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Re: st: anketest, ivreg, and spivreg


From   Ashley Arnio <anarnio2@yahoo.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: anketest, ivreg, and spivreg
Date   Tue, 12 Apr 2011 10:21:56 -0700 (PDT)

As always, thank you Rafal. 



----- Original Message ----
From: "rraciborski@stata.com" <rraciborski@stata.com>
To: statalist@hsphsun2.harvard.edu
Sent: Tue, April 12, 2011 10:43:45 AM
Subject: st: anketest, ivreg, and spivreg

Ashley Arnio <anarnio2@yahoo.com> 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
rraciborski@stata.com
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