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HETSAR: Stata module to estimate spatial autoregressive models with heterogeneous coefficients

Author

Listed:
  • Federico Belotti

    (University of Rome Tor Vergata)

Programming Language

Stata

Abstract

hetsar fits spatial autoregressive panel data models with heterogeneous coefficients. The estimation is performed via quasi maximum-likelihood. hetsar allows the automatic estimation of Durbin and dynamic models. Stata matrices, spmat or spmatrix objects can be used to specify the spatial weights matrix. See Aquaro, Bailey and Pesaran (J. Appl. Econometrics, 2021) for technical details.

Suggested Citation

  • Federico Belotti, 2021. "HETSAR: Stata module to estimate spatial autoregressive models with heterogeneous coefficients," Statistical Software Components S458926, Boston College Department of Economics, revised 17 Aug 2021.
    • Handle: RePEc:boc:bocode:s458926
    Note: This module should be installed from within Stata by typing "ssc install hetsar". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/h/hetsar.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/h/hetsar_p.ado
    File Function: program code
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/h/hetsar.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/h/hetsar_postestimation.sthlp
    File Function: help file
    Download Restriction: no
    File URL: http://fmwww.bc.edu/repec/bocode/l/lhetsar.mlib
    File Function: Mata object library
    Download Restriction: no
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