attachments.