Question

我想估计空间面板自回归模型

y_{t} = a + \rho W y_{t} + \epsilon_{t}

其中a是各个固定效果的向量。我在R中使用了出色的splm软件包。

请注意，这里没有任何自变量X-如果我包含一些回归变量X没问题，但是我想知道如何在其中使用splm指定模型没有自变量。

library(splm)
library("spdep")
data("Produc", package = "Ecdat")
data("usaww")
usalw <- mat2listw(usaww)

# this works well since I have independent regressors
spml(formula = log(gsp) ~ log(pcap), data = Produc,
     listw = usaww, lag = TRUE, spatial.error = "none", model = "within",
     effect = "twoways")

 # this does not work
 spml(formula = log(gsp) ~ ., data = Produc,
      listw = usaww, lag = TRUE, spatial.error = "none", 
      model = "within", effect = "individual")

Answer 1

要估计“空”模型（仅拦截），公式必须为y〜1。当前，该模型可用于随机效应或无个体效应，“内部”（固定效应）估计器需要修正。一种获取FE估算值的解决方法：对数据进行显式定义

    library(plm)
    spml(formula = Within(log(gsp)) ~ 1, data = Produc,
         listw = usaww, lag = TRUE, spatial.error = "none", 
         model = "pooling")

R splm：无外生回归变量的空间面板

1 个答案: