[R-sig-Geo] Question about the results of mixed lagsarlm

[Roger Bivand]

On Wed, 21 Dec 2011, Dimitrios Efthymiou wrote:

> Hi all,
>
> I'm using the 'spdep' package of R, in a server with Ubuntu.
> I'm trying to estimate a lagsarlm "mixed" model using 8.000 observations of
> house prices.
>
> until now, I can estimate the errorraslm, lagsarlm (lagged) and sacsarlm
> without problem, but when I try to estimate the mixed lagsarlm, NAs appear
> at the Std. Error, z-value and p columns of many variables.

This means that you have issues in the close correlations between the 
variables and lagged variables. If you use a trs= argument of MC traces, 
the finite difference estimate of the Hessian will be augmented as shown 
in LeSage & Pace (2009), and as the help page for lagsarlm says, the 
problem may go away. You need the series of traces of powers of W anyway 
for impacts(), so no extra effort is required. If the coefficient itself 
is dropped, a variable and its lag are aliased, but this isn't your case 
here.

Hope this helps,

Roger

>
> Does anyone know what causes this?
>
> I'm using k-nearest neighbours = 12, the S-coding variance
> - stabilising, and the LU method  (I concluded to these numbers and methods
> after experimentation in the other models).
>
>
> Characteristics of weights list object:
> Neighbour list object:
> Number of regions: 8066
> Number of nonzero links: 185518
> Percentage nonzero weights: 0.2851475
> Average number of links: 23
> Non-symmetric neighbours list
>
> Weights style: S
> Weights constants summary:
>     n       nn   S0       S1       S2
> S 8066 65060356 8066 630.5066 32982.99
>
>
>
>
>> sessionInfo()R version 2.14.0 (2011-10-31)
> Platform: x86_64-pc-linux-gnu (64-bit)
>
> locale:
> [1] C
>
> attached base packages:
> [1] splines   grid      stats     graphics  grDevices utils     datasets
> [8] methods   base
>
> other attached packages:
> [1] ape_2.8             ade4_1.4-17         car_2.0-11
> [4] survival_2.36-10    nnet_7.3-1          gstat_1.0-10
> [7] spacetime_0.5-7     xts_0.8-2           zoo_1.7-6
> [10] rasterVis_0.10-7    hexbin_1.26.0       latticeExtra_0.6-19
> [13] RColorBrewer_1.0-5  RANN_2.1.3          spdep_0.5-43
> [16] coda_0.14-6         nlme_3.1-102        MASS_7.3-16
> [19] Matrix_1.0-2        boot_1.3-3          ggplot2_0.8.9
> [22] proto_0.3-9.2       reshape_0.8.4       plyr_1.6
> [25] spgwr_0.6-13        spatstat_1.25-0     deldir_0.0-16
> [28] mgcv_1.7-12         rgdal_0.7-5         maptools_0.8-10
> [31] lattice_0.20-0      foreign_0.8-48      raster_1.9-55
> [34] sp_0.9-91
>
> loaded via a namespace (and not attached):
> [1] gee_4.13-17  tools_2.14.0
>
>
> Many thanks in advance for your help.
>
> Dimitris
>
>
>

-- 
Roger Bivand
Department of Economics, NHH Norwegian School of Economics,
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