On Sun, 3 May 2020, Wingeier, Dominik wrote:

> Dear Community

>

> I hope you are all doing well despite the special circumstances.

>

> I would like to estimate the following spatial durbin model by making

> use of the lagsarlm(...,type ="mixed") function in R:

>

> y = ???W1y+X???+W2X??? +???

Please post plain text only, if need be using LaTeX markup for symbols.

This is illegible.

>

> where W1 and W2 have the same dimension and are both row standardized

> but different weights are assigned to the elements. I found two older

> posts in the archive with similar problems

> (

https://stat.ethz.ch/pipermail/r-sig-geo/2015-May/022852.html and

>

https://stat.ethz.ch/pipermail/r-sig-geo/2015-May/022821.html) but I am

> struggling to understand the proposed solution and how to correctly

> implement the create_WX() in connection with the lagsarlm() function.

> Therefore, I would like to kindly ask you for help on how to deal with

> two different weight matrices in the case of a spatial durbin model in

> R.

Don't apply advive given in a different setting to a different problem.

Your model may be:

y = \rho W_1 y + X \beta + W_2 X \gamma + \varepsillon

This is not a Durbin model unless W_1 == W_2; if it was a Durbin model,

you would use

spatialreg::lagsarlm(y ~ X, ..., Durbin=TRUE, ...)

with the DGP

y = (I - \rho W)^{-1} (X \beta + W X \gamma + \varepsillon).

Your DGP is equivalent to X_a = [X, W_2 X] and

y = (I - \rho W_1)^{-1} (X_a \beta + \varepsillon)

So construct your formula something like:

spatialreg::lagsarlm(y ~ X_1 + I(lag(lw_2, X_1)) + ..., ...)

not using Durbin, by creating the spatial lags of each continuous X

variable one-by-one. If any X are factors, your job will be even more

involved. I would doubt strongly that you have a motivation for mixing

spatial weights in this way, I cannot see any obvious reason for using W_1

for y and W_2 for X.

Hope this clarifies,

Roger

>

> In advance many thanks for any help and suggestions.

> Best regards

> Dominik

>

>

> [[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:

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Roger Bivand

Department of Economics

Norwegian School of Economics

Helleveien 30

N-5045 Bergen, Norway