[R-sig-Geo] estimation of spatial panels with endogenous weighting matrices

[Roger Bivand]

On Thu, 2 Nov 2017, MERVE AKSOYLAR wrote:

> Dear all,
>
> I'm doing my thesis on some empirical work on spatial panel data.
> I already use some geographical weighting matrices (using spdep and splm
> packages).
>
> But now I'm planning to use some endogenous weighting matrices, which are
> time variant.

Please provide a working example if possible (time invariant, error or 
lag, fixed or random effects?), or at least references to published 
methods articles. Why might time variant endogenous weighting matrices 
(size T x NxN x T with many 0 by definition) be interesting? You are 
thinking of a different Kronecker product than that in splm, but with what 
motivation (theoretical and empirical)? How are you thinking of proceeding 
- GMM, ML, or Bayesian? Could you use INLA in a non-separable setting? 
This doesn't get you to endogenous weights, though.

Roger

>
> Could you please help me for this estimation procedure? Do you suggest any
> packages for endogenous W, or is it possible to send me some codes for this
> kind of estimation?
>
> Thanks a lot,
> Merve Aksoylar
>
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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; e-mail: Roger.Bivand at nhh.no
Editor-in-Chief of The R Journal, https://journal.r-project.org/index.html
http://orcid.org/0000-0003-2392-6140
https://scholar.google.no/citations?user=AWeghB0AAAAJ&hl=en