sim_dgp | R Documentation |
This function can be used to generate data from a data generating process for SDM, SAR, SLX type models.
sim_dgp( n, tt, rho, beta1 = c(), beta2 = c(), beta3 = c(), sigma2, n_neighbor = 4, do_symmetric = FALSE, intercept = FALSE )
n |
Number of spatial observations n. |
tt |
Number of time observations T. |
rho |
The true ρ parameter |
beta1 |
Vector of dimensions k_1 \times 1. Provides the values for β_1 Defaults
to |
beta2 |
Vector of dimensions k_1 \times 1. Provides the values for β_2 Defaults
to |
beta3 |
Vector of dimensions k_2 \times 1. Provides the values for β_3 Defaults
to |
sigma2 |
The true σ^2 parameter for the DGP. Has to be a scalar larger than zero. |
n_neighbor |
Number of neighbors for the generated n \times n spatial weight W matrix. Defaults to 4. |
do_symmetric |
Should the generated spatial weight matrix be symmetric? (default: FALSE) |
intercept |
Should the first column of Z be an intercept? Defaults to |
The generated spatial panel model takes the form
Y = ρ W Y + X β_1 + W X β_2 + Z β_3 + ε,
with ε \sim N(0,I_nσ^2). he function generates the N \times 1 vector Y. The elements of the explanatory variable matrices X (N \times k_1) and Z (N \times k_2) are randomly generated from a Gaussian distribution with zero mean and unity variance (N(0,1)).
The non-negative, row-stochastic n by n matrix W is constructed using a k-nearest neighbor specification based on a randomly generated spatial location pattern, with coordinates sampled from a standard normal distribution.
Values for the parameters β_1, β_2, and β_3, as well as ρ and σ^2 have to be provided by the user. The length of β_1 and β_2 have to be equal.
A spatial Durbin model (SDM) is constructed if ρ is not equal to zero and β_1, β_2, and β_3 are all supplied by the user.
A spatial autoregressive model is constructed if ρ is not equal to zero and only β_3 is supplied by the user.
An SLX type model is constructed if ρ is equal to zero and β_1, β_2 are supplied by the user.
A list with the generated X, Y and W and a list of parameters.
# SDM data generating process dgp_dat = sim_dgp(n =20, tt = 10, rho = .5, beta1 = c(1,-1), beta2 = c(0,.5),beta3 = c(.2),sigma2 = .5)
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.