How to cluster the standard errors in the SPLM function?

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How to cluster the standard errors in the SPLM function?

Pietro Andre Telatin Paschoalino
Hello everyone,

Could someone help me with splm (Spatial Panel Model By Maximum Likelihood) in R?

I want to know if is possible to cluster the standard errors by my individuals (like as in plm function). After a lot of research a found that there are more people with the same doubt, you can see this here, the person has the same problem as me:

https://stackoverflow.com/questions/36869932/clustered-standard-errors-in-spatial-panel-linear-models-splm

Thank you all.

[https://cdn.sstatic.net/Sites/stackoverflow/img/apple-touch-icon@...?v=73d79a89bded]<https://stackoverflow.com/questions/36869932/clustered-standard-errors-in-spatial-panel-linear-models-splm>

Pietro Andre Telatin Paschoalino
Doutorando em Ci�ncias Econ�micas da Universidade Estadual de Maring� - PCE.

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Re: How to cluster the standard errors in the SPLM function?

Roger Bivand
Administrator
Please do not repeat messages, it does not help.

Did you provide a reproducible example, perhaps from plm? Did you read the
code in splm, for example on R-Forge, or check the development version on
R-Forge https://r-forge.r-project.org/R/?group_id=352,
install.packages("splm", repos="http://R-Forge.R-project.org")?

Did you reference any articles showing how this approach might be
implemented? Do you know whether any such code exists? Are you thinking of
Conley approaches? Such as:
http://www.trfetzer.com/using-r-to-estimate-spatial-hac-errors-per-conley/ 
? Unfortunately, the dropbox link is now stale.

Please report back on your progress, contact the splm maintainer to offer
ideas or assistance, and anyway provide a reproducible example and the
references you are using.

Hope this helps,

Roger

On Tue, 15 Sep 2020, Pietro Andre Telatin Paschoalino wrote:

> Hello everyone,
>
> Could someone help me with splm (Spatial Panel Model By Maximum Likelihood) in R?
>
> I want to know if is possible to cluster the standard errors by my individuals (like as in plm function). After a lot of research a found that there are more people with the same doubt, you can see this here, the person has the same problem as me:
>
> https://stackoverflow.com/questions/36869932/clustered-standard-errors-in-spatial-panel-linear-models-splm
>
> Thank you all.
>
> [https://cdn.sstatic.net/Sites/stackoverflow/img/apple-touch-icon@...?v=73d79a89bded]<https://stackoverflow.com/questions/36869932/clustered-standard-errors-in-spatial-panel-linear-models-splm>
>
> Pietro Andre Telatin Paschoalino
> Doutorando em Ci�ncias Econ�micas da Universidade Estadual de Maring� - PCE.
>
> [https://ipmcdn.avast.com/images/icons/icon-envelope-tick-round-orange-animated-no-repeat-v1.gif]<https://www.avast.com/sig-email?utm_medium=email&utm_source=link&utm_campaign=sig-email&utm_content=webmail&utm_term=icon>    Virus-free. www.avast.com<https://www.avast.com/sig-email?utm_medium=email&utm_source=link&utm_campaign=sig-email&utm_content=webmail&utm_term=link>
>
> [[alternative HTML version deleted]]
>
>
--
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]
https://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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Re: How to cluster the standard errors in the SPLM function?

Pietro Andre Telatin Paschoalino
Hello Roger, thank you for your answer.

Yes, from plm I could compute by:

coeftest(x, vcovHC(x, type = ""))

But it does not work with the splm.

I don't find how this approach can be implemented in articles, related to R. But in Stata with the function xsmle, it is possible to estimate the way I want. I don't want to change the software, but it is an option.

Thank you for the idea to use conley SHAC, it is a question that I need to think about.

Again, thank you very much for your help, if I can't solve it for sure I will put a reproducible example.

Pietro Andre Telatin Paschoalino
Doutorando em Ciências Econômicas da Universidade Estadual de Maringá - PCE.

________________________________
De: Roger Bivand <[hidden email]>
Enviado: terça-feira, 15 de setembro de 2020 10:37
Para: Pietro Andre Telatin Paschoalino <[hidden email]>
Cc: [hidden email] <[hidden email]>
Assunto: Re: [R-sig-Geo] How to cluster the standard errors in the SPLM function?

Please do not repeat messages, it does not help.

Did you provide a reproducible example, perhaps from plm? Did you read the
code in splm, for example on R-Forge, or check the development version on
R-Forge https://r-forge.r-project.org/R/?group_id=352,
install.packages("splm", repos="http://R-Forge.R-project.org")?

Did you reference any articles showing how this approach might be
implemented? Do you know whether any such code exists? Are you thinking of
Conley approaches? Such as:
http://www.trfetzer.com/using-r-to-estimate-spatial-hac-errors-per-conley/
? Unfortunately, the dropbox link is now stale.

Please report back on your progress, contact the splm maintainer to offer
ideas or assistance, and anyway provide a reproducible example and the
references you are using.

Hope this helps,

Roger

On Tue, 15 Sep 2020, Pietro Andre Telatin Paschoalino wrote:

> Hello everyone,
>
> Could someone help me with splm (Spatial Panel Model By Maximum Likelihood) in R?
>
> I want to know if is possible to cluster the standard errors by my individuals (like as in plm function). After a lot of research a found that there are more people with the same doubt, you can see this here, the person has the same problem as me:
>
> https://stackoverflow.com/questions/36869932/clustered-standard-errors-in-spatial-panel-linear-models-splm
>
> Thank you all.
>
> [https://cdn.sstatic.net/Sites/stackoverflow/img/apple-touch-icon@...?v=73d79a89bded]<https://stackoverflow.com/questions/36869932/clustered-standard-errors-in-spatial-panel-linear-models-splm>
>
> Pietro Andre Telatin Paschoalino
> Doutorando em Ci�ncias Econ�micas da Universidade Estadual de Maring� - PCE.
>
> [https://ipmcdn.avast.com/images/icons/icon-envelope-tick-round-orange-animated-no-repeat-v1.gif]<https://www.avast.com/sig-email?utm_medium=email&utm_source=link&utm_campaign=sig-email&utm_content=webmail&utm_term=icon>    Virus-free. www.avast.com<https://www.avast.com/sig-email?utm_medium=email&utm_source=link&utm_campaign=sig-email&utm_content=webmail&utm_term=link>
>
>        [[alternative HTML version deleted]]
>
>

--
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]
https://orcid.org/0000-0003-2392-6140
https://scholar.google.no/citations?user=AWeghB0AAAAJ&hl=en

[https://ipmcdn.avast.com/images/icons/icon-envelope-tick-round-orange-animated-no-repeat-v1.gif]<https://www.avast.com/sig-email?utm_medium=email&utm_source=link&utm_campaign=sig-email&utm_content=webmail&utm_term=icon>    Virus-free. www.avast.com<https://www.avast.com/sig-email?utm_medium=email&utm_source=link&utm_campaign=sig-email&utm_content=webmail&utm_term=link>

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Re: How to cluster the standard errors in the SPLM function?

Mathias Moser
In reply to this post by Roger Bivand
Pietro (and anyone else interested): the Conley SE code is still
available on Darin Christensen's Github:
https://github.com/darinchristensen/conley-se

BR, Mathias

On Tue, 2020-09-15 at 15:37 +0200, Roger Bivand wrote:

> Please do not repeat messages, it does not help.
>
> Did you provide a reproducible example, perhaps from plm? Did you
> read the
> code in splm, for example on R-Forge, or check the development
> version on
> R-Forge
> https://r-forge.r-project.org/R/?group_id=352
> ,
> install.packages("splm", repos="
> http://R-Forge.R-project.org
> ")?
>
> Did you reference any articles showing how this approach might be
> implemented? Do you know whether any such code exists? Are you
> thinking of
> Conley approaches? Such as:
> http://www.trfetzer.com/using-r-to-estimate-spatial-hac-errors-per-conley/
>  
> ? Unfortunately, the dropbox link is now stale.
>
> Please report back on your progress, contact the splm maintainer to
> offer
> ideas or assistance, and anyway provide a reproducible example and
> the
> references you are using.
>
> Hope this helps,
>
> Roger
>
> On Tue, 15 Sep 2020, Pietro Andre Telatin Paschoalino wrote:
>
> > Hello everyone,
> >
> > Could someone help me with splm (Spatial Panel Model By Maximum
> > Likelihood) in R?
> >
> > I want to know if is possible to cluster the standard errors by my
> > individuals (like as in plm function). After a lot of research a
> > found that there are more people with the same doubt, you can see
> > this here, the person has the same problem as me:
> >
> > https://stackoverflow.com/questions/36869932/clustered-standard-errors-in-spatial-panel-linear-models-splm
> >
> >
> > Thank you all.
> >
> > [
> > https://cdn.sstatic.net/Sites/stackoverflow/img/apple-touch-icon@...?v=73d79a89bded]<https://stackoverflow.com/questions/36869932/clustered-standard-errors-in-spatial-panel-linear-models-splm>
> >
> >
> > Pietro Andre Telatin Paschoalino
> > Doutorando em Ci�ncias Econ�micas da Universidade Estadual de
> > Maring� - PCE.
> >
> > [
> > https://ipmcdn.avast.com/images/icons/icon-envelope-tick-round-orange-animated-no-repeat-v1.gif]<https://www.avast.com/sig-email?utm_medium=email&utm_source=link&utm_campaign=sig-email&utm_content=webmail&utm_term=icon>
> >     Virus-free.
> > www.avast.com<https://www.avast.com/sig-email?utm_medium=email&utm_source=link&utm_campaign=sig-email&utm_content=webmail&utm_term=link>
> >
> >
> > [[alternative HTML version deleted]]
> >
> >
>
> _______________________________________________
> R-sig-Geo mailing list
> [hidden email]
>
> https://stat.ethz.ch/mailman/listinfo/r-sig-geo
>
>

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Re: How to cluster the standard errors in the SPLM function?

Pietro Andre Telatin Paschoalino
Thank you a lot Mathias.

I hope this could help more people.

Have a good day.
________________________________
De: R-sig-Geo <[hidden email]> em nome de Mathias Moser <[hidden email]>
Enviado: terça-feira, 15 de setembro de 2020 15:24
Para: [hidden email] <[hidden email]>
Assunto: Re: [R-sig-Geo] How to cluster the standard errors in the SPLM function?

Pietro (and anyone else interested): the Conley SE code is still
available on Darin Christensen's Github:
https://github.com/darinchristensen/conley-se

BR, Mathias

On Tue, 2020-09-15 at 15:37 +0200, Roger Bivand wrote:

> Please do not repeat messages, it does not help.
>
> Did you provide a reproducible example, perhaps from plm? Did you
> read the
> code in splm, for example on R-Forge, or check the development
> version on
> R-Forge
> https://r-forge.r-project.org/R/?group_id=352
> ,
> install.packages("splm", repos="
> http://R-Forge.R-project.org
> ")?
>
> Did you reference any articles showing how this approach might be
> implemented? Do you know whether any such code exists? Are you
> thinking of
> Conley approaches? Such as:
> http://www.trfetzer.com/using-r-to-estimate-spatial-hac-errors-per-conley/
>
> ? Unfortunately, the dropbox link is now stale.
>
> Please report back on your progress, contact the splm maintainer to
> offer
> ideas or assistance, and anyway provide a reproducible example and
> the
> references you are using.
>
> Hope this helps,
>
> Roger
>
> On Tue, 15 Sep 2020, Pietro Andre Telatin Paschoalino wrote:
>
> > Hello everyone,
> >
> > Could someone help me with splm (Spatial Panel Model By Maximum
> > Likelihood) in R?
> >
> > I want to know if is possible to cluster the standard errors by my
> > individuals (like as in plm function). After a lot of research a
> > found that there are more people with the same doubt, you can see
> > this here, the person has the same problem as me:
> >
> > https://stackoverflow.com/questions/36869932/clustered-standard-errors-in-spatial-panel-linear-models-splm
> >
> >
> > Thank you all.
> >
> > [
> > https://cdn.sstatic.net/Sites/stackoverflow/img/apple-touch-icon@...?v=73d79a89bded]<https://stackoverflow.com/questions/36869932/clustered-standard-errors-in-spatial-panel-linear-models-splm>
> >
> >
> > Pietro Andre Telatin Paschoalino
> > Doutorando em Ci�ncias Econ�micas da Universidade Estadual de
> > Maring� - PCE.
> >
> > [
> > https://ipmcdn.avast.com/images/icons/icon-envelope-tick-round-orange-animated-no-repeat-v1.gif]<https://www.avast.com/sig-email?utm_medium=email&utm_source=link&utm_campaign=sig-email&utm_content=webmail&utm_term=icon>
> >     Virus-free.
> > www.avast.com<https://www.avast.com/sig-email?utm_medium=email&utm_source=link&utm_campaign=sig-email&utm_content=webmail&utm_term=link>
> >
> >
> >      [[alternative HTML version deleted]]
> >
> >
>
> _______________________________________________
> R-sig-Geo mailing list
> [hidden email]
>
> https://stat.ethz.ch/mailman/listinfo/r-sig-geo
>
>

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