Hello,
Your parameter space definition can help you from here:
http://www.sciencedirect.com/science/article/pii/S0166046211001104

But then you must consider the possible problems that Lesage and Pace
highlight here:
http://www.be.wvu.edu/econ_seminar/documents/11-12/lesage.pdf

Juan Tomàs


On Sun, Dec 1, 2013 at 10:25 AM, Roger Bivand <Roger.Bivand@nhh.no> wrote:

> On Sun, 1 Dec 2013, Antonio Bubbico wrote:
>
>  Hello,
>>
>> I am wondering if it is possible to run the following model through
>> lagsarlm in spdep package:
>>
>> y = X \beta + \rho_{1}  W_{1} y + \rho_{2} W_{2} y + u
>>
>
> No, there are no model fitting functions or impacts methods for this case,
> neither GMM nor ML. There are constraints on the coefficients that are not
> well established in the literature.
>
> Roger
>
>
>
>> Thanks,
>>
>> Antonio
>>
>>
>>
>> 2013/11/29 Roger Bivand <Roger.Bivand@nhh.no>
>>
>>  On Wed, 27 Nov 2013, Antonio Bubbico wrote:
>>>
>>>  Hello,
>>>
>>>>
>>>> I would like to run a "generalized spatial two stage least squares"
>>>> using
>>>> the sphet package,
>>>> where the model is given by:
>>>>
>>>> y = X \beta + \rho_{1}  W_{1} y + \rho_{2} W_{2} y + u
>>>> u = \lambda W u + \varepsilon
>>>>
>>>> Actually I don't know how to run that model in R, and obviously the
>>>> problem
>>>> is the second W in the first equation.
>>>>
>>>> Do you know if there is possibility to implement the code to run that
>>>> kind
>>>> of model?
>>>>
>>>>
>>> This model is not implemented in sphet or elsewhere in R packages as far
>>> as I know in any form. A reference to something similar is:
>>>
>>> http://ideas.repec.org/p/ces/ceswps/_2356.html
>>>
>>> but you may know this already. The domain of a process of this kind is
>>> something which has not been exhaustively studied.
>>>
>>> Hope this clarifies,
>>>
>>> Roger
>>>
>>>
>>>  Regards,
>>>>
>>>> Antonio Bubbico.
>>>>
>>>>
>>>>
>>>>  --
>>> Roger Bivand
>>> Department of Economics, Norwegian School of Economics,
>>> Helleveien 30, N-5045 Bergen, Norway.
>>> voice: +47 55 95 93 55; fax +47 55 95 95 43
>>> e-mail: Roger.Bivand@nhh.no
>>>
>>>
>>>
>>
>>
>>
> --
> Roger Bivand
> Department of Economics, Norwegian School of Economics,
> 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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>



-- 
Juan Tomás Sayago Gómez
Graduate Research Assistant
West Virginia University - RRI
886 Chestnut Ridge Road, Room 520
P.O. Box 6825
Morgantown, WV 26506-6825

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