[R-sig-Geo] Error in lag.listw(listw2, u) : Variable contains non-finite values - panel spatial model using splm

Tue Jun 11 15:53:02 CEST 2019

Dear Roger,

many thanks for your help. Actually the issue was exactly the zero.policy option. I solved this by imposing spdep::set.ZeroPolicyOption(TRUE). Now the estimation works. This solution should apply to all weighting matrices having rows with all zeros, i.e. neighbourless observations.

I notice however that results are different between those obtained if we estimate the model with both individual and time fixed effects by setting effect="twoways" and those obtained by estimating the model with just one type of fixed effect (e.g. effect="individual") and adding the other ones by hand in the formula.

I will add a reproducible example using the Produc dataset to show this issue.

library(plm)
library(spdep)
library(splm)

data(Produc, package = "plm")
data(usaww)

##effect="twoways"

fespaterr <- spml(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp, data = Produc, listw = mat2listw(usaww),
model="within",lag=T,effect = "twoways", spatial.error="b", Hess = FALSE)

summary(fespaterr)

##effect="individual" and time fixed effects by hand

fespaterr <- spml(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp + factor(year), data = Produc, listw = mat2listw(usaww),
model="within",lag=T,effect = "individual", spatial.error="b", Hess = FALSE)

summary(fespaterr)

##effect="time" and individual fixed effects by hand

fespaterr <- spml(log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp + factor(state), data = Produc, listw = mat2listw(usaww),
model="within",lag=T,effect = "time", spatial.error="b", Hess = FALSE)

summary(fespaterr)

Is this correct?

In this example the coefficients are just slightly different between the three specifications. In my case however, with T=2, these three specifications provide completely different results.

Thank you again for your help,

Marco

> 
>     Il 10 giugno 2019 alle 19.42 Roger Bivand <Roger.Bivand using nhh.no> ha scritto:
> 
>     On Mon, 10 Jun 2019, Marco Mello via R-sig-Geo wrote:
> 
>         > > 
> >         Dear community,
> > 
> >     > 
>     Please post plain text, not HTML, easier to copy and paste into an R
>     session.
> 
>     >
> 
>         > > 
> >         I am working on a panel spatial model in R using the package splm. In
> >         particular I am trying to estimate the following model
> > 
> >         spatpan<-spml(y ~ x, data = data_p, index = NULL, listw = W30, na.action
> >         = na.fail, lag = TRUE, spatial.error = "b", model = "within", effect =
> >         "twoways",zero.policy=TRUE)
> > 
> >         but I get the following error and warnings:
> > 
> >         Error in lag.listw(listw2, u) : Variable contains non-finite values
> >         In addition: Warning messages:
> >         1: In lag.listw(listw, u) : NAs in lagged values
> >         2: In lag.listw(listw, u) : NAs in lagged values
> >         3: In lag.listw(listw2, u) : NAs in lagged values
> >         4: In lag.listw(listw2, u) : NAs in lagged values
> > 
> >     > 
>     This is not a reproducible example. Such an example is needed unless you
>     can run traceback() and debug() yourself to solve the problem, but since
>     you have posted, I assume you prefer that someone else runs debug() - and
>     someone will then need a reproducible example, preferably with an adapted
>     standard dataset (add NAs to Produc?).
> 
>     I seem to recall that zero.policy= was not always passed through in some
>     model fitting functions, possibly in splm. If so, set the option with
>     spatialreg::set.ZeroPolicyOption(TRUE) and/or
>     spdep::set.ZeroPolicyOption(TRUE)
>     to avoid that issue if it is present and biting. Of course, had I had a
>     reproducible example, I could have checked and given clearer advice.
> 
>     >
> 
>         > > 
> >         Similarly, if I model the spatial correlation only for the error term,
> > 
> >         spatpan<-spml(y ~ x, data = data_p, index = NULL, listw = W30, na.action
> >         = na.fail, lag = FALSE, spatial.error = "b", model = "within", effect =
> >         "twoways",zero.policy=TRUE)
> > 
> >         I get the following warnings
> > 
> >         1: In lag.listw(listw, u) : NAs in lagged values
> > 
> >         ...
> > 
> >         3: In lag.listw(listw, TT) : NAs in lagged values
> > 
> >         ...
> > 
> >         35: In optimize(sarpanelerror, interval = interval, maximum = TRUE, ... :
> >         NA/Inf replaced by maximum positive value
> > 
> >         ...
> > 
> >         In this case however the model turns out to be estimated, despite the
> >         standard errors are everywhere NAs and the spatial rho coefficient equal
> >         to 1 with weird t stats and p-values.
> > 
> >         An identical problem to mine was already signalled in this mailing list,
> >         unfortunately without receiving any suggestion :
> >         http://r-sig-geo.2731867.n2.nabble.com/problems-using-spml-with-a-listw-where-not-everybody-has-a-neighbour-td7587857.html.
> > 
> >     > 
>     Nabble is only an archive, the real link is:
> 
>     https://stat.ethz.ch/pipermail/r-sig-geo/2015-March/022428.html
> 
>     The posting also gave no reproducible example, so nobody had anything to
>     work on.
> 
>     Hope this helps,
> 
>     Roger
> 
>     >
> 
>         > > 
> >         I guess that the issue could be due to the n by n spatial weighting
> >         matrix W30, which contains some neighbourless observations. However this
> >         feature should be taken into account by the zero.policy option. Moreover
> >         the same framework perfectly works in the cross-sectional case, by using
> >         the function sacsarlm from the package spdep.
> > 
> >         Please, does anybody know what is causing this and how can I solve this
> >         issue? Any help would be really appreciated.
> > 
> >         Kind Regards,
> > 
> >         Marco Mello
> > 
> >         [[alternative HTML version deleted]]
> > 
> >         _______________________________________________
> >         R-sig-Geo mailing list
> >         R-sig-Geo using r-project.org
> >         https://stat.ethz.ch/mailman/listinfo/r-sig-geo
> > 
> >     > 
>     --
>     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
>     https://orcid.org/0000-0003-2392-6140
>     https://scholar.google.no/citations?user=AWeghB0AAAAJ&hl=en https://scholar.google.no/citations?user=AWeghB0AAAAJ&hl=en
> 

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