[R-sig-Geo] Sampling from a SAR error model

[Sam Field]

List,

I am having trouble writing a script that samples from an SAR error
process. I've done it successfully for a spatial lag model, but not
for the spatial error model.  For the spatial lag model, I have the
following:

y_lag <- (solve(diag(100)- p*w))%*%X_mat%*%parms +
solve(diag(100)-p*w)%*%e

where parms is a parameter vector
X_mat is n by p matrix of independent variables (+ constant)
e is a vector of indepndent normal deviates (mean = 0)
p is the autoregressive paramter
and w is a square, n by n contiguity matrix (row normalized).

This works beautifully.  lagsarlm recovers parms and p without a
problem. Over repeated sampling, the estimated values are centered
on the value for p in the simulation.


Is there something wrong with the following for the spatial error
model?

y_error <- X_mat%*%parms + (solve(diag(100)-p*w))%*%e


The distribution of values for p obtain from errorsarlm over
repeated sampling are not centered around the value for the
simulation, but are typically much lower and all over the place.  I
have only looked at values for p ranging from .3 to .7.

any help would be greatly appreciated!



-- 
Samuel H. Field, Ph.D.
Associate Research Scholar
Institute for Social and Economic Research and Policy (ISERP)
Columbia University
420 W. 118th Street
Mail code 3355
New York, NY  10027
215-731-0106