[R-sig-Geo] Computational problems with errorsarlm

[Javier García]

Hello everybody:

 

I am trying to estimate a spatial error model, but I am facing to several
problems

 

1)  Running errorsarlm function the following message appears:

 

Warning messages:

1: In errorsarlm(y ~ z1 + z2 + z3 + z4 + z5 + z6 + z7 + z8 +  :

  inversion of asymptotic covariance matrix failed for tol.solve = 1e-10 

  número de condición recíproco = 3.80991e-16 - using numerical Hessian.

2: In sqrt(fdHess[1, 1]) : Se han producido NaNs

 

 

Getting the following results:

 

Approximate (numerical Hessian) standard error: NaN

    z-value: NaN, p-value: NA

Wald statistic: NaN, p-value: NA

 

 

This can be easily “solved” changing tol.solve from 1.0e-10 to, for example,
1.0e-20. Doing this I get  the following results

 

Asymptotic standard error: 14.053

    z-value: -44.177, p-value: < 2.22e-16

Wald statistic: 1951.6, p-value: < 2.22e-16

 

2)  However, I have a more serious problema: the estimate of lambda does not
make any sense

 

Lambda: -620.82, LR test value: 333.5, p-value: < 2.22e-16

 

Any idea about what it is happening? I am using a big dataset with 2800
observations (houses), 14 variables, and the spatial weight matrix has been
constructed “by hand” with the inverse of the inter-areas distances .
Moreover, several observations belong to the same area (in total we have
only 10 areas). As the intra-area distance is unknown but cannot be
considered zero, I calculate it as 1/(0.1*dist_min), being dist_min the
distance between the corresponding area and the nearest one (idea borrowed
from Pattanayak and Butry (2005) “Spatial complementarity of forest and
farms: accounting for ecosystem services”, American Journal of Agricultural
Economics). Could be due to my particular spatial weight matrix? Any
alternative? 

 

 

Cheers

Javi

 

	


JAVIER GARCÍA 

 

Departamento de Economía Aplicada III (Econometría y Estadística)

Facultad de Economía y Empresa (Sección Sarriko)
Avda. Lehendakari Aguirre 83

48015 BILBAO
T.: +34 601 7126 F.: +34 601 3754
 <http://www.ehu.es/> www.ehu.es 

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acion/manual_id_corp/es_manual/images/firma_email_upv_euskampus_bilingue.gif

 

 

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