[R-sig-Geo] Doubt

[Roger Bivand]

On Wed, 29 Jul 2020, Pietro Andre Telatin Paschoalino wrote:

> Hello everyone on the list.
>
> I am a PhD student in Brazil and I have some doubts in the area of 
> ​​spatial econometrics, if anyone knows and can answer me I would be very 
> grateful.
>
> I'm using the spreg function from the sphet package. Sorry if I'm asking 
> you an obvious question, but I couldn't solve it simply by looking in 
> forums / reading the articles of the area.
>
> Follow:
>
> 1- One of the arguments of the spreg function is called step1c, in this
>    case, if I say TRUE, would I be using the efficient estimator of ρ,
>    if false, would it just be the consistent estimator? I verified that
>    step1c = T, brings me the same result as the gstslshet function.

Please see the section on GMM, subsection spatial error model of:

https://www.jstatsoft.org/article/view/v063i18

>
> 2- I am having problems estimating impact after spreg, depending on the
>    versions of my packages, or I have an error (evalue not informed),
>    not performing the estimation, or when I can perform it, a HAC
>    correction is applied to my standard errors (even if I don't put the
>    HAC option on my code) and all my p-values ​​become insignificant
>    (which is very strange since my estimators by lmsar or gstsls have
>    significant impacts). Would you know to inform me if there is an
>    alternative way to calculate the impacts?

Without knowing your current versions, nobody knows. Report the output of 
sessionInfo(), preferably for the minimal set of packages needed for a 
reproducible example (without tidyverse, which loads 50+ packages that are 
not relevant here).

>
> As the HAC was applied to the impacts, I was also in doubt as to whether 
> all the correction for heteroscedasticity is being done via HAC, even 
> though I did not select this option in the models.
>

Please provide a reproducible example using a built-in data set, posting 
in plain text to make copying from your message easier than from HTML, 
which often gets garbled.

Roger



> Thank you very much.
>
> Pietro Andre Telatin Paschoalino
>
>
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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
https://orcid.org/0000-0003-2392-6140
https://scholar.google.no/citations?user=AWeghB0AAAAJ&hl=en