Dear all, I am working on a research project that uses spatial panel econometric models.
At this moment I am facing some difficulties because I guess there are some issues with the function impacts() in spatialreg package and also with impacts.splm() of the splm package. I already have used these codes previously. But at this time I have endogenous regressors in Cliff-Ord spatial panel model. The major issue I have found is to calculate the impacts when I have one endogenous variable (~pcap) and two exogenous instruments (~hwy+water) in a SARAR spatial panel model. Below I present a simple reproducible example: library(plm) library(splm) library(spdep)data("Produc",package='plm') # Panel data. head(Produc)data("usaww", package="splm") head(usaww) usalw <- mat2listw(usaww,style='W') # mat2listw() X nb2listw() summary(usalw)fm <- log(gsp) ~ log(pcap) + log(pc) + log(emp) + unemp GM_sarar.w2sls <- spgm(formula=fm,data=Produc,listw=usalw,lag=TRUE, model="random",spatial.error=TRUE, endog = ~pcap,instruments= ~hwy+water, lag.instruments = TRUE,method="w2sls") summary(GM_sarar.w2sls) data(usaww) lwstates <- mat2listw(usaww, style ="W") sparse.W <- listw2dgCMatrix(lwstates) time <- length(unique(Produc$year)) s.lwstates <- kronecker(Diagonal(time), sparse.W) set.seed(12345) trMatc <- spatialreg:::trW(s.lwstates, type="mult") imp <- impacts(GM_sarar.w2sls, tr = trMatc, R = 200) summary(imp, zstats=TRUE, short=T) class(GM_sarar.ec2sls) [1] "splm" Could someone please try to solve this issue by a reproducible example? Best regards, André M. Marques Federal University of Paraiba Department of Economics Graduate Program of Economics [[alternative HTML version deleted]] _______________________________________________ R-sig-Geo mailing list R-sig-Geo@r-project.org https://stat.ethz.ch/mailman/listinfo/r-sig-geo