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sphet: Spatial Models with Heteroskedastic Innovations in R

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  • Gianfranco Piras

Abstract

sphet is a package for estimating and testing spatial models with heteroskedastic innovations. We implement recent generalized moments estimators and semiparametric methods for the estimation of the coefficients variance-covariance matrix. This paper is a general description of sphet and all functionalities are illustrated by application to the popular Boston housing dataset. The package in its current version is limited to the estimators based on Arraiz, Drukker, Kelejian, and Prucha (2010); Kelejian and Prucha (2007, 2010). The estimation functions implemented in sphet are able to deal with virtually any sample size.

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Bibliographic Info

Article provided by American Statistical Association in its journal Journal of Statistical Software.

Volume (Year): 35 ()
Issue (Month): i01 ()
Pages:

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Handle: RePEc:jss:jstsof:35:i01

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Web page: http://www.jstatsoft.org/

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References

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  1. Harrison, David Jr. & Rubinfeld, Daniel L., 1978. "Hedonic housing prices and the demand for clean air," Journal of Environmental Economics and Management, Elsevier, vol. 5(1), pages 81-102, March.
  2. Conley, Timothy G. & Molinari, Francesca, 2007. "Spatial correlation robust inference with errors in location or distance," Journal of Econometrics, Elsevier, vol. 140(1), pages 76-96, September.
  3. Kelejian, Harry H. & Prucha, Ingmar R., 2007. "HAC estimation in a spatial framework," Journal of Econometrics, Elsevier, vol. 140(1), pages 131-154, September.
  4. Pace, R. Kelley & LeSage, James P., 2004. "Chebyshev approximation of log-determinants of spatial weight matrices," Computational Statistics & Data Analysis, Elsevier, vol. 45(2), pages 179-196, March.
  5. Baltagi, Badi H. & Egger, Peter & Pfaffermayr, Michael, 2008. "Estimating regional trade agreement effects on FDI in an interdependent world," Journal of Econometrics, Elsevier, vol. 145(1-2), pages 194-208, July.
  6. Lee, Lung-Fei, 2002. "Consistency And Efficiency Of Least Squares Estimation For Mixed Regressive, Spatial Autoregressive Models," Econometric Theory, Cambridge University Press, vol. 18(02), pages 252-277, April.
  7. Conley, T. G., 1999. "GMM estimation with cross sectional dependence," Journal of Econometrics, Elsevier, vol. 92(1), pages 1-45, September.
  8. Achim Zeileis, . "Econometric Computing with HC and HAC Covariance Matrix Estimators," Journal of Statistical Software, American Statistical Association, vol. 11(i10).
  9. Luc Anselin & Nancy Lozano-Gracia, 2008. "Errors in variables and spatial effects in hedonic house price models of ambient air quality," Empirical Economics, Springer, vol. 34(1), pages 5-34, February.
  10. Joris Pinkse & Margaret E. Slade & Craig Brett, 2002. "Spatial Price Competition: A Semiparametric Approach," Econometrica, Econometric Society, vol. 70(3), pages 1111-1153, May.
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Citations

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Cited by:
  1. Bonanno, Alessandro & Ghosh, Gaurav S., 2010. "SNAP Efficacy and Food Access – A Nationwide Spatial Analysis," 115th Joint EAAE/AAEA Seminar, September 15-17, 2010, Freising-Weihenstephan, Germany 116437, European Association of Agricultural Economists.
  2. Polyakov, Maksym & Pannell, David J. & Pandit, Ram & Tapsuwan, Sorada & Park, Geoff, 2012. "Valuing environmental assets on rural lifestyle properties," Working Papers 126941, University of Western Australia, School of Agricultural and Resource Economics.
  3. repec:asg:wpaper:1047 is not listed on IDEAS
  4. Feichtinger, Paul & Salhofer, Paul, 2013. "A Spatial Analysis of Agricultural Land Prices in Bavaria," Factor Markets Working Papers 162, Centre for European Policy Studies.
  5. Christian Helmers & Manasa Patnam, 2010. "Does the Rotten Child Spoil His Companion? Spatial Peer Effects Among Children in Rural India," Economics Series Working Papers CSAE WPS/2010-13, University of Oxford, Department of Economics.
  6. Cathrine Ulla Jensen & Toke Emil Panduro & Thomas Hedemark Lundhede, 2013. "The Vindication of Don Quijote: The impact of noise and visual pollution from wind turbines on local residents in Denmark," IFRO Working Paper 2013/13, University of Copenhagen, Department of Food and Resource Economics.
  7. Votsis, Athanasios, 2014. "Ecosystems and the spatial morphology of urban residential property value: a multi-scale examination in Finland," MPRA Paper 53742, University Library of Munich, Germany.
  8. Romero, Alfredo A. & Burkey, Mark L., 2011. "Debt Overhang in the Eurozone: A Spatial Panel Analysis," The Review of Regional Studies, Southern Regional Science Association, vol. 41(1), pages 49-63, Summer.
  9. Laura de Dominicis & Raymond J.G.M. Florax & Henri L.F. de Groot, 2013. "Regional clusters of innovative activity in Europe: are social capital and geographical proximity key determinants?," Applied Economics, Taylor & Francis Journals, vol. 45(17), pages 2325-2335, June.
  10. Ogorevc, Marko & Verbič, Miroslav, 2012. "Ownership and wages: Spatial econometric approach," MPRA Paper 38915, University Library of Munich, Germany.
  11. Pandit, Ram & Polyakov, Maksym & Sadler, Rohan, 2012. "The importance of tree cover and neighbourhood parks in determining urban property values," 2012 Conference (56th), February 7-10, 2012, Freemantle, Australia 124357, Australian Agricultural and Resource Economics Society.
  12. Luc Anselin, 2012. "From SpaceStat to CyberGIS," International Regional Science Review, , vol. 35(2), pages 131-157, April.
  13. Baylis, Katherine R. & Paulson, Nicholas D. & Piras, Gianfranco, 2011. "Spatial Approaches to Panel Data in Agricultural Economics: A Climate Change Application," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 43(03), August.
  14. Sueli Moro & Reginaldo J. Santos, 2013. "The characteristics and evolution of the Brazilian spatial urban system: empirical evidences for the long-run, 1970-2010," Textos para Discussão Cedeplar-UFMG 474, Cedeplar, Universidade Federal de Minas Gerais.
  15. Álvarez, Inmaculada & Barbero, Javier & Zofío, José Luis, 2013. "A Panel Data Toolbox for MATLAB," Working Papers in Economic Theory 2013/05, Universidad Autónoma de Madrid (Spain), Department of Economic Analysis (Economic Theory and Economic History).
  16. Atsushi Kawamoto, 2012. "An empirical analysis on intergovernmental strategic interaction in tax policy: Evidence from capital taxation in Japan," Discussion papers ron238, Policy Research Institute, Ministry of Finance Japan.
  17. Oliver Lerbs & Christian Oberst, 2011. "Explaining the Spatial Variation in Homeownership Rates: Results for German Regions," CESifo Working Paper Series 3377, CESifo Group Munich.
  18. Gianfranco Piras & Paolo Postiglione & Patricio Aroca, 2012. "Specialization, R&D and productivity growth: evidence from EU regions," The Annals of Regional Science, Springer, vol. 49(1), pages 35-51, August.
  19. Giovanni Millo & Gianfranco Piras, . "splm: Spatial Panel Data Models in R," Journal of Statistical Software, American Statistical Association, vol. 47(i01).
  20. Marco Helbich & Wolfgang Brunauer & Eric Vaz & Peter Nijkamp, . "Spatial Heterogeneity in Hedonic House Price Models: The Case of Austria," Tinbergen Institute Discussion Papers 13-171/VIII, Tinbergen Institute.

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