{"id":526,"date":"2014-02-20T16:52:56","date_gmt":"2014-02-20T21:52:56","guid":{"rendered":"http:\/\/homepages.uc.edu\/~yaozo\/wordpress\/?p=526"},"modified":"2014-02-20T16:52:56","modified_gmt":"2014-02-20T21:52:56","slug":"splm-packager-documentation-spatial-panel-models-estimation-and-testing","status":"publish","type":"post","link":"https:\/\/zhuoyao.net\/index.php\/2014\/02\/20\/splm-packager-documentation-spatial-panel-models-estimation-and-testing\/","title":{"rendered":"splm-package\tR Documentation Spatial panel models: estimation and testing"},"content":{"rendered":"

Description<\/h3>\n

A comprehensive toolset for ML and GM estimation and diagnostic testing of econometric models for spatial panel data.<\/p>\n

Details<\/h3>\n\n\n\n\n\n\n\n\n\n
Package:<\/td>\nsplm<\/td>\n<\/tr>\n
Type:<\/td>\nPackage<\/td>\n<\/tr>\n
Version:<\/td>\n0.2-1<\/td>\n<\/tr>\n
Date:<\/td>\n2010-06-08<\/td>\n<\/tr>\n
License:<\/td>\nGPL<\/td>\n<\/tr>\n
LazyLoad:<\/td>\nyes<\/td>\n<\/tr>\n
<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

Author(s)<\/h3>\n

Giovanni Millo and Gianfranco Piras<\/p>\n

Maintainer: Giovanni Millo <giovanni.millo@generali.com><\/p>\n

References<\/h3>\n

Anselin, L. and Le Gallo, J. and Jayet, H. (2008) Spatial Panel Econometrics,\u00a0In<\/em>\u00a0Matyas, L. and Sevestre, P. (eds),\u00a0The econometrics of Panel Data, Fundamentals and Recent Developments in Theory and Practice (3rd Edition)<\/em>, pages 624\u2013660. Springer-Verlag, Berlin Heidelberg.<\/p>\n

Baltagi, B.H., Song, S.H., Jung B. and Koh, W. (2007) Testing panel data regression models with spatial and serial error correlation.\u00a0Journal of Econometrics<\/em>,\u00a0140<\/b>, 5-51.<\/p>\n

Baltagi, B.H., Song, S.H. and Koh, W. (2003) Testing panel data regression models with spatial error correlation.\u00a0Journal of Econometrics<\/em>,\u00a0117<\/b>, 123\u2013150.<\/p>\n

Elhorst, J.P. (2003) Specification and estimation of spatial panel data models,\u00a0International Regional Science Review<\/em>,\u00a026<\/b>, pages 244\u2013268.<\/p>\n

Elhorst, J.P. (2009) Spatial panel data models,\u00a0In<\/em>\u00a0Fischer, M.M. and Getis, A. (eds),\u00a0Handbook of Applied Spatial Analysis<\/em>Springer, Berlin.<\/p>\n

Kapoor, M., Kelejian, H.H. and Prucha, I.R. (2007) Panel data model with spatially correlated error components,\u00a0Journal of Econometrics<\/em>,\u00a0140<\/b>, pages 97\u2013130.<\/p>\n

Kelejian, H.H. and Prucha, I.R. (1999) A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model,International Economic Review<\/em>,\u00a040<\/b>, pages 509\u2013533.<\/p>\n

Kelejian, H.H. and Prucha, I.R. (1999) A Generalized Spatial Two Stage Least Square Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances,\u00a0Journal of Real Estate Finance and Economics<\/em>,\u00a017<\/b>, pages 99\u2013121.<\/p>\n

Kelejian, H.H. and Prucha, I.R. (2004) Estimation of Simultaneous systems of spatially interrelated cross sectional equations,Journal of Econometrics<\/em>,\u00a0118<\/b>, pages 27\u201350.<\/p>\n

Millo, G., Piras, G. (2012) splm: Spatial Panel Data Models in R.\u00a0Journal of Statistical Software<\/em>,\u00a047(1)<\/b>, 1\u201338. URL http:\/\/www.jstatsoft.org\/v47\/i01\/.<\/p>\n

Examples<\/h3>\n
data(Produc, package = \"Ecdat\") \ndata(usaww)\nProduc <- Produc[Produc$year<1975, ] \nfm <- log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp\nGM<-spgm(log(gsp)~log(pcap)+log(pc)+log(emp) + unemp, data = Produc, listw = usaww, moments = \"fullweights\", spatial.error = TRUE)\nsummary(GM)\nrespaterr <- spml(fm, data = Produc, listw = mat2listw(usaww), model=\"random\", spatial.error=\"b\")\nsummary(respaterr)<\/pre>\n
Results<\/h3>\n
> summary(GM)\nSpatial panel fixed effects GM model<\/pre>\n
Call:
\nspgm(formula = log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp,
\ndata = Produc, listw = usaww, spatial.error = TRUE, moments = “fullweights”)<\/p>\n
Residuals:
\nMin. 1st Qu. Median 3rd Qu. Max.
\n-0.08530 -0.00924 0.00147 0.01120 0.08710<\/p>\n
Estimated spatial coefficient, variance components and theta:
\nEstimate
\nrho 0.34000605
\nsigma^2_v 0.00042315<\/p>\n
Coefficients:
\nEstimate Std. Error t-value Pr(>|t|)
\nlog(pcap) -0.0344344 0.0719388 -0.4787 0.6321781
\nlog(pc) 0.4180673 0.0802665 5.2085 1.904e-07 ***
\nlog(emp) 0.6842815 0.0524796 13.0390 < 2.2e-16 ***
\nunemp -0.0083389 0.0024991 -3.3367 0.0008478 ***
\n—
\nSignif. codes: 0 ?**?0.001 ?*?0.01 ??0.05 ??0.1 ??1<\/p>\n
> summary(respaterr)\n\nSpatial panel random effects ML model<\/pre>\n
Call:
\nspreml(formula = formula, data = data, index = index, w = listw2mat(listw),
\nw2 = listw2mat(listw2), lag = lag, errors = errors, cl = cl)<\/p>\n
Residuals:
\nMin. 1st Qu. Median Mean 3rd Qu. Max.
\n-0.24100 -0.07060 -0.00489 -0.00004 0.06650 0.33400<\/p>\n
Error variance parameters:
\nEstimate Std. Error t-value Pr(>|t|)
\nphi 25.94693 6.47599 4.0066 6.159e-05 ***
\nrho 0.59547 0.06517 9.1371 < 2.2e-16 ***<\/p>\n
Coefficients:
\nEstimate Std. Error t-value Pr(>|t|)
\n(Intercept) 1.6220800 0.2127473 7.6244 2.451e-14 ***
\nlog(pcap) 0.0382456 0.0512507 0.7462 0.45552
\nlog(pc) 0.3970840 0.0433498 9.1600 < 2.2e-16 ***
\nlog(emp) 0.6271538 0.0395013 15.8768 < 2.2e-16 ***
\nunemp -0.0066850 0.0026529 -2.5199 0.01174 *
\n—
\nSignif. codes: 0 ?**?0.001 ?*?0.01 ??0.05 ??0.1 ??1<\/p>\n
 <\/p>\n
 <\/p>\n","protected":false},"excerpt":{"rendered":"
Description A comprehensive toolset for ML and GM estimation and diagnostic testing of econometric models for spatial panel data. Details Package: splm Type: Package Version:… <\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[22],"tags":[],"class_list":["post-526","post","type-post","status-publish","format-standard","hentry","category-spatial-panel-modeling"],"_links":{"self":[{"href":"https:\/\/zhuoyao.net\/index.php\/wp-json\/wp\/v2\/posts\/526","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/zhuoyao.net\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/zhuoyao.net\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/zhuoyao.net\/index.php\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/zhuoyao.net\/index.php\/wp-json\/wp\/v2\/comments?post=526"}],"version-history":[{"count":0,"href":"https:\/\/zhuoyao.net\/index.php\/wp-json\/wp\/v2\/posts\/526\/revisions"}],"wp:attachment":[{"href":"https:\/\/zhuoyao.net\/index.php\/wp-json\/wp\/v2\/media?parent=526"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/zhuoyao.net\/index.php\/wp-json\/wp\/v2\/categories?post=526"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/zhuoyao.net\/index.php\/wp-json\/wp\/v2\/tags?post=526"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}