On Tue, 11 Mar 2014, Andreas Forø Tollefsen wrote:
Hi,
I wanted to ask if anyone know of particular diagnostics plot for sarlm
objects.
Do you mean Haining-style plots (DOI: 10.1111/j.1467-9787.1994.tb00870.x)
or others?
In addition, it would be great to be able to plot create effect plots for
the models fitted. Is this possible?
The answer is no, and more no now than before. Until a few years ago,
lagsarlm() returned a fitted lm object from (y - \rho W y) ~ X, but it no
longer does so (the fitted object included its fitting environment which
made objects arbitrarily large on serialisation). You can re-create this
with:
library(spdep)
data(oldcol)
COL.lag.eig <- lagsarlm(CRIME ~ INC + HOVAL, data=COL.OLD,
nb2listw(COL.nb, style="W"))
lmobj <- lm(COL.lag.eig$tary ~ COL.lag.eig$tarX - 1)
but variable names, etc, are messed up. If you reconstruct them:
CRIME <- COL.lag.eig$tary
INC <- COL.lag.eig$tarX[,2]
HOVAL <- COL.lag.eig$tarX[,3]
lmobj <- lm(CRIME ~ INC + HOVAL)
library(effects)
plot(effect("INC:HOVAL", lmobj))
works, but the lm() variance-covariance of the coefficients matrix is
wrong (omitted interaction with \rho). For errorsarlm(), the lm()
variance-covariance is OK if the model is correctly specified. To do this
properly would involve writing an Effect method to suit, and finding out
how to add output components (terms?) to errorsarlm, lagsarlm and sacsarlm
to permit them to flow through effect. The crucial thing would be to pass
the correct variance-covariance matrix through, I think.
This is worth doing, contributions welcome!
Roger
Thanks!
Andreas
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Roger Bivand
Department of Economics, Norwegian School of Economics,
Helleveien 30, N-5045 Bergen, Norway.
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