spsurtime | R Documentation |
This function estimates SUR models for simple spatial
panel datasets.
spsurtime
is restricted, specifically, to cases where
there is only one equation, G=1, and a varying number of spatial
units, N, and time periods, Tm. The SUR structure appears
in form of serial dependence among the error terms corresponding to the
same spatial unit.
Note that it is assumed that all spatial units share a common pattern
of serial dependence.
The user can choose between different types of spatial specifications, as described below, and the estimation algorithms allow for the introduction of linear restrictions on the β parameters associated to the regressors. The spatial panels with SUR structure can be estimated by maximum-likelihood methods or three-stages least squares procedures, using spatial instrumental variables.
spsurtime (formula, data, time, na.action, listw = NULL, type = "sim", Durbin = NULL, method = "eigen", fit_method = "ml", maxlagW = NULL, zero.policy = NULL, interval = NULL, trs = NULL, R = NULL, b = NULL, demean = FALSE, control = list() )
formula |
An object type |
data |
An object of class data.frame or a matrix. |
time |
Time variable. |
na.action |
A function (default |
listw |
A |
type |
Type of spatial model specification: "sim", "slx", "slm", "sem", "sdm", "sdem", "sarar" or "gnm". Default = "sim". |
Durbin |
If a formula object and model is type "sdm", "sdem" or "slx" the subset of explanatory variables to lag for each equation. |
method |
Similar to the corresponding parameter of
|
fit_method |
Method of estimation for the spatial panel SUR model, either ml or 3sls. Default = ml. |
maxlagW |
Maximum spatial lag order of the regressors employed to
produce spatial instruments for the spatial lags of the explained
variables. Default = 2. Note that in case of |
zero.policy |
Similar to the corresponding parameter of
|
interval |
Search interval for autoregressive parameter.
Default = |
trs |
Either |
R |
A row vector of order (1xpr) with the set of
r linear constraints on the beta parameters. The
first restriction appears in the first p terms,
the second restriction in the next p terms and so on.
Default = |
b |
A column vector of order (rx1) with the values of
the linear restrictions on the beta parameters.
Default = |
demean |
Logical value to allow for the demeaning of panel data. In this case,
|
control |
list of additional arguments. |
Function spsurtime
only admits a formula, created with
Formula
and a dataset of class data.frame
or matrix
. That is, the data cannot be uploaded using data
matrices Y and X provided for other functions in
this package.
The argument time
selects the variable, in the data.frame
,
associated to the time dimension in the panel dataset. Then
spsurtime
operates as in Anselin (1988), that is,
each cross-section is treated as if it were an equation in a SUR model,
which now has Tm 'equations' and N individuals.
The SUR structure appears because there is serial dependence in the errors
of each individual in the panel. The serial dependence in the errors is
not parameterized, but estimated non-parametrically in the Sigma
covariance matrix returned by the function. An important constraint to
mention is that the serial dependence assumed to be the same for all
individuals in the sample. Serial dependence among individuals is
excluded from Anselin approach.
An spsur
object with the output of the maximum-likelihood or
three-stages least-squares estimation of the spatial panel SUR model.
Fernando Lopez | fernando.lopez@upct.es |
Roman Minguez | roman.minguez@uclm.es |
Jesus Mur | jmur@unizar.es |
Anselin, L. (1988). Spatial econometrics: methods and models. Dordrecht, Kluwer Academic Publishers.
Lopez, F.A., Mur, J., and Angulo, A. (2014). Spatial model selection strategies in a SUR framework. The case of regional productivity in EU. Annals of Regional Science, 53(1), 197-220. <doi:10.1007/s00168-014-0624-2>
Lopez, F.A., Martinez-Ortiz, P.J., and Cegarra-Navarro, J.G. (2017). Spatial spillovers in public expenditure on a municipal level in Spain. Annals of Regional Science, 58(1), 39-65. <doi:10.1007/s00168-016-0780-7>
Minguez, R., Lopez, F.A. and Mur, J. (2022). spsur: An R Package for Dealing with Spatial Seemingly Unrelated Regression Models. Journal of Statistical Software, 104(11), 1–43. <doi:10.18637/jss.v104.i11>
Mur, J., Lopez, F., and Herrera, M. (2010). Testing for spatial effects in seemingly unrelated regressions. Spatial Economic Analysis, 5(4), 399-440. <doi:10.1080/17421772.2010.516443>
spsurml
, spsur3sls
,
wald_betas
, wald_deltas
,
lmtestspsur
, lr_betas
#################################### ######## PANEL DATA (G=1; Tm>1) ### #################################### ## Example 1: rm(list = ls()) # Clean memory data(spc) lwspc <- spdep::mat2listw(Wspc, style = "W") N <- nrow(spc) Tm <- 2 index_time <- rep(1:Tm, each = N) index_indiv <- rep(1:N, Tm) WAGE <- c(spc$WAGE83, spc$WAGE81) UN <- c(spc$UN83, spc$UN80) NMR <- c(spc$NMR83, spc$NMR80) SMSA <- c(spc$SMSA, spc$SMSA) pspc <- data.frame(index_indiv, index_time, WAGE, UN, NMR, SMSA) form_pspc <- WAGE ~ UN + NMR + SMSA form2_pspc <- WAGE | NMR ~ UN | UN + SMSA # SLM pspc_slm <- spsurtime(formula = form_pspc, data = pspc, listw = lwspc, time = pspc$index_time, type = "slm", fit_method = "ml") summary(pspc_slm) pspc_slm2 <- spsurtime(formula = form2_pspc, data = pspc, listw = lwspc, time = pspc$index_time, type = "slm", fit_method = "ml") summary(pspc_slm2) ## VIP: The output of the whole set of the examples can be examined ## by executing demo(demo_spsurtime, package="spsur") ### Example 2: rm(list = ls()) # Clean memory ### Read NCOVR.sf object data(NCOVR, package="spsur") nbncovr <- spdep::poly2nb(NCOVR.sf, queen = TRUE) ### Some regions with no links... lwncovr <- spdep::nb2listw(nbncovr, style = "W", zero.policy = TRUE) N <- nrow(NCOVR.sf) Tm <- 4 index_time <- rep(1:Tm, each = N) index_indiv <- rep(1:N, Tm) pHR <- c(NCOVR.sf$HR60, NCOVR.sf$HR70, NCOVR.sf$HR80, NCOVR.sf$HR90) pPS <- c(NCOVR.sf$PS60, NCOVR.sf$PS70, NCOVR.sf$PS80, NCOVR.sf$PS90) pUE <- c(NCOVR.sf$UE60, NCOVR.sf$UE70, NCOVR.sf$UE80, NCOVR.sf$UE90) pNCOVR <- data.frame(indiv = index_indiv, time = index_time, HR = pHR, PS = pPS, UE = pUE) form_pHR <- HR ~ PS + UE ## SIM pHR_sim <- spsurtime(formula = form_pHR, data = pNCOVR, time = pNCOVR$time, type = "sim", fit_method = "ml") summary(pHR_sim) ## SLM by 3SLS. pHR_slm <- spsurtime(formula = form_pHR, data = pNCOVR, listw = lwncovr, time = pNCOVR$time, type = "slm", fit_method = "3sls") summary(pHR_slm) ############################# Wald tests about betas in spatio-temporal models ### H0: equal betas for PS in equations 1, 3 and 4. R <- matrix(0, nrow = 2, ncol = 12) ## nrow = number of restrictions ## ncol = number of beta parameters R[1, 2] <- 1; R[1, 8] <- -1 # PS beta coefficient in equations 1 equal to 3 R[2, 2] <- 1; R[2, 11] <- -1 # PS beta coefficient in equations 1 equal to 4 b <- matrix(0, nrow=2, ncol=1) wald_betas(pHR_sim , R = R , b = b) # SIM model wald_betas(pHR_slm , R = R , b = b) # SLM model ############################# Wald tests about spatial-parameters in ############################# spatio-temporal models ### H0: equal rhos in slm model for equations 1 and 2. R2 <- matrix(0, nrow = 1, ncol = 4) R2[1, 1] <- 1; R2[1, 2] <- -1 b2 <- matrix(0, nrow = 1, ncol = 1) wald_deltas(pHR_slm, R = R2, b = b2)
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