[R-sig-Geo] Endogenous explanatory variables in sphet

[Roger Bivand]

On Mon, 6 May 2013, Feichtinger, Paul wrote:

> Dear list members,
>
> I was wondering if someone could help me out. Estimating a general 
> spatial model (gstslshet) our model is likely to suffer from endogeneity 
> not only introduced by the spatial lag but also from other explanatory 
> variables. Is there any possibility to explicitly account for this 
> endogeneity (by using specific instruments)? Is it covered/dealt with in 
> some kind? Obviously I do not understand equation 4 in Piras (2010). I

I suggest that you install the development version of sphet from R-forge:

install.packages("sphet", repos="http://R-Forge.R-project.org")

and look for spreg(), which is a wrapper function for the model-fitting 
functions. You should look for the endog= and instruments= arguments, 
where:

spreg(formula = CRIME ~ HOVAL, data = columbus, listw = listw,
     endog = "INC", instruments = "DISCBD")

is an example of usage.

Hope this helps,

Roger

> read Anselin, Amaral and Arribas-Bel (2012) where they compare different 
> GMM implementations among others also with an endogenous explanatory 
> variable, but cannot reproduce the results in R sphet (problem is knitr, 
> sweave,... I never use that), which is the only spatial econometrics 
> software I use as I am a beginner. I would be really glad I someone 
> could explain me this issue.
>
> Best regards,
>
> Paul
> ---
> Technische Universit?t M?nchen - TUM
> Paul Feichtinger
> Lehrstuhl f?r Volkswirtschaftslehre, Umwelt?konomie und Agrarpolitik
>
> Alte Akademie 14
> 85354 Freising
> Tel: +49.8161.71.3574
> Fax: +49.8161.71.3408
> e-mail: Paul.Feichtinger at tum.de
>
>
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>
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-- 
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