我正在估计一些空间计量经济学模型，其中包含空间自回归项rho和空间误差项lambda。在尝试传达我的结果时，我使用的是texreg包，该包接受我正在使用的sacsarlm模型。但是，我注意到texreg正在打印相同的rho和lambda参数的p值。 Texreg似乎返回了在模型对象的model@LR1$p.value广告位中找到的p值。
参数rho和lambda的大小不同，并且具有不同的标准误差，因此它们不应具有等效的p值。如果我在模型对象上调用summary，我会获得唯一的p值，但无法确定这些值在模型对象中的存储位置，尽管在str(model)调用中遍历每个元素。
我的问题有两个：
以下是显示问题的最小示例：
library(spdep)
library(texreg)
set.seed(42)
W.ran <- matrix(rbinom(100*100, 1, .3),nrow=100)
X <- rnorm(100)
Y <- .2 * X + rnorm(100) + .9*(W.ran %*% X)
W.test <- mat2listw(W.ran)
model <- sacsarlm(Y~X, type = "sacmixed",
listw=W.test, zero.policy=TRUE)
summary(model)
Call:sacsarlm(formula = Y ~ X, listw = W.test, type = "sacmixed",
zero.policy = TRUE)
Residuals:
Min 1Q Median 3Q Max
-2.379283 -0.750922 0.036044 0.675951 2.577148
Type: sacmixed
Coefficients: (asymptotic standard errors)
Estimate Std. Error z value Pr(>|z|)
(Intercept) 0.91037455 0.65700059 1.3857 0.1659
X -0.00076362 0.10330510 -0.0074 0.9941
lag.(Intercept) -0.03193863 0.02310075 -1.3826 0.1668
lag.X 0.89764491 0.02231353 40.2287 <2e-16
Rho: -0.0028541
Asymptotic standard error: 0.0059647
z-value: -0.47849, p-value: 0.6323
Lambda: -0.020578
Asymptotic standard error: 0.020057
z-value: -1.026, p-value: 0.3049
LR test value: 288.74, p-value: < 2.22e-16
Log likelihood: -145.4423 for sacmixed model
ML residual variance (sigma squared): 1.0851, (sigma: 1.0417)
Number of observations: 100
Number of parameters estimated: 7
AIC: 304.88, (AIC for lm: 585.63)
screenreg(model)
=================================
Model 1
---------------------------------
(Intercept) 0.91
(0.66)
X -0.00
(0.10)
lag.(Intercept) -0.03
(0.02)
lag.X 0.90 ***
(0.02)
---------------------------------
Num. obs. 100
Parameters 7
AIC (Linear model) 585.63
AIC (Spatial model) 304.88
Log Likelihood -145.44
Wald test: statistic 1.05
Wald test: p-value 0.90
Lambda: statistic -0.02
Lambda: p-value 0.00
Rho: statistic -0.00
Rho: p-value 0.00
=================================
*** p < 0.001, ** p < 0.01, * p < 0.05
显然，在该示例中，Rho和Lambda具有不同的p值，两者都不为零，因此texreg输出存在问题。任何帮助，为什么这种情况发生或在哪里获得正确的p值非常感谢！
答案 0 :(得分：5)
texreg作者在这里。谢谢你抓住这个。如我的回复here中所述，texreg使用extract方法从任何（当前超过70个支持的）模型对象类型中检索相关信息。看起来sarlm对象的方法的GOF部分存在一个小故障。
以下是该方法目前的样子（截至texreg 1.36.13）：
# extension for sarlm objects (spdep package)
extract.sarlm <- function(model, include.nobs = TRUE, include.aic = TRUE,
include.loglik = TRUE, include.wald = TRUE, include.lambda = TRUE,
include.rho = TRUE, ...) {
s <- summary(model, ...)
names <- rownames(s$Coef)
cf <- s$Coef[, 1]
se <- s$Coef[, 2]
p <- s$Coef[, ncol(s$Coef)]
gof <- numeric()
gof.names <- character()
gof.decimal <- logical()
if (include.nobs == TRUE) {
n <- length(s$fitted.values)
param <- s$parameters
gof <- c(gof, n, param)
gof.names <- c(gof.names, "Num.\ obs.", "Parameters")
gof.decimal <- c(gof.decimal, FALSE, FALSE)
}
if (include.aic == TRUE) {
aic <- AIC(model)
aiclm <- s$AIC_lm.model
gof <- c(gof, aiclm, aic)
gof.names <- c(gof.names, "AIC (Linear model)", "AIC (Spatial model)")
gof.decimal <- c(gof.decimal, TRUE, TRUE)
}
if (include.loglik == TRUE) {
ll <- s$LL
gof <- c(gof, ll)
gof.names <- c(gof.names, "Log Likelihood")
gof.decimal <- c(gof.decimal, TRUE)
}
if (include.wald == TRUE) {
waldstat <- s$Wald1$statistic
waldp <- s$Wald1$p.value
gof <- c(gof, waldstat, waldp)
gof.names <- c(gof.names, "Wald test: statistic", "Wald test: p-value")
gof.decimal <- c(gof.decimal, TRUE, TRUE)
}
if (include.lambda == TRUE && !is.null(s$lambda)) {
lambda <- s$lambda
LRpval <- s$LR1$p.value[1]
gof <- c(gof, lambda, LRpval)
gof.names <- c(gof.names, "Lambda: statistic", "Lambda: p-value")
gof.decimal <- c(gof.decimal, TRUE, TRUE)
}
if (include.rho == TRUE && !is.null(s$rho)) {
rho <- s$rho
LRpval <- s$LR1$p.value[1]
gof <- c(gof, rho, LRpval)
gof.names <- c(gof.names, "Rho: statistic", "Rho: p-value")
gof.decimal <- c(gof.decimal, TRUE, TRUE)
}
tr <- createTexreg(
coef.names = names,
coef = cf,
se = se,
pvalues = p,
gof.names = gof.names,
gof = gof,
gof.decimal = gof.decimal
)
return(tr)
}
setMethod("extract", signature = className("sarlm", "spdep"),
definition = extract.sarlm)
我认为lambda和rho部分需要更新才是对的。 sacsarlm函数不会将summary方法打印的结果存储在任何对象中，因此您正确地指出使用str的任何尝试都不会显示真正的p值等
因此，在打印摘要时，查看print.summary.sarlm包中spdep函数实际执行的操作是有意义的。我在source code of the package on CRAN的R/summary.spsarlm.R文件中找到了此函数的代码。它看起来像这样：
print.summary.sarlm <- function(x, digits = max(5, .Options$digits - 3),
signif.stars = FALSE, ...)
{
cat("\nCall:", deparse(x$call), sep = "", fill=TRUE)
if (x$type == "error") if (isTRUE(all.equal(x$lambda, x$interval[1])) ||
isTRUE(all.equal(x$lambda, x$interval[2])))
warning("lambda on interval bound - results should not be used")
if (x$type == "lag" || x$type == "mixed")
if (isTRUE(all.equal(x$rho, x$interval[1])) ||
isTRUE(all.equal(x$rho, x$interval[2])))
warning("rho on interval bound - results should not be used")
cat("\nResiduals:\n")
resid <- residuals(x)
nam <- c("Min", "1Q", "Median", "3Q", "Max")
rq <- if (length(dim(resid)) == 2L)
structure(apply(t(resid), 1, quantile), dimnames = list(nam,
dimnames(resid)[[2]]))
else structure(quantile(resid), names = nam)
print(rq, digits = digits, ...)
cat("\nType:", x$type, "\n")
if (x$zero.policy) {
zero.regs <- attr(x, "zero.regs")
if (!is.null(zero.regs))
cat("Regions with no neighbours included:\n",
zero.regs, "\n")
}
if (!is.null(x$coeftitle)) {
cat("Coefficients:", x$coeftitle, "\n")
coefs <- x$Coef
if (!is.null(aliased <- x$aliased) && any(x$aliased)){
cat(" (", table(aliased)["TRUE"],
" not defined because of singularities)\n", sep = "")
cn <- names(aliased)
coefs <- matrix(NA, length(aliased), 4, dimnames = list(cn,
colnames(x$Coef)))
coefs[!aliased, ] <- x$Coef
}
printCoefmat(coefs, signif.stars=signif.stars, digits=digits,
na.print="NA")
}
# res <- LR.sarlm(x, x$lm.model)
res <- x$LR1
pref <- ifelse(x$ase, "Asymptotic", "Approximate (numerical Hessian)")
if (x$type == "error") {
cat("\nLambda: ", format(signif(x$lambda, digits)),
", LR test value: ", format(signif(res$statistic,
digits)), ", p-value: ", format.pval(res$p.value,
digits), "\n", sep="")
if (!is.null(x$lambda.se)) {
if (!is.null(x$adj.se)) {
x$lambda.se <- sqrt((x$lambda.se^2)*x$adj.se)
}
cat(pref, " standard error: ",
format(signif(x$lambda.se, digits)),
ifelse(is.null(x$adj.se), "\n z-value: ",
"\n t-value: "), format(signif((x$lambda/
x$lambda.se), digits)),
", p-value: ", format.pval(2*(1-pnorm(abs(x$lambda/
x$lambda.se))), digits), "\n", sep="")
cat("Wald statistic: ", format(signif(x$Wald1$statistic,
digits)), ", p-value: ", format.pval(x$Wald1$p.value,
digits), "\n", sep="")
}
} else if (x$type == "sac" || x$type == "sacmixed") {
cat("\nRho: ", format(signif(x$rho, digits)), "\n",
sep="")
if (!is.null(x$rho.se)) {
if (!is.null(x$adj.se)) {
x$rho.se <- sqrt((x$rho.se^2)*x$adj.se)
}
cat(pref, " standard error: ",
format(signif(x$rho.se, digits)),
ifelse(is.null(x$adj.se), "\n z-value: ",
"\n t-value: "),
format(signif((x$rho/x$rho.se), digits)),
", p-value: ", format.pval(2 * (1 - pnorm(abs(x$rho/
x$rho.se))), digits), "\n", sep="")
}
cat("Lambda: ", format(signif(x$lambda, digits)), "\n", sep="")
if (!is.null(x$lambda.se)) {
pref <- ifelse(x$ase, "Asymptotic",
"Approximate (numerical Hessian)")
if (!is.null(x$adj.se)) {
x$lambda.se <- sqrt((x$lambda.se^2)*x$adj.se)
}
cat(pref, " standard error: ",
format(signif(x$lambda.se, digits)),
ifelse(is.null(x$adj.se), "\n z-value: ",
"\n t-value: "), format(signif((x$lambda/
x$lambda.se), digits)),
", p-value: ", format.pval(2*(1-pnorm(abs(x$lambda/
x$lambda.se))), digits), "\n", sep="")
}
cat("\nLR test value: ", format(signif(res$statistic, digits)),
", p-value: ", format.pval(res$p.value, digits), "\n",
sep="")
} else {
cat("\nRho: ", format(signif(x$rho, digits)),
", LR test value: ", format(signif(res$statistic, digits)),
", p-value: ", format.pval(res$p.value, digits), "\n",
sep="")
if (!is.null(x$rho.se)) {
if (!is.null(x$adj.se)) {
x$rho.se <- sqrt((x$rho.se^2)*x$adj.se)
}
cat(pref, " standard error: ",
format(signif(x$rho.se, digits)),
ifelse(is.null(x$adj.se), "\n z-value: ",
"\n t-value: "),
format(signif((x$rho/x$rho.se), digits)),
", p-value: ", format.pval(2 * (1 - pnorm(abs(x$rho/
x$rho.se))), digits), "\n", sep="")
}
if (!is.null(x$Wald1)) {
cat("Wald statistic: ", format(signif(x$Wald1$statistic,
digits)), ", p-value: ", format.pval(x$Wald1$p.value,
digits), "\n", sep="")
}
}
cat("\nLog likelihood:", logLik(x), "for", x$type, "model\n")
cat("ML residual variance (sigma squared): ",
format(signif(x$s2, digits)), ", (sigma: ",
format(signif(sqrt(x$s2), digits)), ")\n", sep="")
if (!is.null(x$NK)) cat("Nagelkerke pseudo-R-squared:",
format(signif(x$NK, digits)), "\n")
cat("Number of observations:", length(x$residuals), "\n")
cat("Number of parameters estimated:", x$parameters, "\n")
cat("AIC: ", format(signif(AIC(x), digits)), ", (AIC for lm: ",
format(signif(x$AIC_lm.model, digits)), ")\n", sep="")
if (x$type == "error") {
if (!is.null(x$Haus)) {
cat("Hausman test: ", format(signif(x$Haus$statistic,
digits)), ", df: ", format(x$Haus$parameter),
", p-value: ", format.pval(x$Haus$p.value, digits),
"\n", sep="")
}
}
if ((x$type == "lag" || x$type == "mixed") && x$ase) {
cat("LM test for residual autocorrelation\n")
cat("test value: ", format(signif(x$LMtest, digits)),
", p-value: ", format.pval((1 - pchisq(x$LMtest, 1)),
digits), "\n", sep="")
}
if (x$type != "error" && !is.null(x$LLCoef)) {
cat("\nCoefficients: (log likelihood/likelihood ratio)\n")
printCoefmat(x$LLCoef, signif.stars=signif.stars,
digits=digits, na.print="NA")
}
correl <- x$correlation
if (!is.null(correl)) {
p <- NCOL(correl)
if (p > 1) {
cat("\n", x$correltext, "\n")
correl <- format(round(correl, 2), nsmall = 2,
digits = digits)
correl[!lower.tri(correl)] <- ""
print(correl[-1, -p, drop = FALSE], quote = FALSE)
}
}
cat("\n")
invisible(x)
}
您可以看到该函数首先区分不同的子模型（error与sac / sacmixed与其他），然后决定使用哪些标准错误，以及然后动态计算p值而不将它们保存在任何地方。
因此，我们需要在extract方法中执行此操作，以便获得与summary包中的spdep方法相同的结果。我们还需要将其从GOF块移动到表格的系数块（请参阅下面的评论部分进行讨论）。以下是我尝试在extract方法中采用他们的方法：
# extension for sarlm objects (spdep package)
extract.sarlm <- function(model, include.nobs = TRUE, include.loglik = TRUE,
include.aic = TRUE, include.lr = TRUE, include.wald = TRUE, ...) {
s <- summary(model, ...)
names <- rownames(s$Coef)
cf <- s$Coef[, 1]
se <- s$Coef[, 2]
p <- s$Coef[, ncol(s$Coef)]
if (model$type != "error") { # include coefficient for autocorrelation term
rho <- model$rho
cf <- c(cf, rho)
names <- c(names, "$\\rho$")
if (!is.null(model$rho.se)) {
if (!is.null(model$adj.se)) {
rho.se <- sqrt((model$rho.se^2) * model$adj.se)
} else {
rho.se <- model$rho.se
}
rho.pval <- 2 * (1 - pnorm(abs(rho / rho.se)))
se <- c(se, rho.se)
p <- c(p, rho.pval)
} else {
se <- c(se, NA)
p <- c(p, NA)
}
}
if (!is.null(model$lambda)) {
cf <-c(cf, model$lambda)
names <- c(names, "$\\lambda$")
if (!is.null(model$lambda.se)) {
if (!is.null(model$adj.se)) {
lambda.se <- sqrt((model$lambda.se^2) * model$adj.se)
} else {
lambda.se <- model$lambda.se
}
lambda.pval <- 2 * (1 - pnorm(abs(model$lambda / lambda.se)))
se <- c(se, lambda.se)
p <- c(p, lambda.pval)
} else {
se <- c(se, NA)
p <- c(p, NA)
}
}
gof <- numeric()
gof.names <- character()
gof.decimal <- logical()
if (include.nobs == TRUE) {
n <- length(s$fitted.values)
param <- s$parameters
gof <- c(gof, n, param)
gof.names <- c(gof.names, "Num.\ obs.", "Parameters")
gof.decimal <- c(gof.decimal, FALSE, FALSE)
}
if (include.loglik == TRUE) {
ll <- s$LL
gof <- c(gof, ll)
gof.names <- c(gof.names, "Log Likelihood")
gof.decimal <- c(gof.decimal, TRUE)
}
if (include.aic == TRUE) {
aic <- AIC(model)
aiclm <- s$AIC_lm.model
gof <- c(gof, aiclm, aic)
gof.names <- c(gof.names, "AIC (Linear model)", "AIC (Spatial model)")
gof.decimal <- c(gof.decimal, TRUE, TRUE)
}
if (include.lr == TRUE && !is.null(s$LR1)) {
gof <- c(gof, s$LR1$statistic[[1]], s$LR1$p.value[[1]])
gof.names <- c(gof.names, "LR test: statistic", "LR test: p-value")
gof.decimal <- c(gof.decimal, TRUE, TRUE)
}
if (include.wald == TRUE && !is.null(model$Wald1)) {
waldstat <- model$Wald1$statistic
waldp <- model$Wald1$p.value
gof <- c(gof, waldstat, waldp)
gof.names <- c(gof.names, "Wald test: statistic", "Wald test: p-value")
gof.decimal <- c(gof.decimal, TRUE, TRUE)
}
tr <- createTexreg(
coef.names = names,
coef = cf,
se = se,
pvalues = p,
gof.names = gof.names,
gof = gof,
gof.decimal = gof.decimal
)
return(tr)
}
setMethod("extract", signature = className("sarlm", "spdep"),
definition = extract.sarlm)
您可以在运行时执行此代码以更新texreg处理这些对象的方式。如果您仍然认为我没有发现任何故障，请告诉我。如果评论中未报告任何内容，我会在下一个extract版本中添加此更新的texreg方法。
通过这些更改，调用screenreg(model, single.row = TRUE)会产生以下输出：
=======================================
Model 1
---------------------------------------
(Intercept) 0.91 (0.66)
X -0.00 (0.10)
lag.(Intercept) -0.03 (0.02)
lag.X 0.90 (0.02) ***
rho -0.00 (0.01)
lambda -0.02 (0.02)
---------------------------------------
Num. obs. 100
Parameters 7
Log Likelihood -145.44
AIC (Linear model) 585.63
AIC (Spatial model) 304.88
LR test: statistic 288.74
LR test: p-value 0.00
=======================================
*** p < 0.001, ** p < 0.01, * p < 0.05