[R] Heteroscedasticity consistent standard errors for Spatial error models

[Roger Bivand]

On Thu, 7 Dec 2006, Achim Zeileis wrote:

> On Thu, 7 Dec 2006, Samarasinghe, Oshadhi Erandika wrote:
> 
> > Hello,
> >
> > Could anyone please tell me how to estimate Heteroscedasticity
> > Consistent standard errors for a Spatial error model? All the functions
> > I have looked at only works for lm objects.
> 
> I assume that you looked also at the "sandwich" package: The methods there
> do not only work for "lm" objects but are object-oriented, appropriate
> methods are already provided for a range of different object classes. So,
> in principle, you can plug in other models as well, potentially including
> spatial models if appropriate methods are provided. See
>   vignette("sandwich-OOP", package = "sandwich")
> 
> Disclaimer: I'm not sure whether the spatial structure of spatial models
> will be appropriately captured by the class of estimators implemented in
> "sandwich". But someone who knows spatial models and their HC covariances
> should be able to figure that out from the vignette above. I'm also not
> sure what specialized methods exist...

Typically, the use of HC covariances with these kinds of models is an 
inappropriate fix for missing variables and possibly also wrong functional 
forms. Some supervisors want them, but in practice fitting a better 
specified model is superior. It is also possible to sample from the fitted 
model - I've been looking at MH sampling from MCMCpack - and that I feel 
is a way to go if the model is badly specified and you can't do anything 
about it. 

Settings where "natural experiments" exist are also very helpful, with
shifts in coefficient values and/or standard errors indicating whether the
hypothesised cause of difference actually had an effect.

It can probably be done, and some journals/referees/supervisors etc. want 
HC covariances, but I'm afraid that doesn't necessarily mean that they are 
any use in practice with these pretty rough kinds of models.

Roger

> 
> Best,
> Z
> 
> 
> > Thank you very much!
> >
> > - Oshadhi
> >
> > ______________________________________________
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> > and provide commented, minimal, self-contained, reproducible code.
> >
> >
> 
> ______________________________________________
> R-help at stat.math.ethz.ch mailing list
> https://stat.ethz.ch/mailman/listinfo/r-help
> PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
> and provide commented, minimal, self-contained, reproducible code.
> 

-- 
Roger Bivand
Economic Geography Section, Department of Economics, Norwegian School of
Economics and Business Administration, 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