cpblpublic+rhelp at gmail.com
2016-Feb-15 15:19 UTC
[R] Package for: Instrumental variables with spatial error and lags for cross-sectional data?
I have a spatial cross-sectional dataset. I think I have an instrument for my dependent variable, but there's reason to suspect I need a spatial lag with spatial error model. The dataset has about 100,000 observations. I am looking for a package which will estimate my model in R (or Stata or Python, if that will be a lot easier). Here's where I'm stuck in R: Package spdep has some spatial error /spatial lag models (sarar and gstsls), but no I.V. Package splm has a g2sls function, which seems to offer nearly what I want. But this package is for spatial panels ... but not cross-sections. Package sphet makes use of IV, but not the kind where you have your own instrument. Instead, it's simply using spatial lags of X as instruments for a spatial lag model. This seems also what this blog is about. There's a s2sls package, i.e. spatial 2sls, version 0.1 in Jan 2016. It looks too new and undocumented to try. Surely if there's a nice package for panel data IV, there's one also for cross-sections? Thanks, Chris