[R-sig-Geo] spgm

Hulényi Martin m@rtin@hulenyi @ending from vl@d@@gov@@k
Mon Oct 22 16:31:23 CEST 2018 

Thanks for the help, I appreciate it :). It works quite well.

One last question, I tried some diagnostics on the spgm models, but it never worked out as it always returned an error. Basically what I would like to do is a test (e.g. LM or information criterion) that would help me to select the proper weight matrix for the model.


E.g.:

library(splm)
data(Produc, package="plm")
data(usaww)
fm <- log(gsp)~log(pcap)+log(pc)+log(emp)+unemp
matrix1 <- kronecker(diag(length(unique(Produc$year))), usaww)
listw1 <- mat2listw(matrix1, style="W")
tr <- trW(as(listw1, "CsparseMatrix"), m=100)
GM <- spgm(fm, data=Produc, listw = usaww, moments="within", spatial.error = FALSE, lag = TRUE)
GMi <- spgm(update(fm, . ~ . - unemp), data=Produc, listw = usaww, moments="within", spatial.error = FALSE, lag = TRUE, endog = ~ unemp,
            instruments = ~ hwy + water + util)
slmtest(GM)
Error in UseMethod("slmtest") :
  no applicable method for 'slmtest' applied to an object of class "stsls"


Is it possible to maybe compute the Pseudo-R2?

Best,

Martin

-----Original Message-----
From: Roger Bivand [mailto:Roger.Bivand using nhh.no]
Sent: Thursday, October 11, 2018 10:00 AM
To: Hulényi Martin <martin.hulenyi using vlada.gov.sk>
Cc: r-sig-geo using r-project.org; Giovanni Millo <giovanni.millo using generali.com>
Subject: Re: [R-sig-Geo] spgm

On Wed, 3 Oct 2018, Roger Bivand wrote:

> Please provide a reproducible example using the Produc dataset, so
> that it is clearer what the problem is. I do not know that there is
> any literature on such impacts, please provide references.

My cut at an example:

library(splm)
data(Produc, package="plm")
data(usaww)
matrix1 <- kronecker(diag(length(unique(Produc$year))), usaww)
listw1 <- mat2listw(matrix1, style="W")
tr <- trW(as(listw1, "CsparseMatrix"), m=100) GM <- spgm(fm, data=Produc, listw = usaww, moments="within", spatial.error = FALSE, lag = TRUE) impacts(GM, listw=listw1) impacts(GM, tr=tr) GMi <- spgm(update(fm, . ~ . - unemp), data=Produc, listw = usaww, moments="within", spatial.error = FALSE, lag = TRUE, endog = ~ unemp, instruments = ~ hwy + water + util)
summary(GMi)
GMii <- spgm(update(fm, . ~ . - unemp - log(emp)), data=Produc, listw = usaww, moments="within", spatial.error = FALSE, lag = TRUE, endog = ~ unemp + log(emp), instruments = ~ hwy + water + util)
summary(GMii)

The summary objects show the coefficients, etc. for endogeneous variables first, before the spatial coefficient. spdep::impacts.stsls() expects the spatial coefficient listed before the variables (dropping the intercept).
If you use:

put_endog_last <- function(stsls) {
   if (is.null(stsls$endog)) stop("no endogenous variables in fitted
model")
   n_endog <- length(all.vars(stsls$endog))
   coefs <- stsls$coefficients
   n_coefs <- length(coefs)
   flip <- c((n_endog+1):n_coefs, 1:n_endog)
   stsls$coefficients <- coefs[flip]
   stsls$var <- stsls$var[flip, flip]
   stsls
}

to flip the orderings in the splm::spgm() output object, impacts can be calculated using the spdep::impacts.stsls() method. I've added the splm maintainer to CC - I'm unsure whether other functions in splm (or other argument settings when lag = TRUE) would be affected by patching
splm::spgm() itself.

Hope this helps,

Roger


>
> Roger
>
> Roger Bivand
> Norwegian School of Economics
> Bergen, Norway
>
>
>
>
> On Wed, Oct 3, 2018 at 11:21 AM +0200, "Hulényi Martin" <martin.hulenyi using vlada.gov.sk<mailto:martin.hulenyi using vlada.gov.sk>> wrote:
>
>
> Thank you very much !
> I have one more question regarding the output. I have also one
> endogenous variable in the model.  Your code worked, but it did not show me the indirect and direct effects for the endogenous varibale. Here is my regex:
> spd_01 <- spgm(gdppcgr~lefpayr+lpopgr+linvr+lagwgipca + laglgdppc,
>             data=esifpdata, listw=dm1.lw,
>             model="within", lag=TRUE, spatial.error= FALSE, endog = ~ lefpayr,
>             instruments=~areaprop,
>             method="w2sls")
> matrix1 <- kronecker(diag(length(unique(esifpdata$years))), dm1)
> listw1 <- mat2listw(matrix1, style="W") tr <- trW(as(listw1,
> "CsparseMatrix"), m=100) impacts(spd_01, listw=listw1) impacts(spd_01,
> tr=tr) summary(impacts(spd_01, tr=tr, R=1000), zstats=TRUE,
> short=TRUE)
>
> Best,
>
> MArtin Hulényi
>
>
> ________________________________________
> Od: Roger Bivand
> Odoslané: 29. septembra 2018 14:52
> Komu: Hulényi Martin
> Kópia: r-sig-geo using r-project.org
> Predmet: Re: [R-sig-Geo] spgm
>
> On Sat, 29 Sep 2018, Hulényi Martin wrote:
>
>> Dear all,
>>
>>
>> I would like to ask if there is a possibility to apply something
>> similiar to the "impacts" from spdep package for SAR regressions
>> using the spgm function from the splm package.
>>
>
> A reprex would have helped. Here is mine:
>
> data(Produc, package = "plm")
> data(usaww) # dense row-standardised weights matrix GM <-
> spgm(log(gsp)~log(pcap)+log(pc)+log(emp)+unemp, data=Produc,
>   listw = usaww, moments="fullweights", lag=TRUE, spatial.error =
> FALSE)
> class(GM)
> ?impacts.stsls # spdep method for stsls objects
> head(Produc)
> length(unique(Produc$year)) # T
> big <- kronecker(diag(length(unique(Produc$year))), usaww) listw <-
> mat2listw(big, style="W") tr <- trW(as(listw, "CsparseMatrix"), m=100)
> impacts(GM, listw=listw) impacts(GM, tr=tr) summary(impacts(GM, tr=tr,
> R=1000), zstats=TRUE, short=TRUE)
>
> The splm:::impacts.splm() method cannot dispatch on stsls objects, so
> they try to use the spdep:::impacts.stsls() method, but there the data
> rows are n x T but listw is only of n rows. Looking inside
> splm:::impacts.splm(), you see that a sparse kronecker product matrix
> is constructed - either do the same if your n x T is large, or follow
> the above using a dense kronecker product and cast back to listw
> representation to create the trace vector.
>
> Hope this clarifies,
>
> Roger
>
>>
>> Best regards,
>>
>>
>> Martin Hul???nyi ?
>>
>>
>> [eco.jpg]       Pred vytla???en???m tohto mailu zv???te pros???m vplyv na ???ivotn??? prostredie. ???akujeme.
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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 using nhh.no
> http://orcid.org/0000-0003-2392-6140
> https://scholar.google.no/citations?user=AWeghB0AAAAJ&hl=en
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>
>
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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 using nhh.no
http://orcid.org/0000-0003-2392-6140
https://scholar.google.no/citations?user=AWeghB0AAAAJ&hl=en
[eco.jpg]       Pred vytlačením tohto mailu zvážte prosím vplyv na životné prostredie. Ďakujeme.
Please consider the environment before printing this e-mail. Thanks

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