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</o:shapelayout></xml><![endif]--></head><body lang=ES link=blue vlink=purple><div class=WordSection1><p class=MsoPlainText style='text-align:justify'>Hello everybody, <o:p></o:p></p><p class=MsoPlainText style='text-align:justify'><br>I have estimated a spatial error model by means of the lagsarlm() function. The Breusch-Pagan test for spatial models (bptest.sarlm()) shows heteroskedasticity evidence. I want to estimate robust standard errors, but the functions I have looked at only work with lm type objects. In page 23 in the spdep manual it is stated that "it is also technically possible to make heteroskedasticity corrections to standard error estimates by using the “lm.target” component of sarlm objects – using functions in the lmtest and sandwich packages.", and gives an example that honestly I do not understand (what is $tary and $tarX? what is the lm.target component? where are they documented?). I have adapted the example to my case, obtaining an estimated model with its corresponding coefficients, standard errors, etc. My question is: is this correct? Are these standard errors already robust under heteroskedasticity?<o:p></o:p></p><p class=MsoPlainText style='text-align:justify'><o:p> </o:p></p><p class=MsoPlainText style='text-align:justify'>Thanks a lot in advance<o:p></o:p></p><p class=MsoPlainText style='text-align:justify'><o:p> </o:p></p><p class=MsoPlainText style='text-align:justify'>Best<o:p></o:p></p><p class=MsoPlainText style='text-align:justify'>Javi<o:p></o:p></p><p class=MsoPlainText style='text-align:justify'><o:p> </o:p></p><p class=MsoPlainText style='text-align:justify'>PD: below you can see the piece of code and the generated output<o:p></o:p></p><p class=MsoPlainText style='text-align:justify'><o:p> </o:p></p><p class=MsoPlainText><o:p> </o:p></p><p class=MsoPlainText><span style='font-family:"Courier New"'>reg.SLM <- lagsarlm(precio_m2~z1+z2+z3+z4+z5+z6+z7+z8+z9+z10-1,<o:p></o:p></span></p><p class=MsoPlainText><span style='font-family:"Courier New"'>data=datos,W_n,method="eigen", tol.solve=1.0e-20) </span><span style='font-family:"Courier New"'><o:p></o:p></span></p><p class=MsoNormal><o:p> </o:p></p><p class=MsoNormal><span style='font-family:"Courier New"'>lm.target <- lm(reg.SEM$tary ~ reg.SEM$tarX - 1)<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Courier New"'>if (require(lmtest) && require(sandwich)) {<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Courier New"'>coeftest(lm.target, vcov=vcovHC(lm.target, type="HC0"), df=Inf)<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Courier New"'>}<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Courier New"'><o:p> </o:p></span></p><p class=MsoNormal><span style='font-family:"Courier New"'>z test of coefficients:<o:p></o:p></span></p><p class=MsoNormal><o:p> </o:p></p><p class=MsoNormal><span style='font-family:"Courier New"'> Estimate Std. Error z value Pr(>|z|)<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Courier New"'>reg.SEM$tarXI(x - lambda * WX)z1 1489.27593 124.86303 11.9273 < 2.2e-16<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Courier New"'>reg.SEM$tarXI(x - lambda * WX)z2 1471.24060 135.03910 10.8949 < 2.2e-16<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Courier New"'>reg.SEM$tarXI(x - lambda * WX)z3 1646.50753 126.03324 13.0641 < 2.2e-16<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Courier New"'>reg.SEM$tarXI(x - lambda * WX)z4 1615.11404 232.94826 6.9334 4.110e-12<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Courier New"'>reg.SEM$tarXI(x - lambda * WX)z5 1947.56387 149.28017 13.0464 < 2.2e-16<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Courier New"'>reg.SEM$tarXI(x - lambda * WX)z6 1903.80428 132.62287 14.3550 < 2.2e-16<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Courier New"'>reg.SEM$tarXI(x - lambda * WX)z7 1943.40961 118.29268 16.4288 < 2.2e-16<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Courier New"'>reg.SEM$tarXI(x - lambda * WX)z8 2576.77441 144.33295 17.8530 < 2.2e-16<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Courier New"'>reg.SEM$tarXI(x - lambda * WX)z9 3037.47241 215.77036 14.0773 < 2.2e-16<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Courier New"'>reg.SEM$tarXI(x - lambda * WX)z10 3976.81752 260.71406 15.2536 < 2.2e-16<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Courier New"'> <o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Courier New"'>reg.SEM$tarXI(x - lambda * WX)z1 ***<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Courier New"'>reg.SEM$tarXI(x - lambda * WX)z2 ***<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Courier New"'>reg.SEM$tarXI(x - lambda * WX)z3 ***<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Courier New"'>reg.SEM$tarXI(x - lambda * WX)z4 ***<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Courier New"'>reg.SEM$tarXI(x - lambda * WX)z5 ***<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Courier New"'>reg.SEM$tarXI(x - lambda * WX)z6 ***<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Courier New"'>reg.SEM$tarXI(x - lambda * WX)z7 ***<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Courier New"'>reg.SEM$tarXI(x - lambda * WX)z8 ***<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Courier New"'>reg.SEM$tarXI(x - lambda * WX)z9 ***<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Courier New"'>reg.SEM$tarXI(x - lambda * WX)z10 ***<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Courier New"'><o:p> </o:p></span></p><p class=MsoNormal><span style='font-family:"Courier New"'>---<o:p></o:p></span></p><p class=MsoNormal><span style='font-family:"Courier New"'>Signif. codes: 0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1<o:p></o:p></span></p><p class=MsoNormal><o:p> </o:p></p><table class=MsoNormalTable border=0 cellspacing=3 cellpadding=0 width="86%" style='width:86.58%;background:white'><tr><td style='padding:3.75pt 3.75pt 3.75pt 3.75pt'></td></tr><tr><td width="99%" style='width:99.04%;background:black;padding:3.75pt 3.75pt 3.75pt 3.75pt'><table class=MsoNormalTable border=0 cellspacing=3 cellpadding=0 width="100%" style='width:100.0%'><tr><td width="55%" style='width:55.0%;padding:.75pt .75pt .75pt .75pt'><p class=MsoNormal><b><span style='font-size:8.5pt;font-family:"Verdana","sans-serif";color:white;mso-fareast-language:ES'>JAVIER GARCÍA </span></b><b><span style='font-size:8.5pt;font-family:"Verdana","sans-serif";color:white;mso-fareast-language:ES'><o:p></o:p></span></b></p><p class=MsoNormal><b><span style='font-size:8.5pt;font-family:"Verdana","sans-serif";color:white;mso-fareast-language:ES'><o:p> </o:p></span></b></p><p class=MsoNormal><b><span style='font-size:8.5pt;font-family:"Verdana","sans-serif";color:white;mso-fareast-language:ES'>Departamento de Economía Aplicada III (Econometría y Estadística)<o:p></o:p></span></b></p><p class=MsoNormal><b><span style='font-size:8.5pt;font-family:"Verdana","sans-serif";color:white;mso-fareast-language:ES'>Facultad de Economía y Empresa (Sección Sarriko)</span></b><span style='color:#1F497D;mso-fareast-language:ES'><br></span><span style='font-size:7.0pt;font-family:"Verdana","sans-serif";color:white;mso-fareast-language:ES'>Avda. Lehendakari Aguirre 83</span><span style='font-size:7.0pt;color:#1F497D;mso-fareast-language:ES'><o:p></o:p></span></p><p class=MsoNormal><span style='font-size:7.0pt;font-family:"Verdana","sans-serif";color:white;mso-fareast-language:ES'>48015 BILBAO<br><b>T.: +34 601 7126</b> <b>F.: +34 601 3754</b><br></span><span style='color:#1F497D;mso-fareast-language:ES'><a href="http://www.ehu.es/"><b><span style='font-size:7.0pt;font-family:"Verdana","sans-serif";color:white'>www.ehu.es</span></b></a> </span><span style='font-size:12.0pt;color:#1F497D;mso-fareast-language:ES'><o:p></o:p></span></p></td><td width="45%" valign=top style='width:45.0%;padding:.75pt .75pt .75pt .75pt'><p class=MsoNormal align=right style='text-align:right'><span style='color:#1F497D;mso-fareast-language:ES'><img border=0 width=482 height=74 id="Imagen_x0020_1" src="cid:image001.gif@01D32838.B160D830" alt="http://www.unibertsitate-hedakuntza.ehu.es/p268-content/es/contenidos/informacion/manual_id_corp/es_manual/images/firma_email_upv_euskampus_bilingue.gif"></span><span style='font-size:12.0pt;color:#1F497D;mso-fareast-language:ES'><o:p></o:p></span></p></td></tr></table></td></tr></table><p class=MsoNormal><span style='mso-fareast-language:ES'><o:p> </o:p></span></p><p class=MsoNormal><o:p> </o:p></p></div></body></html>