Since I want to obtain a common spatial autoregressive parameter (rho) is it
correct to estimate

> lagsarlm(formula= y ~ D1 / (x1+x2+x3) + D2 / (x1+x2+x3) - 1, data=...,
listw=...)

where D1 and D2 are two complementary dummies?
Estimating a model with just one of the two returns me the coefficient for
only one of the two groups of regions, right?

Thanks,
Annachiara


2008/12/18 Roger Bivand <Roger.Bivand@nhh.no>

> On Thu, 18 Dec 2008, Annachiara Saguatti wrote:
>
>  Hello,
>>
>> is there a way to estimate a sar model (> lagsarlm) with a dummy variable
>> in
>> order to discriminate into two spatial regimes and obtain two different
>> coefficients' estimations for each variable? So far I've been constructing
>> two new variables from each original one by multiplicating it by each
>> dummy,
>> that is: GPC*D1 and GDP*D2. After that I've been running a regression by
>> using the two new variables as explanatory v.
>> Since the two dummies are perfecly complementary, I guess there might be a
>> problem of multicollinearity in this way of estimating the model. Is there
>> an option like the "subset" one in the "lm" function which I can use in a
>> SAR model? Or otherwise, how would you estimate a SAR model with two
>> spatial
>> regimes in R?
>>
>
> This is one of the strengths of the formula abstraction. Dummies are not
> needed, just a factor. The notation would be something like:
>
> formula=y ~ factor / (x1 + x2 + x3 + ...) - 1, data=...
>
> with / using the factor to fit coefficients of the xi for each level of
> factor, and -1 removing a global intercept, so giving an intercept for each
> level of factor. The Chow test is then anova() of the model without factor /
> ... -1 against the model with it.
>
> Hope this helps,
>
> Roger
>
>
>
>> Thank you
>> Annachiara Saguatti
>>
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>>
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>>
>>
> --
> Roger Bivand
> Economic Geography Section, Department of Economics, Norwegian School of
> Economics and Business Administration, Helleveien 30, N-5045 Bergen,
> Norway. voice: +47 55 95 93 55; fax +47 55 95 95 43
> e-mail: Roger.Bivand@nhh.no
>
>

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