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“stsls”
3 messages · Joseph Duncan, Roger Bivand
On Tue, 17 Apr 2012, Joseph Duncan wrote:
Dear list I have read ?stsls? help file and Kelejian and Prucha (1998) for more than one week, but still do not understand how to estimate "generalized spatial two-stage least squares model" in sample data gp2a <- stsls(log(CMEDV) ~ CRIM + ZN + INDUS + CHAS + I(NOX^2) + I(RM^2) + AGE + log(DIS) + log(RAD) + TAX + PTRATIO + B + log(LSTAT), data=boston.c, nb2listw(boston.soi)) Which are endogenous variables and which are exogenous variables? Which variables are used to obtain 2SLS estimator? What does the equations looks like? exactly the same as Kelejian and Prucha (1998) ?
As you can see from the help page (and the code which is the clearest description), the coefficient on Wy is fitted using the lagged X variables WX and WWX. What is endogenous or not is a matter of terminology, and may not actually match the variables you have. In stsls, you don't get to define anything, it is simply as given by Kelejian and Prucha, that is first step fit WY ~ [WX, WWX], then second step. You can choose only to use WX instead of [WX, WWX]. Hope this clarifies, Roger
Thanks Best regard [[alternative HTML version deleted]]
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
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