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List:       r-sig-geo
Subject:    Re: [R-sig-Geo] Fw:  "Spdep" linear regression code
From:       Roger Bivand <Roger.Bivand () nhh ! no>
Date:       2011-10-26 14:00:47
Message-ID: alpine.LRH.2.00.1110261600200.15195 () reclus ! nhh ! no
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On Wed, 26 Oct 2011, Mariana Benitez rojas wrote:

> 
> 
> Thank you very much Roger and Dennis,
> 
> I need to do spatial regression for my project on "house prices values" 
> so I will definitely need to use the wonderful "spdep" package (of 
> course the latest version 0.5-40).
> 
> Along with reading more about R, I am curious to see how the statistics 
> like the "p-value" and "z-value" of auto-correlation parameters are 
> estimated. Also how "rho.se" or "lambda.se" and their covariances with 
> other coefficients are calculated in the coefficient covariance matrix 
> code so then I can understand and interpret it for myself.


The most up-to-date reference is given on the relevant help pages:

LeSage J and RK Pace (2009) Introduction to Spatial Econometrics. CRC 
Press, Boca Raton.

and the methods used for computing the standard errors vary depending on 
the method= and trs= arguments to lagsarlm() and errorsarlm() - trs= is 
not (yet) used in sacsarlm.

Roger


> 
> 
> Thanks for you helps,?
> 
> ?
> Mariana Benitez Rojas
> 
> 
> Centro Federal de Educa??o Tecnol?gico (CEFET-PA)
> 
> 
> 
> ________________________________
> From: Roger Bivand <Roger.Bivand@nhh.no>
> 
> Cc: "r-sig-geo@r-project.org" <r-sig-geo@r-project.org>
> Sent: Wednesday, October 26, 2011 1:36 AM
> Subject: Re: [R-sig-Geo] "Spdep" linear regression code
> 
> On Tue, 25 Oct 2011, Mariana Benitez rojas wrote:
> 
> > Dear list,
> > 
> > I am trying to study the code for spatial econometrics models in the "spdep" \
> > package. The code is understandable but I have some parts that I don't? \
> > understand for example why we need to do lm(y ~ x - 1) instead of just lm(y ~ x) \
> > since in other regression models in R we supposedly are doing this way instead of \
> > reducing the x by one.
> 
> You are looking at the implementation code, but do not say what version. The code \
> is not written to be understandable, but to work - most code tries to handle corner \
> cases. Here, the lm() function is being used on the matrix of right-hand side \
> variables, including the intercept, to see whether the user has included aliased \
> (very collinear) variables. Consequently, -1 is added to the formula to tell lm() \
> not to include an intercept. If covariates are aliased, they are omitted in ML \
> fitting. 
> > 
> > Also for "lagsarlm"
> we use three types of regression lm.base(), lm.lag() and the simple (y~1) model so \
> I am not sure which model is being used to compare against the lm.lag() or how we \
> get the LR statistics. 
> The intercept-only model is used to prepare a part of the Nagelkerke pseudo-R2.
> 
> > Fore "errorsarlm" and "sacsarlm" we have the same situation but using lm.target() \
> > instead of lm.lag(). 
> 
> You probably need to know more R to read the code - these sub-objects and steps are \
> not of great interest, and do not give you the log likelihood, which is shown in \
> the summary(), and (surprisingly) logLik() methods for sarlm objects. For LR \
> statistics, use the LR.sarlm() function. 
> > 
> > I would be so thankful if anybody could give the answer or show me the material \
> > that I can use for my study.
> 
> You have not explained what the point of your study is, as far as I can see. The \
> functions are fitting by maximum likelihood, and doing lots of extra things to \
> accommodate for example alternative methods for computing the Jacobian, and for \
> estimating the coefficient covariance matrix. So the lines you have chosen to \
> report are not very odd, just auxiliary regressions used in getting to the user's \
> chosen model fit. 
> Hope this clarifies,
> 
> Roger
> 
> > 
> > 
> > 
> > ?
> > Mariana Benitez Rojas
> > 
> > 
> > Centro Federal de Educa??o Tecnol?gico (CEFET-PA)
> > 
> > ??? [[alternative HTML version deleted]]
> > 
> > 
> 
> -- Roger Bivand
> Department of Economics, NHH 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
> 	[[alternative HTML version deleted]]
> 
> 

-- 
Roger Bivand
Department of Economics, NHH 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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