Description
A comprehensive toolset for ML and GM estimation and diagnostic testing of econometric models for spatial panel data.
Details
| Package: | splm |
| Type: | Package |
| Version: | 0.2-1 |
| Date: | 2010-06-08 |
| License: | GPL |
| LazyLoad: | yes |
Author(s)
Giovanni Millo and Gianfranco Piras
Maintainer: Giovanni Millo <giovanni.millo@generali.com>
References
Anselin, L. and Le Gallo, J. and Jayet, H. (2008) Spatial Panel Econometrics, In Matyas, L. and Sevestre, P. (eds), The econometrics of Panel Data, Fundamentals and Recent Developments in Theory and Practice (3rd Edition), pages 624–660. Springer-Verlag, Berlin Heidelberg.
Baltagi, B.H., Song, S.H., Jung B. and Koh, W. (2007) Testing panel data regression models with spatial and serial error correlation. Journal of Econometrics, 140, 5-51.
Baltagi, B.H., Song, S.H. and Koh, W. (2003) Testing panel data regression models with spatial error correlation. Journal of Econometrics, 117, 123–150.
Elhorst, J.P. (2003) Specification and estimation of spatial panel data models, International Regional Science Review, 26, pages 244–268.
Elhorst, J.P. (2009) Spatial panel data models, In Fischer, M.M. and Getis, A. (eds), Handbook of Applied Spatial AnalysisSpringer, Berlin.
Kapoor, M., Kelejian, H.H. and Prucha, I.R. (2007) Panel data model with spatially correlated error components, Journal of Econometrics, 140, pages 97–130.
Kelejian, H.H. and Prucha, I.R. (1999) A Generalized Moments Estimator for the Autoregressive Parameter in a Spatial Model,International Economic Review, 40, pages 509–533.
Kelejian, H.H. and Prucha, I.R. (1999) A Generalized Spatial Two Stage Least Square Procedure for Estimating a Spatial Autoregressive Model with Autoregressive Disturbances, Journal of Real Estate Finance and Economics, 17, pages 99–121.
Kelejian, H.H. and Prucha, I.R. (2004) Estimation of Simultaneous systems of spatially interrelated cross sectional equations,Journal of Econometrics, 118, pages 27–50.
Millo, G., Piras, G. (2012) splm: Spatial Panel Data Models in R. Journal of Statistical Software, 47(1), 1–38. URL http://www.jstatsoft.org/v47/i01/.
Examples
data(Produc, package = "Ecdat") data(usaww) Produc <- Produc[Produc$year<1975, ] fm <- log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp GM<-spgm(log(gsp)~log(pcap)+log(pc)+log(emp) + unemp, data = Produc, listw = usaww, moments = "fullweights", spatial.error = TRUE) summary(GM) respaterr <- spml(fm, data = Produc, listw = mat2listw(usaww), model="random", spatial.error="b") summary(respaterr)
Results
> summary(GM) Spatial panel fixed effects GM model
Call:
spgm(formula = log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp,
data = Produc, listw = usaww, spatial.error = TRUE, moments = “fullweights”)
Residuals:
Min. 1st Qu. Median 3rd Qu. Max.
-0.08530 -0.00924 0.00147 0.01120 0.08710
Estimated spatial coefficient, variance components and theta:
Estimate
rho 0.34000605
sigma^2_v 0.00042315
Coefficients:
Estimate Std. Error t-value Pr(>|t|)
log(pcap) -0.0344344 0.0719388 -0.4787 0.6321781
log(pc) 0.4180673 0.0802665 5.2085 1.904e-07 ***
log(emp) 0.6842815 0.0524796 13.0390 < 2.2e-16 ***
unemp -0.0083389 0.0024991 -3.3367 0.0008478 ***
—
Signif. codes: 0 ?**?0.001 ?*?0.01 ??0.05 ??0.1 ??1
> summary(respaterr) Spatial panel random effects ML model
Call:
spreml(formula = formula, data = data, index = index, w = listw2mat(listw),
w2 = listw2mat(listw2), lag = lag, errors = errors, cl = cl)
Residuals:
Min. 1st Qu. Median Mean 3rd Qu. Max.
-0.24100 -0.07060 -0.00489 -0.00004 0.06650 0.33400
Error variance parameters:
Estimate Std. Error t-value Pr(>|t|)
phi 25.94693 6.47599 4.0066 6.159e-05 ***
rho 0.59547 0.06517 9.1371 < 2.2e-16 ***
Coefficients:
Estimate Std. Error t-value Pr(>|t|)
(Intercept) 1.6220800 0.2127473 7.6244 2.451e-14 ***
log(pcap) 0.0382456 0.0512507 0.7462 0.45552
log(pc) 0.3970840 0.0433498 9.1600 < 2.2e-16 ***
log(emp) 0.6271538 0.0395013 15.8768 < 2.2e-16 ***
unemp -0.0066850 0.0026529 -2.5199 0.01174 *
—
Signif. codes: 0 ?**?0.001 ?*?0.01 ??0.05 ??0.1 ??1