[R-sig-Geo] SLX model for splm package in R

Tue Aug 30 08:43:47 CEST 2016

On Tue, 30 Aug 2016, dfamaral at usp.br wrote:

> Dear all,
>
> Impacts in SLX model are calculated directly by parameters estimation:
>
> http://onlinelibrary.wiley.com/doi/10.1111/jors.12188/abstract
>
> Beta1 gives direct impact and Beta 2 the indirect:
>
> y = beta1*X + beta2*WX + e
>

Yes, but you need the total impact beta1+beta2, but more work to infer 
from that sum, which is what you need to assess the impact of X.

> I understand W must multiply T times the X matrix (T is the lenght of 
> time series for a panel data). And variables are demeaned after WX is 
> calculated.

Kronecker product of sparse matrices. Please contribute a patch for 
create_WX if desirable.

Please motivate the demean-after-lag concusion. Will this not affect the 
direct link between X and WX?

Roger

>
> Daniel.
>
> ----- Mensagem original -----
>
>
> De: "Roger Bivand" <Roger.Bivand at nhh.no>
> Para: "Burcu Ozuduru" <bozuduru at gmail.com>
> Cc: dfamaral at usp.br, r-sig-geo at r-project.org
> Enviadas: Segunda-feira, 29 de Agosto de 2016 4:13:26
> Assunto: Re: [R-sig-Geo] SLX model for splm package in R
>
> This is far too ad-hoc a discussion. For Spatial panel SLX, please read
> carefully:
>
> http://dx.doi.org/10.1016/j.spasta.2014.02.002
> DOI 10.1007/s10109-015-0217-3
> DOI: 10.1111/jors.12188
>
> for a view of the state of play. One question - should you demean the X
> variables before taking spatial lags? This does not apply to cross-section
> models for which spdep::create_WX() was written, for obvious reasons. A
> second question - how do you handle the calculation of total impacts in
> this setting? In cross-section models, this is reasonably easy, by linear
> combination. But in spatial panel SLX models, is it easy? What does the
> literature suggest?
>
> On Mon, 29 Aug 2016, Burcu Ozuduru wrote:
>
>> Hi,
>>
>> This is a great question because I faced the same problem a while back.
>> What I did is to obtain the spatial weight matrix as (have spdep
>> installed).
>>
>> S47matrix<-W1%*%S47
>>
>> and then put it in my data frame and equation. Btw, above W1 is a spatial
>> weights matrix I obtained from a neighbor list
>> (W1=as.matrix(as_dgRMatrix_listw(ccListw))) and S47 is the dependent
>> variable.
>>
>> m2<-data.frame(S41,S46,S47,S65,S68,S47matrix,MAD10000,NQPDA10000,TPBtA10000,DivA10000,Lnk10000)
>> summary(m2<-zeroinfl(S47~MAD10000+NQPDA10000+S47matrix, dist="negbin"))
>>
>> I also wanted to ask whether I was on the right track. Professor Bivand, if
>> this is a common problem could you direct us to a relevant page -if
>> available and if at all possible- please? Your advice would be sincerely
>> appreciated.
>
> This is an inappropriate question for this thread (SLX spatial panel
> models). You must refer to the literature, and understand what you are
> doing:
>
> zeroinfl(S47~MAD10000+NQPDA10000+S47matrix, dist="negbin")
>
> is completely wrong, as S47matrix is Wy, the spatial lag of the dependent
> variable, and this spatial lag model of response S47 cannot be estimated
> using pscl::zeroinfl (do say which package provides the functions you
> mention). Your only recourse is to write your own Bayesian model. It is
> even extremely likely that this model doesn't make any substantive sense,
> unless you have a good understanding about why S47 at i (for all i) should
> be simultaneously caused by the full set of values of S47. A model in the
> error might make sense (a zero inflated negbin model with an additive mrf
> random effect (maybe R2BayesX 10.18637/jss.v014.i11).
>
> An SLX zero inflated negbin model could maybe apply, in which case
> pscl::zeroinfl might be applicable, but then you'd be including the lags
> of MAD10000 and NQPDA10000, not the response, and inference on total
> impacts of these variables could be challenging rather than obvious (MCMC
> summaries of the summed samples of the coefficients would work, but here
> no MCMC I think - R2BayesX might help).
>
> Most of these issues are far more complex than students or their
> supervisors understand, do ask an experienced applied statistician (I'm
> not an applied statistician, don't rely on my suggestions, you yourself
> are responsible for your results).
>
> Hope this clarifies,
>
> Roger
>
>>
>> Kind Regards-
>>
>> Thanks-
>>
>> Burcu
>>
>> ---
>>
>> Burcu H. Ozuduru,
>> Gazi University, Faculty of Architecture,
>> Department of City and Regional Planning
>> Maltepe-Ankara Turkey
>> t: +90-312-5823701
>> e: bozuduru at gazi.edu.tr
>> http://websitem.gazi.edu.tr/bozuduru
>>
>>
>> On Mon, Aug 29, 2016 at 12:42 AM, Roger Bivand <Roger.Bivand at nhh.no> wrote:
>>
>>> On Sun, 28 Aug 2016, dfamaral at usp.br wrote:
>>>
>>> Dear colleagues,
>>>>
>>>> Does anyone know how to implement Spatial Lag of X (SLX) model for panel
>>>> data using splm package? I tried the following to create a WX matrix and
>>>> then apply Fixed and Random Effects:
>>>>
>>>> tb <- read.csv2("panel.csv", header = TRUE, sep = ";", dec = ".")
>>>> time <- length(unique(tb$year))
>>>> X <- as.matrix(tb[ ,3:20])
>>>>
>>>
>>> class(X) is not "pseries", is it?
>>>
>>> WX <- slag(X, listw, maxlag = 1)
>>>>
>>>> I see that slag is applicable for vectors of pseries, but this command
>>>> led to the error message: "Error in UseMethod("slag"): no applicable method
>>>> for 'slag' applied to an object of class "c('matrix', 'double', 'numeric')"
>>>>
>>>
>>> slag.default() takes a vector, slag.pseries() a "pseries" object.
>>>
>>>
>>>> Is there any way to implement this SLX model for panel series?
>>>>
>>>
>>> Did you look at spdep::create_WX?
>>>
>>>
>>>> Regards,
>>>>
>>>> Daniel.
>>>>
>>>> [[alternative HTML version deleted]]
>>>>
>>>>
>>> Please do not post HTML - like insects, HTML carries infectious payloads
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>>>
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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
>>> http://orcid.org/0000-0003-2392-6140
>>> https://scholar.google.no/citations?user=AWeghB0AAAAJ&hl=en
>>> http://depsy.org/person/434412
>>>
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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
http://orcid.org/0000-0003-2392-6140
https://scholar.google.no/citations?user=AWeghB0AAAAJ&hl=en
http://depsy.org/person/434412