*! version 1.0.1 14jul2021

help hetsar postestimation also see: hetsar

Title

hetsar postestimation -- Postestimation tools for hetsar

Description

The following postestimation commands are available after hetsar:

command description

estat AIC, BIC, VCE, and estimation sample summary

predict predicted values

Syntax for predict

predict [type] newvar [if] [in] [, statistic]

statistic

Main
rform reduced-form predicted values; the default

naive predictions based on the observed values of y

residuals residuals. By adding naive, the residuals will be computed using naive fitted values

Options for predict

Main

rform predicted values calculated from the reduced-form equation,
y_it = (I-rho_i*W)^(-1)*(x_it*beta_i + a_i).

naive predicted values based on the observed values of y_it,
rho_i*W*y_it + x_it*beta_i + a_i.

residuals based on reduced form (default) or naive fitted values.

Remarks

See Aquaro, Bailey and Pesaran (2021) for more details.

Examples

Load and summarize the spatial weights matrix

spmat import w using Wrook_25.txt, replace noid normalize(row)

spmat summarize w

Load data and set-up the panel

import delimited hetsar_demo.csv, clear

xtset id time

Estimate a Static heterogenous SAR model

hetsar y x, wmatrix(w) technique(nr 3 bfgs 10)

Reduced form fitted values

predict y_hat

"Observed" fitted values

predict y_hat_naive, naive

Residuals from observed fitted values

predict residuals, residual naive

References

Aquaro, M, Bailey, N and Pesaran, M.H., 2021
"Estimation and inference for spatial models with heterogeneous coefficients: An application to US house prices", Journal of Applied Econometrics, 36, pp. 18-44.

Authors

Federico Belotti

Department of Economics and Finance

University of Rome Tor Vergata

Rome, Italy

federico.belotti@uniroma2.it

Also see

Online: hetsar, spxtregress