[R-sig-Geo] Computational problems with errorsarlm
Roger Bivand
Roger.Bivand at nhh.no
Thu Aug 3 09:31:09 CEST 2017
Definitely your weights matrix. The matrix must be known and fixed. You should not try to use errorsarlm with only very few spatially identified grouped observations. Only use a multilevel approach, such as that in the HSAR package, see articles referenced there, or in an online article in Spatial Statistics by Zhe Sha and coauthors at:
https://doi.org/10.1016/j.spasta.2017.01.002
Roger Bivand
Norwegian School of Economics
Bergen, Norway
Fra: Javier García
Sendt: torsdag 3. august, 02.19
Emne: [R-sig-Geo] Computational problems with errorsarlm
Til: r-sig-geo at r-project.org
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
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