[R-sig-Geo] weighted spatial autoregression

[Roger Bivand]

On Tue, 21 Aug 2007, Sam Field wrote:

> Thanks Roger!
>
> Sorry about omitting the subject line.  I have been working with errorsarlm() -
> did not know about spautolm().  Do you know if there is something analogous
> possible in the case of the spatial lag model,
>
> Y = pWY + XB + e ?

I have not looked at it, but because it is a wierd animal, I don't think 
it will be too easy to provide a theoretical foundation for it. The 
heteroskedasticity is in the error term, but the autoregressive part 
isn't. I don't think there are any examples anywhere, either.

It ought to be possible, though.

Roger

>
> I was going to start looking into it.
>
> thanks!
>
>
> Sam
>
>
>
>
> Quoting Roger Bivand <Roger.Bivand at nhh.no>:
>
>> On Tue, 21 Aug 2007, Sam Field wrote:
>>
>>> List,
>>>
>>> I am looking for ways of estimating spatial autoregression models that
>> adjust
>>> for a known source of heteroskedaticity and the Waller and Gotway (2004)
>> text
>>> outline how this can be done in the case of the SAR model.  If I work at
>> it, I
>>> think I can implement this myself in R, but I wanted to see if anybody else
>> had
>>> done it. It seems like a pretty straightforward generalization of the SAR
>> model
>>> and would make a very helpful addition to the spatial regression tools in
>>> spdep - especially given the effects of heteroskedaticity on the
>> consistency of
>>> the SAR parameters!
>>
>> ?spautolm
>>
>> The examples reproduce the results in Waller & Gotway, perhaps apart from
>> a flattish function to optimise in the weighted CAR case. spautolm() now
>> provides weighted or unweighted SAR, CAR, and SMA. Sparse matrix methods
>> are available for SAR and CAR, SAR when spatial weights are symmetric or
>> similar to symmetric (CAR weights have to be symmetric).
>>
>> Roger
>>
>>>
>>> Sam
>>>
>>>
>>>
>>>
>>>
>>
>> --
>> 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
>>
>>
>
>
>

-- 
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