[R-sig-Geo] Spatial Durbin Model with regimes in a cross section framework

[Roger Bivand]

On Fri, 2 Oct 2015, Loredana Mirra wrote:

>
> Thank you very much for your kind help. Yes, I should check also if, after
> having estimated separated coefficients,  the difference, if any, is
> statistically significant (using a chow test). Implementing such test is the
> major issue to me. Can you give me an hint about this?

Please see ch. 4 in Kleiber and Zeilis (2008) Applied Econometrics with R. 
You may use anova() on the no-regime model and the regime model, which is 
equivalent to a Chow test (personal communication, Achim Zeileis, 2005). 
It will however suffer from misspecification such as outliers, discussed 
in section 4.3 and the use of a Wald test with an HC covariance matrix.

> Thanks also for the suggestion about the interpretation of output in SDM.

A "Chow" test might go through a Likelihood Ratio test, but should 
arguably be presented using the empirical distributions of the impacts for 
each X variable for the no-regime model and for each regime.

Hope this helps,

Roger

> Best Regards
> Loredana
> -----Messaggio originale-----
> Da: Roger Bivand [mailto:Roger.Bivand at nhh.no]
> Inviato: giovedì 1 ottobre 2015 20:45
> A: Loredana Mirra
> Cc: r-sig-geo at r-project.org
> Oggetto: Re: [R-sig-Geo] Spatial Durbin Model with regimes in a cross
> section framework
>
> On Thu, 1 Oct 2015, Loredana Mirra wrote:
>
>> I am writing to ask you a suggestion about the availability of a R
>> routine or piece of program for the purposes of my empirical analysis.
>> I should revise my paper using a Spatial Durbin model. This was
>> recommended in order to mitigate a problem due to the possible presence of
> unobserved factors.
>>
>> Unfortunately data do not permit to perform a panel but a cross
>> section analysis. I do not have troubles to perform a Spatial Durbin
>> Model on the entire sample, but I need to study the presence of
>> Spatial Regimes. The problem is that I cannot find a program, in a
>> cross sections framework. Do you know if there is a program available in R
> to perform this analysis?
>
> How do you want to handle the "regimes"? Estimate separate coefficients for
> each regime (regime defined as a factor)? If so, this is a standard formula
> construction, and can be used with formula objects in model fitting
> functions:
>
> lm(mpg ~ 0 + I(factor(am))/(disp + wt), data=mtcars)
>
> or similar - check in detailed discussions of formula objects.
>
> You need to be careful to report impacts, not coefficient values, from the
> Spatial Durbin model.
>
> Hope this helps,
>
> Roger
>
>> Thank you very much in advance for your help.
>>
>> Best regards
>>
>> Loredana Mirra
>>
>>
>>
>>
>>
>> -------------------------
>>
>>
>>
>> Dott.ssa  Loredana Mirra
>>
>> Universit??? di Roma ???Tor Vergata???
>>
>> Dipartimento di Economia Diritto e Istituzioni
>>
>> Via Columbia, 2
>>
>> 00133 Roma
>>
>> Italia
>>
>> tel. +390672595725
>>
>> <mailto:pozzolo at unimol.it> loredana.mirra at uniroma2.it
>>
>>
>>
>>
>>
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>
> --
> Roger Bivand
> Department of Economics, Norwegian School of Economics, Helleveien 30,
> N-5045 Bergen, Norway.
> voice: +47 55 95 93 55; fax +47 55 95 91 00
> e-mail: Roger.Bivand at nhh.no
>
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-- 
Roger Bivand
Department of Economics, Norwegian School of Economics,
Helleveien 30, N-5045 Bergen, Norway.
voice: +47 55 95 93 55; fax +47 55 95 91 00
e-mail: Roger.Bivand at nhh.no