[R] Package for: Instrumental variables with spatial error and lags for cross-sectional data?
cpblpublic+rhelp at gmail.com
cpblpublic+rhelp at gmail.com
Mon Feb 15 16:19:11 CET 2016
I have a spatial cross-sectional dataset. I think I have an instrument for
my dependent variable, but there's reason to suspect I need a spatial lag
with spatial error model. The dataset has about 100,000 observations.
I am looking for a package which will estimate my model in R (or Stata or
Python, if that will be a lot easier).
Here's where I'm stuck in R:
Package spdep has some spatial error /spatial lag models (sarar and
gstsls), but no I.V.
Package splm has a g2sls function, which seems to offer nearly what I
want. But this package is for spatial panels ... but not cross-sections.
Package sphet makes use of IV, but not the kind where you have your own
instrument. Instead, it's simply using spatial lags of X as instruments
for a spatial lag model. This seems also what this blog is about.
There's a s2sls package, i.e. spatial 2sls, version 0.1 in Jan 2016. It
looks too new and undocumented to try.
Surely if there's a nice package for panel data IV, there's one also for
cross-sections?
Thanks,
Chris
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