Description Usage Arguments Details Value References Examples
Estimating threshold spatial dynamic panel data model with M-estimator
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y |
matrix, containing regional index (first column), time index (second column) and dependent variable (third column). |
x |
matrix, containing regional index (first column), time index (second column) and regressors. |
w1 |
matrix, the spatial weight matrix. If w2 and w3 are supplied, the spatial weight matrix for spatial lag. |
th |
data.frame, containing regional index (first column, numeric) and grouping indicator(second column, logical). The number of rows should be the same as the number of regions. |
correction |
logical, whether to use adjusted score function. Default value is TRUE. |
max_try |
integer, maximum attempt for the solver. Default value is 5. |
all_er |
logical, whether to output Hessian and Gamma matrix based se. Ignored if correction is set to FALSE. Default value is FALSE. |
true_range |
logical, whether to used the accurate stationary check. Default value is FALSE due to performance reasons. |
residual |
logical, whether to output the residual. Default value is FALSE. |
w3 |
matrix, the spatial weight matrix for spatial error. Default value is the same as w1. |
w2 |
matrix, the spatial weight matrix for spatio-temporal lag. Default value is the same as w1. |
no_tf |
logical, whether to account for time effect. Default value is TRUE. |
model |
character, indicates the model used for estimation, can be "full", "slm", "sem", "sltl". See Details. |
th_type |
character, "row" or "col". Indicates whether the threshold is applied to the columns or the rows of the weight matrix. Default value is "row". |
ini_val |
vector msdpd object. A length 4 vector of the initial values of lambda1, lambda2, lambda3, rho or an msdpd object that contain the non-threshold estimation result. If unsupplied msdpd() will be called. |
rcpp |
logical, whether to use the rcpp implementation to calculate the score function. Default value is TRUE. |
cma_pop_multi |
integer, multiplier for the population size used in CMA-ES. Default value is 1. |
Estimating threshold spatial dynamic panel data model with extended Yang(2018)'s M-estimator
y_{ti} = μ_{i} +α_t+ x_{ti}β_{q} +ρ_{q} y_{t-1,i} + λ_{1q}∑_{j=1}^{n}w_{1,ij}y_{tj} \\ \qquad + λ_{2q}∑_{j=1}^{n}w_{2,ij}y_{t-1,i}+ u_{ti},\\ u_{ti} = λ_{3q}∑_{j=1}^{n}w_{3,ij}u_{tj}+ v_{ti},i=1,…,n,t=1,…,T, q = 1,2
The minimum number of time-periods is 4. Make sure the rows and columns of w1, w2, and w3 are lined up with the regional index. Sub-models can be specified by argument "model"
"full" Full model
"slm" λ_{2q} = λ_{3q} = 0
"sem" λ_{1q} = λ_{2q} = 0
"sltl" λ_{3q} = 0
Some suggestions when the optimizer fails:
Increase max_try
Increase cma_pop_multi
try a different submodel
A list of estimation results of S3 class "msdpdth"
"coefficient" list, coefficients and standard errors
"model" character, model used for estimation
"vc_mat" matrix, variance-covariance matrix
"hes_mat" matrix, optional, Hessian matrix
"gamma_mat" matrix, optional, Gamma matrix
"residual" numeric, optional, residuals
Wu, J and Matsuda, Y. (2021). A threshold extension of spatial dynamic panel model with fixed effects. Journal of Spatial Econometrics 2,3
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