Stata Modules - Spatial Econometrics Regression Models

[Emad Shehata]

*** Stata Modules for Spatial Econometrics Regression Models:

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*** (1) Spatial Panel Data Regression Models:
spregxt            Spatial Panel Regression Models: Econometric Toolkit
gs2slsxt           Generalized Spatial Panel 2SLS Regression
gs2slsarxt         Generalized Spatial Panel Autoregressive 2SLS Regression
spglsxt            Spatial Panel Autoregressive Generalized Least Squares Regression
spgmmxt            Spatial Panel Autoregressive Generalized Method of Moments Regression
spmstarxt          (m-STAR) Spatial Lag Panel Models
spmstardxt         (m-STAR) Spatial Durbin Panel Models
spmstardhxt        (m-STAR) Spatial Durbin Multiplicative Heteroscedasticity Panel
spmstarhxt         (m-STAR) Spatial Lag Multiplicative Heteroscedasticity Panel Models
spregdhp           Spatial Panel Han-Philips Linear Dynamic Regression: Lag & Durbin
spregdpd           Spatial Panel Arellano-Bond Linear Dynamic Regression: Lag & Durbin
spregfext          Spatial Panel Fixed Effects Regression: Lag & Durbin Models
spregrext          Spatial Panel Random Effects Regression: Lag & Durbin Models
spregsacxt         MLE Spatial AutoCorrelation Panel Regression (SAC)
spregsarxt         MLE Spatial Lag Panel Regression (SAR)
spregsdmxt         MLE Spatial Durbin Panel Regression (SDM)
spregsemxt         MLE Spatial Error Panel Regression (SEM)

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*** (2) Spatial Cross Section Regression Models:
spregcs            Spatial Cross Section Regression Models: Econometric Toolkit
gs2sls             Generalized Spatial 2SLS Cross Sections Regression
gs2slsar           Generalized Spatial Autoregressive 2SLS Cross Sections Regression
gs3sls             Generalized Spatial Autoregressive 3SLS Regression
gs3slsar           Generalized Spatial Autoregressive 3SLS Cross Sections Regression
gsp3sls            Generalized Spatial 3SLS Cross Sections Regression
spautoreg          Spatial Cross Section Regression Models
spgmm              Spatial Autoregressive GMM Cross Sections Regression
spmstar            (m-STAR) Spatial Lag Cross Sections Models
spmstard           (m-STAR) Spatial Durbin Cross Sections Models
spmstardh          (m-STAR) Spatial Durbin Multiplicative Heteroscedasticity Cross Sections Models
spmstarh           (m-STAR) Spatial Lag Multiplicative Heteroscedasticity Cross Sections
spregsac           MLE Spatial AutoCorrelation Cross Sections Regression (SAC)
spregsar           MLE Spatial Lag Cross Sections Regression (SAR)
spregsdm           MLE Spatial Durbin Cross Sections Regression (SDM)
spregsem           MLE Spatial Error Cross Sections Regression (SEM)

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*** (3) Tobit Spatial Regression Models:

*** (3-1) Tobit Spatial Panel Data Regression Models:
sptobitgmmxt       Tobit Spatial GMM Panel Regression
sptobitmstarxt     Tobit (m-STAR) Spatial Lag Panel Models
sptobitmstardxt    Tobit (m-STAR) Spatial Durbin Panel Models
sptobitmstardhxt   Tobit (m-STAR) Spatial Durbin Multiplicative Heteroscedasticity Panel
sptobitmstarhxt    Tobit (m-STAR) Spatial Lag Multiplicative Heteroscedasticity Panel
sptobitsacxt       Tobit MLE Spatial AutoCorrelation (SAC) Panel Regression
sptobitsarxt       Tobit MLE Spatial Lag Panel Regression
sptobitsdmxt       Tobit MLE Spatial Panel Durbin Regression
sptobitsemxt       Tobit MLE Spatial Error Panel Regression
spxttobit          Tobit Spatial Panel Autoregressive GLS Regression

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*** (3-2) Tobit Spatial Cross Section Regression Models:
sptobitgmm         Tobit Spatial GMM Cross Sections Regression
sptobitmstar       Tobit (m-STAR) Spatial Lag Cross Sections Models
sptobitmstard      Tobit (m-STAR) Spatial Durbin Cross Sections Models
sptobitmstardh     Tobit (m-STAR) Spatial Durbin Multiplicative Heteroscedasticity CS
sptobitmstarh      Tobit (m-STAR) Spatial Lag Multiplicative Heteroscedasticity CS
sptobitsac         Tobit MLE AutoCorrelation (SAC) Cross Sections Regression
sptobitsar         Tobit MLE Spatial Lag Cross Sections Regression
sptobitsdm         Tobit MLE Spatial Durbin Cross Sections Regression
sptobitsem         Tobit MLE Spatial Error Cross Sections Regression

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*** (4) Spatial Weight Matrix:
spcs2xt            Convert Cross Section to Panel Spatial Weight Matrix
spweight           Cross Section and Panel Spatial Weight Matrix
spweightcs         Cross Section Spatial Weight Matrix
spweightxt         Panel Spatial Weight Matrix
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For more information:

http://ideas.repec.org/f/psh494.html

http://econpapers.repec.org/RAS/psh494.htm

[Craig Carpenter]

Hi there, I am trying to understand the marginal effects output when using spregsdm. I understand how to interpret the direct and indirect effects of the explanatory variables (per LeSage and Pace [2009]), but I do not understand why there are also direct and indirect effects of the spatial lags of those variables.

Thanks in advance for your help. I have found this program very useful, but do not understand this aspect of interpreting the results.

[Michael Kendix]

I am attempting to install and find some help facility for sptobitgmm but am unable to find it. I managed to install most of the spatial tobit files but not that one.

Any ideas as to what has happened to that module?

Thanks in advance,

Michael Kendix

[Biswa Swarup]

I need a few clarifications on SPREGXT.

1. Specifically, what is the distinction between Linear SDM model and MLE SDM model. Is it that the Linear modes is estimated through OLS and gives biased coefficient estimates and as such, estimation of SDM through MLE is desirable.

2. The help manual states that direct and indirect marginal effects can be computed only for sar, sdm, sac models. Is it possible to get the direct and indirect effects from the estimation of general spatial model.

3. Is there any way to estimate the SDEM model for estimating local spillovers.

Hopefully, someone will respond.


Regards,

Biswa

[Ingrid Silva]

Dear Professor Shehata,

By Fixed Effects do you mean Spatial Fixed Effects, Time Fixed Effects or both?

If the first is true, I ask: when using spregdhp can I add Time Fixed Effects to my command line?

Best,
I. Silva

[Sevgi Eda Tuzcu]

Hello All,

I also used spregsdm, but I could not quiet understand the results.How do we interpret the direct and indirect effects? Is there any standard deviation for them to estimate t stats or the t stats themselves for these effects? What is mean column in the direct/indirect effect table? What are themarginal effects and elasticities? Are they some kind of ratio? I compare the results with LeSage and Pace (2009), but I am still confused.

Is there any other way to estimate Spatial durbin models and their direct and indirect effects?

Thank you for your help.

Sevgi

[Selim Wise]

Hi all.
I am new to the forum.
Can anyone please write the installation command for "spregxt" in Stata.
I have installed "spreg", but for the "spregxt" Stata says "unrecognized command". So, does "spregxt" have a different installation procedure or how to go with the "spreg" command in order to benefit from "spegxt" option such as creating spatially-lagged vars.
Thanks