Heteroscedasticity in Spatial Error Model

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Heteroscedasticity in Spatial Error Model

Javier García

Hello again:

 

Please, could anyone tell me how to estimate robust standard errors for a spatial error model? The residuals of my model show heteroscedasticity evidence, but the functions I have looked at only work with lm type objects.

 

Thanks a lot in advance.

 

Javi

 

JAVIER GARCÍA

 

Departamento de Economía Aplicada III (Econometría y Estadística)

Facultad de Economía y Empresa (Sección Sarriko)
Avda. Lehendakari Aguirre 83

48015 BILBAO
T.: +34 601 7126 F.: +34 601 3754
www.ehu.es

http://www.unibertsitate-hedakuntza.ehu.es/p268-content/es/contenidos/informacion/manual_id_corp/es_manual/images/firma_email_upv_euskampus_bilingue.gif

 

 


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Re: Heteroscedasticity in Spatial Error Model

Roger Bivand
Administrator
On Sun, 13 Aug 2017, Javier García wrote:

> Hello again:
>
>
>
> Please, could anyone tell me how to estimate robust standard errors for a
> spatial error model? The residuals of my model show heteroscedasticity
> evidence, but the functions I have looked at only work with lm type objects.
>

The documented approaches use GM rather than ML for fitting - see the
sphet package and https://www.jstatsoft.org/index.php/jss/issue/view/v063.
You should really try to remove the sources of model mis-specification
instead of spreading coefficient standard errors by guesswork. The may
stem from MAUP, missing covariates and/or wrong functional forms.

Roger

>
>
> Thanks a lot in advance.
>
>
>
> Javi
>
>
>
>
>
>
> JAVIER GARCÍA
>
>
>
> Departamento de Economía Aplicada III (Econometría y Estadística)
>
> Facultad de Economía y Empresa (Sección Sarriko)
> Avda. Lehendakari Aguirre 83
>
> 48015 BILBAO
> T.: +34 601 7126 F.: +34 601 3754
> <http://www.ehu.es/> www.ehu.es
>
> http://www.unibertsitate-hedakuntza.ehu.es/p268-content/es/contenidos/inform
> acion/manual_id_corp/es_manual/images/firma_email_upv_euskampus_bilingue.gif
>
>
>
>
>
>
--
Roger Bivand
Department of Economics, Norwegian School of Economics,
Helleveien 30, N-5045 Bergen, Norway.
voice: +47 55 95 93 55; e-mail: [hidden email]
Editor-in-Chief of The R Journal, https://journal.r-project.org/index.html
http://orcid.org/0000-0003-2392-6140
https://scholar.google.no/citations?user=AWeghB0AAAAJ&hl=en
_______________________________________________
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Roger Bivand
Department of Economics
Norwegian School of Economics
Helleveien 30
N-5045 Bergen, Norway
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