[R-sig-Geo] Impacts for panel SDM and SDEM models in splm (revisited)

[Denys Dukhovnov]

Dear community,

Almost 7 years ago there was a question on panel SDM model impacts, as run following the models in splm package.

https://stat.ethz.ch/pipermail/r-sig-geo/2016-April/024326.html

The answer given by Roger Bivand then was that there is no built-in function for inference of SDM and SDEM impacts available and instead the impacts could be derived by following a stepwise process using dense weight matrices multiplying the inv(I - rho*W) matrix and the respective model coefficients, differently for Durbin and non-Durbin covariates.

I would like to follow up with 2 more questions. As I did not find any, I am assuming there is still no built-in package function implementation for panel spatial Durbin and Durbin error impacts:
1) Would this solution work the same way for panel SDEM specification (that is, for the Durbin, local spillover effect only)?
2) How could one generate the p-values for the direct, indirect, and total impacts using this method, as given by spdep::impacts() output for SAR and SLX models? Would one need to run some form of simulations?

Thank you very much.

Best,
Denys Dukhovnov