[R-sig-Geo] GMM-2SLS estimation in spdep

[Roger Bivand]

On Mon, 25 Jun 2012, Pelin Akçagün wrote:

> Dr. Bivand,
>
>
> Sorry for posting twice, there seemed to be a technical problem in my
> e-mail account because of the character set, that is why the question was
> repeated.
>
>
> I have gone over the help pages, the sphet package and Dr. Piras’ recent
> article, which were really helpful. This classification between
> gstsls-stsls-GMerrorsar functions appeared in my mind as a result of this
> reading material.
>
> However, I was in a doubt that I may be missing something. For instance in
> the following code
>
>
> stslslag.absfit <- stsls(absform, data=LAEA, listw=lwW)
>
> GMerr.absfit <- GMerrorsar(absform, data=LAEA, listw=lwW,
> returnHcov=TRUE)
>
> gstsls.absfit <- gstsls(absform, data=LAEA, listw=lwW)
>
>
> This already gives me the STSLS, GM SAR and GM SARAR estimators. I wanted
> to be sure that those three estimators rely on the same methodology so that
> they can be comparable.
>
> To be more specific, does the GM estimation for this spatial cross
> sectional model rests upon a numerical Hessian approximation based on OLS
> residuals? And in the presence of endogeneity caused by the spatial lag
> estimator (as in SARAR model), does this GM procedure rely on 2SLS
> estimates (which makes comparison between spatial 2SLS and spatial GMM
> harder, as one is conditional on the other)?

Please refer to the code, either in your console, from the source package, 
or online at R-Forge:

https://r-forge.r-project.org/scm/viewvc.php/pkg/R/kpgm_new.R?view=markup&root=spdep

for GMerrorsar and gstsls, and:

https://r-forge.r-project.org/scm/viewvc.php/pkg/R/s2sls.R?view=markup&root=spdep

for stsls. You will see quite a lot of choices, often caused by the 
difficulty of getting the GM argmin to converge numerically. If you read 
gstsls at the foot of the first file, you see that it calls tsls from the 
second file in the first stage, then copies the argmin section from 
GMerrorsar. Neither GMerrorsar not gstsls iterate their solutions. Note 
that GMerrorsar can also use the Arnold-Wied moments.

>
> So if these models are not directly comparable in terms of the methodology,
> is there any other way to make them? I may be confused at some point. I
> appreciate any kind of help.

They are comparable in implementation terms, using to some extent the same 
underlying functions. Please also compare the code with that of the 
model-fitting functions in sphet, where again there is a good deal in 
common. I've included Gianfranco Piras as CC, because his views will be 
relevant for you.

Hope this helps,

Roger

>
>
> Thanks in advance
>
> Pelin
>
>
>
> On Mon, Jun 25, 2012 at 10:42 PM, Roger Bivand <Roger.Bivand at nhh.no> wrote:
>
>> On Mon, 25 Jun 2012, Pelin Akçagün wrote:
>>
>>  Dear list users,
>>>
>>>
>>>  From the package spdep, I understood that GMM-2SLS procedure can be
>>>> applied
>>>>
>>> to spatial cross-sectional regression models (without heteroscedastic
>>> innovations) as in the following and I wonder if I get it correct:
>>>
>>
>> You seem to be in a hurry, try not to repeat questions, patience can help.
>> The functions you mention have help pages, and you always have the function
>> code if you are in doubt. You are expected to provide sample code for your
>> question - did you consider that? You do not mention the sphet package, or
>> its vignette and JSS article by Gianfranco Piras, perhaps you should look
>> at those too?
>>
>> Roger
>>
>>
>>> -  ?gstsls? (generalized spatial two stage least squares) command for
>>> SARAR
>>> (SAC) models
>>>
>>> - ?stsls? (spatial two stage least squares) command for spatial lag models
>>>
>>> - ?GMerrorsar? command for spatial error model.
>>>
>>>
>>> I wonder if each command -with some alterations- can be used
>>> interchangeably. In particular, is there a way to directly estimate a GM
>>> process for SARAR and spatial lag models? Or if not, do they use the same
>>> methodology with S2SLS (as in Kelejian and Prucha 1998, 1999)?
>>>
>>>
>>> Thanks in advance,
>>>
>>> Best regards,
>>>
>>>
>>> Pelin Akcagun
>>>
>>> Middle East Technical University
>>>
>>> Turkey
>>>
>>>        [[alternative HTML version deleted]]
>>>
>>>
>>>
>> --
>> 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