help: gs2sls dialog:

Title

gs2sls: Generalized Spatial Two Stage Least Squares (2SLS)

Cross Sections Regression

Table of Contents

Syntax

Description

Model Options

Options

Spatial Aautocorrelation Tests

Model Selection Diagnostic Criteria

Heteroscedasticity Tests

Non Normality Tests

Saved Results

References

*** Examples

Author

Syntax

gs2sls depvar indepvars [weight] , wmfile(weight_file)

[ model(2sls|gmm|liml) lmspac lmhet lmnorm diag tests stand inv inv2

mfx(lin, log) order(#) predict(new_var) resid(new_var)

coll zero tolog noconstant level(#) vce(vcetype) ]

Description

gs2sls estimates Generalized Spatial Two Stage Least Squares (2SLS)
for Cross Sections Regression

R2, R2 Adjusted, and F-Test, are obtained from 4 ways:

1- (Buse 1973) R2.

2- Raw Moments R2.

3- squared correlation between predicted (Yh) and observed dependent variable (Y).

4- Ratio of variance between predicted (Yh) and observed dependent variable (Y).

- Adjusted R2: R2_a=1-(1-R2)*(N-1)/(N-K-1).

- F-Test=R2/(1-R2)*(N-K-1)/(K).

Buse(1973) R2 in model(gs2sls) may be negative, to avoid negative R2, you can increase number on instrumental variables by choosing order more than 1 order(2, 3, 4)

*** Important Notes:
gs2sls generates some variables names with prefix:
w1x_ , w2x_ , w3x_ , w4x_ , w1y_ , w2y_ , mstar_ , spat_
So, you must avoid to include variables names with thes prefixes

Model Options

2sls Two-Stage Least Squares (2SLS)
liml Limited Information Maximum Likelihood (LIML)
gmm Generalized Method of Moments (GMM)

Options

wmfile(weight_file) Open CROSS SECTION weight matrix file.

Spatial Cross Sections Weight Matrix file must be:
1- Square Matrix [NxN]
2- Symmetric Matrix (Optional)

Spatial Weight Matrix has two types: Standardized and binary weight matrix.

stand Use Standardized Weight Matrix, (each row sum equals 1)
Default is Binary spatial Weight Matrix which each element is 0 or 1

inv Use Inverse Standardized Weight Matrix (1/W)

inv2 Use Inverse Squared Standardized Weight Matrix (1/W^2)

zero convert missing values observations to Zero

order(1, 2, 3, 4) Order of lagged independent variables up to maximum 4th order.

coll keep collinear variables; default is removing collinear variables.

noconstant Exclude Constant Term from RHS Equation

tests display ALL lmh, lmn, lmsp, diag tests

mfx(lin, log) functional form: Linear model (lin), or Log-Log model (log),
to compute Total, Direct, and InDirect Marginal Effects and Elasticities
- In Linear model: marginal effects are the coefficients (Bm),
and elasticities are (Es = Bm X/Y).
- In Log-Log model: elasticities are the coefficients (Es),
and the marginal effects are (Bm = Es Y/X).
- mfx(log) and tolog options must be combined, to transform linear variables to log form.

tolog Convert dependent and independent variables
to LOG Form in the memory for Log-Log regression.
tolog Transforms depvar and indepvars
to Log Form without lost the original data variables

predict(new_variable) Predicted values variable

resid(new_variable) Residuals values variable computed as Ue=Y-Yh

vce(vcetype) ols, robust, cluster, bootstrap, jackknife, hc2, hc3

level(#) confidence intervals level; default is level(95)

Spatial Aautocorrelation Tests

lmspac Spatial Aautocorrelation Tests:

* Ho: Error has No Spatial AutoCorrelation
Ha: Error has Spatial AutoCorrelation
- GLOBAL Moran MI Test
- GLOBAL Geary GC Test
- GLOBAL Getis-Ords GO Test
- Moran MI Error Test
- LM Error [SEM] (Burridge) Test
- LM Error [SEM] (Robust) Test
* Ho: Spatial Lagged Dependent Variable has No Spatial AutoCorrelation
Ha: Spatial Lagged Dependent Variable has Spatial AutoCorrelation
- LM Lag [SAR] (Anselin) Test
- LM Lag [SAR] (Robust) Test
* Ho: No General Spatial AutoCorrelation
Ha: General Spatial AutoCorrelation
- LM SAC (LMErr+LMLag_R) Test
- LM SAC (LMLag+LMErr_R) Test

Definitions:

- Spatial autocorrelation: chock in one country affects neighboring countries

- Spatial autocorrelation: is correlation of a variable with itself in space.

- Spatial Lag Model: Y = BX + rWy + e ; e = lWe+u
- Spatial Error Model: Y = BX + e ; e = lWe+u
- Spatial Durbin Model: Y = BX + aWX* + rWy + e ; e = lWe+u
- General Spatial Model: Y = BX + rWy + LW1y + e ; e = lW1e+u

- General Spatial Model is used to deal with both types of spatial dependence,
namely Spatial Lag Dependence and Spatial Error Dependence

- Spatial Error Model is used to handle the spatial dependence due to
the omitted variables or errors in measurement through the error term

- Spatial Autoregressive Model (SAR) is also known as Spatial Lag Model

- Positive spatial autocorrelation exists when high values correlate
with high neighboring values or when low values correlate with low
neighboring values

- Negative spatial autocorrelation exists when high values correlate
with low neighboring values and vice versa.

- presence of positive spatial autocorrelation results in a loss of information,
which is related to greater uncertainty, less precision, and larger standard errors.

- Spatial autocorrelation coefficients (in contrast to their counterparts in time)
are not constrained by -1/+1. Their range depends on the choice of weights matrix.

- Spatial dependence exists when the value associated with one location
is dependent on those of other locations.

- Spatial heterogeneity exists when structural changes related to location
exist in a dataset, it can result in non-constant error variance
(heteroscedasticity) across areas, especially when scale-related
measurement errors are present.

- Spatial regression models are statistical models that account for
the presence of spatial effects, i.e., spatial autocorrelation
(or more generally spatial dependence) and/or spatial heterogeneity.

- if LM test for spatial lag is more significant than LM test for spatial error,
and robust LM test for spatial lag is significant but robust LM test for
spatial error is not, then the appropriate model is spatial lag model.
Conversely, if LM test for spatial error is more significant than LM test
for spatial lag and robust LM test for spatial error is significant
but robust LM test for spatial lag is not, then the appropriate specification
is spatial error model, [Anselin-Florax (1995)].

- robust versions of Spatial LM tests are considered only when
standard versions (LM-Lag or LM-Error) are significant

- General Spatial Model is used to deal with both types of spatial dependence,
namely spatial lag dependence and spatial error dependence

- Spatial Error Model is used to handle spatial dependence due to omitted
variables or errors in measurement through the error term

- Spatial Autoregressive Model (SAR) is also known as Spatial Lag Model

Model Selection Diagnostic Criteria

diag Model Selection Diagnostic Criteria:

- Log Likelihood Function LLF
- Akaike Information Criterion (1974) AIC
- Akaike Information Criterion (1973) Log AIC
- Schwarz Criterion (1978) SC
- Schwarz Criterion (1978) Log SC
- Amemiya Prediction Criterion (1969) FPE
- Hannan-Quinn Criterion (1979) HQ
- Rice Criterion (1984) Rice
- Shibata Criterion (1981) Shibata
- Craven-Wahba Generalized Cross Validation (1979) GCV

Heteroscedasticity Tests

lmhet Heteroscedasticity Tests:

* Ho: Homoscedasticity - Ha: Heteroscedasticity
- Hall-Pagan LM Test: E2 = Yh
- Hall-Pagan LM Test: E2 = Yh2
- Hall-Pagan LM Test: E2 = LYh2
- Harvey LM Test: LogE2 = X
- Wald Test: LogE2 = X
- Glejser LM Test: |E| = X
- Machado-Santos-Silva LM Test: Ev= Yh Yh2
- Machado-Santos-Silva LM Test: Ev= X
- White Test - Koenker(R2): E2 = X
- White Test - B-P-G (SSR): E2 = X
- White Test - Koenker(R2): E2 = X X2
- White Test - B-P-G (SSR): E2 = X X2
- White Test - Koenker(R2): E2 = X X2 XX
- White Test - B-P-G (SSR): E2 = X X2 XX
- Cook-Weisberg LM Test E = Yh
- Cook-Weisberg LM Test E = X
*** Single Variable Tests
- Cook-Weisberg LM Test: E = xi
- King LM Test: E = xi

*** Tobit Model Heteroscedasticity LM Tests
- Separate LM Tests - Ho: Homoscedasticity
- Joint LM Test - Ho: Homoscedasticity

Non Normality Tests

lmnorm Non Normality Tests:

* Ho: Normality - Ha: Non Normality
*** Non Normality Tests:
- Jarque-Bera LM Test
- White IM Test
- Doornik-Hansen LM Test
- Geary LM Test
- Anderson-Darling Z Test
- D'Agostino-Pearson LM Test
*** Skewness Tests:
- Srivastava LM Skewness Test
- Small LM Skewness Test
- Skewness Z Test
- Skewness Coefficient - Standard Deviation
*** Kurtosis Tests:
- Srivastava Z Kurtosis Test
- Small LM Kurtosis Test
- Kurtosis Z Test
- Kurtosis Coefficient - Standard Deviation
*** Runs Tests:
- Runs Test:
- Standard Deviation Runs Sig(k) - Mean Runs E(k)
- 95% Conf. Interval [E(k)+/- 1.96* Sig(k)]
*** Tobit cross section Non Normality Tests
*** LM Test - Ho: No Skewness
*** LM test - Ho: No Kurtosis
*** LM Test - Ho: Normality (No Kurtosis, No Skewness)
- Pagan-Vella LM Test
- Chesher-Irish LM Test

Saved Results

gs2sls saves the following results in e():

Scalars

*** Spatial Aautocorrelation Tests:
e(mig) GLOBAL Moran MI Test
e(migp) GLOBAL Moran MI Test P-Value
e(gcg) GLOBAL Geary GC Test
e(gcgp) GLOBAL Geary GC Test P-Value
e(gog) GLOBAL Getis-Ords Test GO
e(gogp) GLOBAL Getis-Ords GO Test P-Value
e(mi1) Moran MI Error Test
e(mi1p) Moran MI Error Test P-Value
e(lmerr) LM Error (Burridge) Test
e(lmerrp) LM Error (Burridge) Test P-Value
e(lmerrr) LM Error (Robust) Test
e(lmerrrp) LM Error (Robust) Test P-Value
e(lmlag) LM Lag (Anselin) Test
e(lmlagp) LM Lag (Anselin) Test P-Value
e(lmlagr) LM Lag (Robust) Test
e(lmlagrp) LM Lag (Robust) Test P-Value
e(lmsac1) LM SAC (LMLag+LMErr_R) Test
e(lmsac1p) LM SAC (LMLag+LMErr_R) Test P-Value
e(lmsac2) LM SAC (LMErr+LMLag_R) Test
e(lmsac2p) LM SAC (LMErr+LMLag_R) Test P-Value

*** Model Selection Diagnostic Criteria:
e(N) number of observations
e(r2bu) R-squared (Buse 1973)
e(r2bu_a) R-squared Adj (Buse 1973)
e(r2raw) Raw Moments R2
e(r2raw_a) Raw Moments R2 Adj
e(f) F-test
e(fp) F-test P-Value
e(wald) Wald-test
e(waldp) Wald-test P-Value
e(r2h) R2 Between Predicted (Yh) and Observed DepVar (Y)
e(r2h_a) Adjusted r2h
e(fh) F-test due to r2h
e(fhp) F-test due to r2h P-Value
e(r2v) R2 Variance Ratio Between Predicted (Yh) and Observed DepVar (Y)
e(r2v_a) Adjusted r2v
e(fv) F-test due to r2v
e(fvp) F-test due to r2v P-Value
e(sig) Root MSE (Sigma)

e(llf) Log Likelihood Function LLF
e(aic) Akaike Information Criterion (1974) AIC
e(laic) Akaike Information Criterion (1973) Log AIC
e(sc) Schwarz Criterion (1978) SC
e(lsc) Schwarz Criterion (1978) Log SC
e(fpe) Amemiya Prediction Criterion (1969) FPE
e(hq) Hannan-Quinn Criterion (1979) HQ
e(rice) Rice Criterion (1984) Rice
e(shibata) Shibata Criterion (1981) Shibata
e(gcv) Craven-Wahba Generalized Cross Validation (1979) GCV

*** Heteroscedasticity Tests:
e(lmhhp1) Hall-Pagan LM Test E2 = Yh
e(lmhhp1p) Hall-Pagan LM Test E2 = Yh P-Value
e(lmhhp2) Hall-Pagan LM Test E2 = Yh2
e(lmhhp2p) Hall-Pagan LM Test E2 = Yh2 P-Value
e(lmhhp3) Hall-Pagan LM Test E2 = Yh3
e(lmhhp3p) Hall-Pagan LM Test E2 = Yh3 P-Value
e(lmhw01) White Test - Koenker(R2) E2 = X
e(lmhw01p) White Test - Koenker(R2) E2 = X P-Value
e(lmhw02) White Test - B-P-G (SSR) E2 = X
e(lmhw02p) White Test - B-P-G (SSR) E2 = X P-Value
e(lmhw11) White Test - Koenker(R2) E2 = X X2
e(lmhw11p) White Test - Koenker(R2) E2 = X X2 P-Value
e(lmhw12) White Test - B-P-G (SSR) E2 = X X2
e(lmhw12p) White Test - B-P-G (SSR) E2 = X X2 P-Value
e(lmhw21) White Test - Koenker(R2) E2 = X X2 XX
e(lmhw21p) White Test - Koenker(R2) E2 = X X2 XX P-Value
e(lmhw22) White Test - B-P-G (SSR) E2 = X X2 XX
e(lmhw22p) White Test - B-P-G (SSR) E2 = X X2 XX P-Value
e(lmhharv) Harvey LM Test
e(lmhharvp) Harvey LM Test P-Value
e(lmhwald) Wald Test
e(lmhwaldp) Wald Test P-Value
e(lmhgl) Glejser LM Test
e(lmhglp) Glejser LM Test P-Value
e(lmhmss1) Machado-Santos-Silva LM Test: Ev=Yh Yh2
e(lmhmss1p) Machado-Santos-Silva LM Test: Ev=Yh Yh2 P-Value
e(lmhmss2) Machado-Santos-Silva LM Test: Ev=X
e(lmhmss2p) Machado-Santos-Silva LM Test: Ev=X P-Value
e(lmhcw1) Cook-Weisberg LM Test E = Yh
e(lmhcw1p) Cook-Weisberg LM Test E = Y P-Valueh
e(lmhcw2) Cook-Weisberg LM Test E = X
e(lmhcw2p) Cook-Weisberg LM Test E = X P-Value

*** Non Normality Tests:
e(lmnjb) Jarque-Bera LM Test
e(lmnjbp) Jarque-Bera LM Test P-Value
e(lmnw) White IM Test
e(lmnwp) White IM Test P-Value
e(lmndh) Doornik-Hansen LM Test
e(lmndhp) Doornik-Hansen LM Test P-Value
e(lmng) Geary LM Test
e(lmngp) Geary LM Test P-Value
e(lmnad) Anderson-Darling Z Test
e(lmnadp) Anderson-Darling Z Test P-Value
e(lmndp) D'Agostino-Pearson LM Test
e(lmndpp) D'Agostino-Pearson LM Test P-Value
e(lmnsvs) Srivastava LM Skewness Test
e(lmnsvsp) Srivastava LM Skewness Test P-Value
e(lmnsms1) Small LM Skewness Test
e(lmnsms1p) Small LM Skewness Test P-Value
e(lmnsms2) Skewness Z Test
e(lmnsms2p) Skewness Z Test P-Value
e(lmnsvk) Srivastava Z Kurtosis Test
e(lmnsvkp) Srivastava Z Kurtosis Test P-Value
e(lmnsmk1) Small LM Kurtosis Test
e(lmnsmk1p) Small LM Kurtosis Test P-Value
e(lmnsmk2) Kurtosis Z Test
e(lmnsmk2p) Kurtosis Z Test P-Value
e(sk) Skewness Coefficient
e(sksd) Skewness Standard Deviation
e(ku) Kurtosis Coefficient
e(kusd) Kurtosis Standard Deviation
e(sn) Standard Deviation Runs Sig(k)
e(en) Mean Runs E(k)
e(lower) Lower 95% Conf. Interval [E(k)- 1.96* Sig(k)]
e(upper) Upper 95% Conf. Interval [E(k)+ 1.96* Sig(k)]

e(lmnpv) Pagan-Vella LM Test (Tobit Model)
e(lmnpvp) Pagan-Vella LM Test (Tobit Model) P-Value
e(lmnci) Chesher-Irish LM Test (Tobit Model)
e(lmncip) Chesher-Irish LM Test (Tobit Model) P-Value

Matrixes
e(b) coefficient vector
e(V) variance-covariance matrix of the estimators
e(mfxlin) Marginal Effect and Elasticity in Lin Form
e(mfxlog) Marginal Effect and Elasticity in Log Form

References

Anselin, L. (2001)
"Spatial Econometrics",
In Baltagi, B. (Ed).: A Companion to Theoretical Econometrics Basil Blackwell: Oxford, UK.

Anselin, L. (2007)
"Spatial Econometrics",
In T. C. Mills and K. Patterson (Eds).: Palgrave Handbook of Econometrics. Vol 1, Econometric Theory. New York: Palgrave MacMillan.

Anselin, L. & Kelejian, H. H. (1997)
"Testing for Spatial Error Autocorrelation in the Presence of Endogenous Regressors",
International Regional Science Review, (20); 153-182.

Anselin, L. & Florax RJ. (1995)
"New Directions in Spatial Econometrics: Introduction. In New Directions in Spatial Econometrics",
Anselin L, Florax RJ (eds). Berlin, Germany: Springer-Verlag.

Breusch, Trevor & Adrian Pagan (1980)
"The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics",
Review of Economic Studies 47; 239-253.

C.M. Jarque & A.K. Bera (1987)
"A Test for Normality of Observations and Regression Residuals"
International Statistical Review , Vol. 55; 163-172.

Cook, R.D., & S. Weisberg (1983)
"Diagnostics for Heteroscedasticity in Regression",
Biometrica 70; 1-10.

D'Agostino, R. B., & Rosman, B. (1974)
"The Power of Geary’s Test of Normality",
Biometrika, 61(1); 181-184.

Damodar Gujarati (1995)
"Basic Econometrics"
3rd Edition, McGraw Hill, New York, USA.

Geary R.C. (1947)
"Testing for Normality" Biometrika, Vol. 34; 209-242.

Geary R.C. (1970)
"Relative Efficiency of Count of Sign Changes for Assessing Residuals Autoregression in Least Squares Regression"
Biometrika, Vol. 57; 123-127.

Greene, William (2007)
"Econometric Analysis",
6th ed., Macmillan Publishing Company Inc., New York, USA..

Griffiths, W., R. Carter Hill & George Judge (1993)
"Learning and Practicing Econometrics",
John Wiley & Sons, Inc., New York, USA.

Harvey, Andrew (1990)
"The Econometric Analysis of Time Series",
2nd edition, MIT Press, Cambridge, Massachusetts.

Judge, Georege, R. Carter Hill, William . E. Griffiths, Helmut Lutkepohl, & Tsoung-Chao Lee (1988)
"Introduction To The Theory And Practice Of Econometrics",
2nd ed., John Wiley & Sons, Inc., New York, USA.

Judge, Georege, W. E. Griffiths, R. Carter Hill, Helmut Lutkepohl, & Tsoung-Chao Lee(1985)
"The Theory and Practice of Econometrics",
2nd ed., John Wiley & Sons, Inc., New York, USA.

Kmenta, Jan (1986)
"Elements of Econometrics",
2nd ed., Macmillan Publishing Company, Inc., New York, USA; 618-625.

Koenker, R. (1981)
"A Note on Studentizing a Test for Heteroskedasticity",
Journal of Econometrics, Vol.17; 107-112.

Pagan, Adrian .R. & Hall, D. (1983)
"Diagnostic Tests as Residual Analysis",
Econometric Reviews, Vol.2, No.2,. 159-218.

Pearson, E. S., D'Agostino, R. B., & Bowman, K. O. (1977)
"Tests for Departure from Normality: Comparison of Powers",
Biometrika, 64(2); 231-246.

Szroeter, J. (1978)
"A Class of Parametric Tests for Heteroscedasticity in Linear Econometric Models",
Econometrica, 46; 1311-28.

Examples

Note 1: you can use: spweight, spweightcs, spweightxt to create Spatial Weight Matrix.
Note 2: Remember, your spatial weight matrix must be:
*** 1-Cross Section Dimention 2- Square Matrix 3- Symmetric Matrix
Note 3: You can use the dialog box for .

clear all

sysuse gs2sls.dta, clear

* (1) Generalized Spatial 2SLS - AR(1) (GS2SLS)
gs2sls y x1 x2 , wmfile(SPWcs) order(1) mfx(lin) test
gs2sls y x1 x2 , wmfile(SPWcs) order(1) mfx(log) test tolog

gs2sls y x1 x2 [weight=x1] , wmfile(SPWcs) order(1) mfx(lin) test

* (2) Generalized Spatial 2SLS - AR(2) (GS2SLS)
gs2sls y x1 x2 , wmfile(SPWcs) order(2) mfx(lin) test

* (3) Generalized Spatial 2SLS - AR(3) (GS2SLS)
gs2sls y x1 x2 , wmfile(SPWcs) order(3) mfx(lin) test

* (4) Generalized Spatial 2SLS - AR(4) (GS2SLS)
gs2sls y x1 x2 , wmfile(SPWcs) order(4) mfx(lin) test

* (5) Generalized Spatial GMM - AR(1) (GS2SLS)
gs2sls y x1 x2 , wmfile(SPWcs) order(1) mfx(lin) test model(gmm)

* (6) Generalized Spatial LIML - AR(4) (GS2SLS)
gs2sls y x1 x2 , wmfile(SPWcs) order(1) mfx(lin) test model(liml)

. clear all
. sysuse gs2sls.dta, clear
. gs2sls y x1 x2 , wmfile(SPWcs) order(1) mfx(lin) tests

==============================================================================
*** Binary (0/1) Weight Matrix: 49x49 (Non Normalized)
==============================================================================
==============================================================================
* Generalized Spatial Two Stage Least Squares (GS2SLS)
==============================================================================
y = w1y_y + x1 + x2
------------------------------------------------------------------------------
Sample Size = 49
Wald Test = 58.7114 | P-Value > Chi2(3) = 0.0000
F-Test = 19.5705 | P-Value > F(3 , 46) = 0.0000
(Buse 1973) R2 = 0.5379 | Raw Moments R2 = 0.9160
(Buse 1973) R2 Adj = 0.5178 | Raw Moments R2 Adj = 0.9123
Root MSE (Sigma) = 11.6184 | Log Likelihood Function = -188.1571
------------------------------------------------------------------------------
- R2h= 0.5381 R2h Adj= 0.5180 F-Test = 17.47 P-Value > F(3 , 46) 0.0000
- R2v= 0.5554 R2v Adj= 0.5360 F-Test = 18.74 P-Value > F(3 , 46) 0.0000
------------------------------------------------------------------------------
y | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
w1y_y | -.0120175 .0330463 -0.36 0.718 -.0785362 .0545011
x1 | -.285965 .1068466 -2.68 0.010 -.5010361 -.070894
x2 | -1.60376 .329412 -4.87 0.000 -2.266832 -.9406882
_cons | 71.22203 8.542205 8.34 0.000 54.02747 88.4166
------------------------------------------------------------------------------
Rho Value = -0.0120 F Test = 0.132 P-Value > F(1, 46) 0.7178
------------------------------------------------------------------------------
* Y = LHS Dependent Variable: 1 = y
* Yi = RHS Endogenous Variables: 1 = w1y_y
* Xi = RHS Exogenous Vars: 2 = x1 x2
* Z = Overall Instrumental Variables:
4 : x1 x2 w1x_x1 w1x_x2
------------------------------------------------------------------------------

==============================================================================
*** Spatial Aautocorrelation Tests
==============================================================================
Ho: Error has No Spatial AutoCorrelation
Ha: Error has Spatial AutoCorrelation

- GLOBAL Moran MI = 0.1625 P-Value > Z( 2.160) 0.0308
- GLOBAL Geary GC = 0.6999 P-Value > Z(-2.310) 0.0209
- GLOBAL Getis-Ords GO = -0.7829 P-Value > Z(-2.160) 0.0308
------------------------------------------------------------------------------
- Moran MI Error Test = 0.8089 P-Value > Z(9.772) 0.4186
------------------------------------------------------------------------------
- LM Error (Burridge) = 2.7477 P-Value > Chi2(1) 0.0974
- LM Error (Robust) = 2.2822 P-Value > Chi2(1) 0.1309
------------------------------------------------------------------------------
Ho: Spatial Lagged Dependent Variable has No Spatial AutoCorrelation
Ha: Spatial Lagged Dependent Variable has Spatial AutoCorrelation

- LM Lag (Anselin) = 8.1030 P-Value > Chi2(1) 0.0044
- LM Lag (Robust) = 7.6375 P-Value > Chi2(1) 0.0057
------------------------------------------------------------------------------
Ho: No General Spatial AutoCorrelation
Ha: General Spatial AutoCorrelation

- LM SAC (LMErr+LMLag_R) = 10.3852 P-Value > Chi2(2) 0.0056
- LM SAC (LMLag+LMErr_R) = 10.3852 P-Value > Chi2(2) 0.0056
------------------------------------------------------------------------------

==============================================================================
* Model Selection Diagnostic Criteria
==============================================================================
- Log Likelihood Function LLF = -188.1571
---------------------------------------------------------------------------
- Akaike Information Criterion (1974) AIC = 149.1972
- Akaike Information Criterion (1973) Log AIC = 5.0053
---------------------------------------------------------------------------
- Schwarz Criterion (1978) SC = 174.1128
- Schwarz Criterion (1978) Log SC = 5.1597
---------------------------------------------------------------------------
- Amemiya Prediction Criterion (1969) FPE = 146.0069
- Hannan-Quinn Criterion (1979) HQ = 158.2001
- Rice Criterion (1984) Rice = 151.4494
- Shibata Criterion (1981) Shibata = 147.4125
- Craven-Wahba Generalized Cross Validation (1979) GCV = 150.2528
------------------------------------------------------------------------------

==============================================================================
* Heteroscedasticity Tests
==============================================================================
Ho: Homoscedasticity - Ha: Heteroscedasticity
------------------------------------------------------------------------------
- Hall-Pagan LM Test: E2 = Yh = 0.6477 P-Value > Chi2(1) 0.4209
- Hall-Pagan LM Test: E2 = Yh2 = 0.4294 P-Value > Chi2(1) 0.5123
- Hall-Pagan LM Test: E2 = LYh2 = 0.5114 P-Value > Chi2(1) 0.4745
------------------------------------------------------------------------------
- Harvey LM Test: LogE2 = X = 5.9688 P-Value > Chi2(2) 0.0506
- Wald LM Test: LogE2 = X = 14.7273 P-Value > Chi2(1) 0.0001
- Glejser LM Test: |E| = X = 7.1374 P-Value > Chi2(2) 0.0282
------------------------------------------------------------------------------
- Machado-Santos-Silva Test: Ev=Yh Yh2 = 1.8537 P-Value > Chi2(2) 0.3958
- Machado-Santos-Silva Test: Ev=X = 7.0005 P-Value > Chi2(3) 0.0719
------------------------------------------------------------------------------
- White Test -Koenker(R2): E2 = X = 7.4328 P-Value > Chi2(3) 0.0593
- White Test -B-P-G (SSR): E2 = X = 10.2378 P-Value > Chi2(3) 0.0166
------------------------------------------------------------------------------
- White Test -Koenker(R2): E2 = X X2 = 8.6304 P-Value > Chi2(6) 0.1955
- White Test -B-P-G (SSR): E2 = X X2 = 11.8873 P-Value > Chi2(6) 0.0645
------------------------------------------------------------------------------
- White Test -Koenker(R2): E2 = X X2 XX= 22.0143 P-Value > Chi2(9) 0.0088
- White Test -B-P-G (SSR): E2 = X X2 XX= 30.3220 P-Value > Chi2(9) 0.0004
------------------------------------------------------------------------------
- Cook-Weisberg LM Test E2/Sig2 = Yh = 0.8921 P-Value > Chi2(1) 0.3449
- Cook-Weisberg LM Test E2/Sig2 = X = 10.2378 P-Value > Chi2(3) 0.0166
------------------------------------------------------------------------------
*** Single Variable Tests (E2/Sig2):
- Cook-Weisberg LM Test: w1y_y = 0.6888 P-Value > Chi2(1) 0.4066
- Cook-Weisberg LM Test: x1 = 1.4627 P-Value > Chi2(1) 0.2265
- Cook-Weisberg LM Test: x2 = 3.6114 P-Value > Chi2(1) 0.0574
------------------------------------------------------------------------------
*** Single Variable Tests:
- King LM Test: w1y_y = 0.5386 P-Value > Chi2(1) 0.4630
- King LM Test: x1 = 0.3467 P-Value > Chi2(1) 0.5560
- King LM Test: x2 = 3.8656 P-Value > Chi2(1) 0.0493

==============================================================================
* Non Normality Tests
==============================================================================
Ho: Normality - Ha: Non Normality
------------------------------------------------------------------------------
*** Non Normality Tests:
- Jarque-Bera LM Test = 1.8320 P-Value > Chi2(2) 0.4001
- White IM Test = 3.8988 P-Value > Chi2(2) 0.1424
- Doornik-Hansen LM Test = 3.7783 P-Value > Chi2(2) 0.1512
- Geary LM Test = -2.7412 P-Value > Chi2(2) 0.2540
- Anderson-Darling Z Test = 0.3830 P > Z( 0.243) 0.5961
- D'Agostino-Pearson LM Test = 2.7822 P-Value > Chi2(2) 0.2488
------------------------------------------------------------------------------
*** Skewness Tests:
- Srivastava LM Skewness Test = 0.6689 P-Value > Chi2(1) 0.4134
- Small LM Skewness Test = 0.8126 P-Value > Chi2(1) 0.3674
- Skewness Z Test = -0.9014 P-Value > Chi2(1) 0.3674
------------------------------------------------------------------------------
*** Kurtosis Tests:
- Srivastava Z Kurtosis Test = 1.0784 P-Value > Z(0,1) 0.2808
- Small LM Kurtosis Test = 1.9696 P-Value > Chi2(1) 0.1605
- Kurtosis Z Test = 1.4034 P-Value > Chi2(1) 0.1605
------------------------------------------------------------------------------
Skewness Coefficient = -0.2862 - Standard Deviation = 0.3398
Kurtosis Coefficient = 3.7548 - Standard Deviation = 0.6681
------------------------------------------------------------------------------
Runs Test: (16) Runs - (24) Positives - (25) Negatives
Standard Deviation Runs Sig(k) = 3.4619 , Mean Runs E(k) = 25.4898
95% Conf. Interval [E(k)+/- 1.96* Sig(k)] = (18.7045 , 32.2751 )
------------------------------------------------------------------------------

* Marginal Effect - Elasticity (Model= 2sls): Linear *

+---------------------------------------------------------------------------+
| Variable | Marginal_Effect(B) | Elasticity(Es) | Mean |
|------------+--------------------+--------------------+--------------------|
| w1y_y | -0.0120 | -0.0583 | 170.4034 |
| x1 | -0.2860 | -0.3129 | 38.4362 |
| x2 | -1.6038 | -0.6563 | 14.3749 |
+---------------------------------------------------------------------------+
Mean of Dependent Variable = 35.1288

Author

Emad Abd Elmessih Shehata
Professor (PhD Economics)
Agricultural Research Center - Agricultural Economics Research Institute - Egypt
Email: emadstat@hotmail.com
WebPage: http://emadstat.110mb.com/stata.htm
WebPage at IDEAS: http://ideas.repec.org/f/psh494.html
WebPage at EconPapers: http://econpapers.repec.org/RAS/psh494.htm

GS2SLS Citation

Shehata, Emad Abd Elmessih (2012)

GS2SLS: "Generalized Spatial Two Stage Least Squares (2SLS) Cross Sections Regression"

http://ideas.repec.org/c/boc/bocode/S457472.html

http://econpapers.repec.org/software/bocbocode/S457472.htm

Online Help:

*** Spatial Econometrics Regression Models:

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*** (1) Spatial Panel Data Regression Models:
spregxt Spatial Panel Regression Econometric Models: Stata Module Toolkit
gs2slsxt Generalized Spatial Panel 2SLS Regression
gs2slsarxt Generalized Spatial Panel Autoregressive 2SLS Regression
spglsxt Spatial Panel Autoregressive Generalized Least Squares Regression
spgmmxt Spatial Panel Autoregressive Generalized Method of Moments Regression
spmstarxt (m-STAR) Spatial Lag Panel Models
spmstardxt (m-STAR) Spatial Durbin Panel Models
spmstardhxt (m-STAR) Spatial Durbin Multiplicative Heteroscedasticity Panel Models
spmstarhxt (m-STAR) Spatial Lag Multiplicative Heteroscedasticity Panel Models
spregdhp Spatial Panel Han-Philips Linear Dynamic Regression: Lag & Durbin Models
spregdpd Spatial Panel Arellano-Bond Linear Dynamic Regression: Lag & Durbin Models
spregfext Spatial Panel Fixed Effects Regression: Lag & Durbin Models
spregrext Spatial Panel Random Effects Regression: Lag & Durbin Models
spregsacxt MLE Spatial AutoCorrelation Panel Regression (SAC)
spregsarxt MLE Spatial Lag Panel Regression (SAR)
spregsdmxt MLE Spatial Durbin Panel Regression (SDM)
spregsemxt MLE Spatial Error Panel Regression (SEM)
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*** (2) Spatial Cross Section Regression Models:
spregcs Spatial Cross Section Regression Econometric Models: Stata Module Toolkit
gs2sls Generalized Spatial 2SLS Cross Sections Regression
gs2slsar Generalized Spatial Autoregressive 2SLS Cross Sections Regression
gs3sls Generalized Spatial Autoregressive 3SLS Regression
gs3slsar Generalized Spatial Autoregressive 3SLS Cross Sections Regression
gsp3sls Generalized Spatial 3SLS Cross Sections Regression
spautoreg Spatial Cross Section Regression Models
spgmm Spatial Autoregressive GMM Cross Sections Regression
spmstar (m-STAR) Spatial Lag Cross Sections Models
spmstard (m-STAR) Spatial Durbin Cross Sections Models
spmstardh (m-STAR) Spatial Durbin Multiplicative Heteroscedasticity Cross Sections Models
spmstarh (m-STAR) Spatial Lag Multiplicative Heteroscedasticity Cross Sections Models
spregsac MLE Spatial AutoCorrelation Cross Sections Regression (SAC)
spregsar MLE Spatial Lag Cross Sections Regression (SAR)
spregsdm MLE Spatial Durbin Cross Sections Regression (SDM)
spregsem MLE Spatial Error Cross Sections Regression (SEM)
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*** (3) Tobit Spatial Regression Models:

*** (3-1) Tobit Spatial Panel Data Regression Models:
sptobitgmmxt Tobit Spatial GMM Panel Regression
sptobitmstarxt Tobit (m-STAR) Spatial Lag Panel Models
sptobitmstardxt Tobit (m-STAR) Spatial Durbin Panel Models
sptobitmstardhxt Tobit (m-STAR) Spatial Durbin Multiplicative Heteroscedasticity Panel Models
sptobitmstarhxt Tobit (m-STAR) Spatial Lag Multiplicative Heteroscedasticity Panel Models
sptobitsacxt Tobit MLE Spatial AutoCorrelation (SAC) Panel Regression
sptobitsarxt Tobit MLE Spatial Lag Panel Regression
sptobitsdmxt Tobit MLE Spatial Panel Durbin Regression
sptobitsemxt Tobit MLE Spatial Error Panel Regression
spxttobit Tobit Spatial Panel Autoregressive GLS Regression
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*** (3-2) Tobit Spatial Cross Section Regression Models:
sptobitgmm Tobit Spatial GMM Cross Sections Regression
sptobitmstar Tobit (m-STAR) Spatial Lag Cross Sections Models
sptobitmstard Tobit (m-STAR) Spatial Durbin Cross Sections Models
sptobitmstardh Tobit (m-STAR) Spatial Durbin Multiplicative Heteroscedasticity Cross Sections
sptobitmstarh Tobit (m-STAR) Spatial Lag Multiplicative Heteroscedasticity Cross Sections
sptobitsac Tobit MLE AutoCorrelation (SAC) Cross Sections Regression
sptobitsar Tobit MLE Spatial Lag Cross Sections Regression
sptobitsdm Tobit MLE Spatial Durbin Cross Sections Regression
sptobitsem Tobit MLE Spatial Error Cross Sections Regression
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*** (4) Spatial Weight Matrix:
spcs2xt Convert Cross Section to Panel Spatial Weight Matrix
spweight Cross Section and Panel Spatial Weight Matrix
spweightcs Cross Section Spatial Weight Matrix
spweightxt Panel Spatial Weight Matrix
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