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

[Roger Bivand]

On Thu, 22 Dec 2011, Dimitrios Efthymiou wrote:

> Hi Roger,
>
> thanks for your help.
>
> Now I get a result, but many variables that are significant at the error
> and lag models, are not significant here.
> In addition, few variables have statistically significant direct impact,
> others indirect and others total.
>
> e.g.
>
>
> Simulated z-values:
>                                 Direct    Indirect       Total
>
>
> ...
> log(sqm)                   134.33514612  6.95584281 27.94811234
> parking                      9.01409655  0.51593572  1.58416761
> chimney                      4.20407856  1.15585250  1.67326910
> auto_heat                    5.37231195  0.66981923  1.30766715
> klima                        4.75291342  2.42475203  2.99642118
> dist_cbd                     1.86144465 -2.04747304 -1.08141630
> metro                       -0.29541702  2.75180894  3.47650020
>
>
> ...
>
>
> This question does not have to do with the package's functions, but I would
> appreciate any help because I'm not totally sure how to explain these
> results.

Please refer to the advice given by J. Paul Elhorst on the openspace list:

http://groups.google.com/group/openspace-list/browse_thread/thread/9381788c8f5c5352

(click on: Show quoted text)

In addition, if you look at the summary output for your error model with 
Hausman=TRUE, you'll see whether an error model is acceptable if the 
Common Factor LR test indicates error rather than spatial Durbin. The 
Hausman test is described in LeSage & Pace 2009.

Hope this helps,

Roger


>
> Many thanks in advance for your help.
>
> Dimitris
>
> On 21 December 2011 14:48, Roger Bivand <Roger.Bivand at nhh.no> wrote:
>
>> 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
>>
>>
>
>
>

-- 
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