[R-sig-Geo] Function stslshac {sphet}: heteroskedasticity and autocorrelation consistent (HAC) estimator

[monika nov]

Dear Roger,

Thank you for your reply. Finally I got reply from Harry Kelejian, the
author of the paper referred to in R help for the function stslshac
and also the author of the paper you are referring to. His response
was: 'The HAC estimator allows for spatial correlation , as well as
heteroskedasticity. There is no need to test for spatial correlation
or heteroskedasticity. when using the HAC.' Which answered my question
and made this issue clear for me.


Regarding your reference, the answer may be implied in the paper,
however I would need to spend quite long time studying it to
understand it and unfortunately I am quite busy at the moment. Thank
you for willingness to help anyway.

Monika



On 21 September 2015 at 17:04, Roger Bivand <Roger.Bivand at nhh.no> wrote:
> On Sat, 19 Sep 2015, monika nov wrote:
>
>> Dear R-users,
>>
>> I have quite basic question for econometricians, however I would like
>> to be sure in this.
>>
>> If I use a HAC estimator of the variance-covariance (VC) matrix for a
>> spatial econometric model, do I still need to test the residuals for
>> spatial autocorrelation and heteroscedasticity? (in particular I am
>> using function stslshac available in package sphet. The estimator is
>> based on Kelejian, H.H. and Prucha, I.R. (2007) HAC estimation in a
>> spatial framework, Journal of Econometrics, 140, pages 131–154).
>>
>> What if the residuals from model estimated by stslshac are spatially
>> autocorrelated and (or) heteroscedastic? Can I still use this
>> estimator with HAC estimate of VC matrix or shall I go for different
>> estimator or specification? Do the estimates have required properties
>> (are they unbiased, consistent, efficient)? I would be grateful for
>> any reaction.
>
>
> Does this reference throw any light on the question? I'm not aware of
> implementations:
>
> @article{
> year={2015},
> issn={1864-4031},
> journal={Letters in Spatial and Resource Sciences},
> doi={10.1007/s12076-015-0146-2},
> title={Critical issues in spatial models: error term specifications,
> additional endogenous variables, pre-testing, and Bayesian analysis},
> url={http://dx.doi.org/10.1007/s12076-015-0146-2},
> publisher={Springer Berlin Heidelberg},
> keywords={Specifications of spatial models; Additional endogenous variables;
> Pre-testing; Bayesian analysis; C01; C12; C13},
> author={Kelejian, HarryH.},
> pages={1-24},
> language={English}
> }
>
> Roger
>
>>
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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