Stata implementation of the non-parametric spatial heteroskedasticity and autocorrelation consistent estimator
AbstractThis talk introduces two Stata routines to implement the non-parametric heteroskedasticity and autocorrelation consistent (SHAC) estimator of the varianceâ€“covariance matrix in a spatial context, as proposed by Conley (1999) and Kelejian and Prucha (2007). The (SHAC) estimator is robust against potential misspecification of the disturbance terms and allows for unknown forms of heteroskedasticity and correlation across spatial units. Heteroskedasticity is likely to arise when spatial units differ in size or structural features.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Stata Users Group in its series SAN12 Stata Conference with number 24.
Date of creation: 01 Aug 2012
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-08-23 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Kelejian, Harry H. & Prucha, Ingmar R., 2010. "Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances," Journal of Econometrics, Elsevier, vol. 157(1), pages 53-67, July.
- Marlon G. Boarnet & Saksith Chalermpong & Elizabeth Geho, 2005.
"Specification issues in models of population and employment growth,"
Papers in Regional Science,
Wiley Blackwell, vol. 84(1), pages 21-46, 03.
- Boarnet, Marlon G. & Chalermpong, Saksith & Geho, Elizabeth, 2001. "Specification Issues in Models of Population and Employment Growth," University of California Transportation Center, Working Papers qt5fn0m74n, University of California Transportation Center.
- Bernard Fingleton & Julie Le Gallo, 2008. "Estimating spatial models with endogenous variables, a spatial lag and spatially dependent disturbances: Finite sample properties," Papers in Regional Science, Wiley Blackwell, vol. 87(3), pages 319-339, 08.
- Jeanty, P. Wilner & Partridge, Mark & Irwin, Elena, 2010. "Estimation of a spatial simultaneous equation model of population migration and housing price dynamics," Regional Science and Urban Economics, Elsevier, vol. 40(5), pages 343-352, September.
- Conley, T. G., 1999. "GMM estimation with cross sectional dependence," Journal of Econometrics, Elsevier, vol. 92(1), pages 1-45, September.
- David M. Drukker & Ingmar Prucha & Rafal Raciborski, 2013. "A command for estimating spatial-autoregressive models with spatial-autoregressive disturbances and additional endogenous variables," Stata Journal, StataCorp LP, vol. 13(2), pages 287-301, June.
- Mittelhammer,Ron C. & Judge,George G. & Miller,Douglas J., 2000. "Econometric Foundations Pack with CD-ROM," Cambridge Books, Cambridge University Press, number 9780521623940, October.
- Kelejian, Harry H. & Prucha, Ingmar R., 2007. "HAC estimation in a spatial framework," Journal of Econometrics, Elsevier, vol. 140(1), pages 131-154, September.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F Baum).
If references are entirely missing, you can add them using this form.