sphet - Estimation of Spatial Autoregressive Models with and without Heteroskedastic Innovations

Functions for fitting Cliff-Ord-type spatial autoregressive models with and without heteroskedastic innovations using Generalized Method of Moments estimation are provided. Some support is available for fitting spatial HAC models, and for fitting with non-spatial endogeneous variables using instrumental variables.

Last updated 4 months ago

7.42 score 8 stars 3 packages 184 scripts 500 downloads

hspm - Heterogeneous Spatial Models

Spatial heterogeneity can be specified in various ways. 'hspm' is an ambitious project that aims at implementing various methodologies to control for heterogeneity in spatial models. The current version of 'hspm' deals with spatial and (non-spatial) regimes models. In particular, the package allows to estimate a general spatial regimes model with additional endogenous variables, specified in terms of a spatial lag of the dependent variable, the spatially lagged regressors, and, potentially, a spatially autocorrelated error term. Spatial regime models are estimated by instrumental variables and generalized methods of moments (see Arraiz et al., (2010) <doi:10.1111/j.1467-9787.2009.00618.x>, Bivand and Piras, (2015) <doi:10.18637/jss.v063.i18>, Drukker et al., (2013) <doi:10.1080/07474938.2013.741020>, Kelejian and Prucha, (2010) <doi:10.1016/j.jeconom.2009.10.025>).

Last updated 1 years ago

3.00 score 5 stars 1 scripts 167 downloads

spldv - Spatial Models for Limited Dependent Variables

The current version of this package estimates spatial autoregressive models for binary dependent variables using GMM estimators <doi:10.18637/jss.v107.i08> and RIS estimator <doi:10.1007/978-3-662-05617-2_8>. It supports one-step (Pinkse and Slade, 1998) <doi:10.1016/S0304-4076(97)00097-3> and two-step GMM estimator along with the linearized GMM estimator proposed by Klier and McMillen (2008) <doi:10.1198/073500107000000188>. It also allows for either Probit or Logit model and compute the average marginal effects. The RIS estimator allows to estimate the SAR and SEM model. All these models are presented in Sarrias and Piras (2023) <doi:10.1016/j.jocm.2023.100432>.

Last updated 6 months ago

2.78 score 1 stars 1 packages 191 downloads