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st: anketest, ivreg, and spivreg
From
[email protected]
To
[email protected]
Subject
st: anketest, ivreg, and spivreg
Date
Tue, 12 Apr 2011 09:43:45 -0500
Ashley Arnio <[email protected]> has some questions about the user-written
-spivreg- command:
> I have determined from the anketest (using an iv-sar model) that the spatial
> error model may not be suitable for my data. Is it appropriate to use only the
> dlmat option when using spivreg?
Yes.
> Also, I have tried to replicate the results I obtained from spivreg SAR model
> using ivreg with a spatially lagged dependent variable and the results are
> different. Are these two models not equivalent?
The two models are not equivalent. To learn more about the various
spatial-autoregressive models with endogeneous variables Ashley should read
sections 2 and 6.4 of the working paper 'A command for estimating
spatial-autoregressive models with spatial-autoregressive disturbances and
additional endogenous variables' available at
http://econweb.umd.edu/~prucha/Papers/WP_spivreg_2011.pdf.
--Rafal
[email protected]
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