Many thanks. On Wed, Mar 27, 2013 at 3:50 AM, Achim Zeileis-4 [via R] < ml-node+s789695n4662592...@n4.nabble.com> wrote:
> On Tue, 26 Mar 2013, SHISHIR MATHUR wrote: > > > Thanks for the reply Achim. The reason I suspect autocorrelation is > > because I think that within the same neighborhood, homes sold a few > > months back are likely to impact the price of homes sold subsequently. > > This may well be spatial (auto)correlation rather than temporal > autocorrelation. > > > In fact the DW test and Breusch-Pagan test come out to be significant. > > So even though the data is not time series (that is, I do not have > > repeated observations for the same house), however, the houses sold > > close in time to each other are in the data set. > > If there is a unique ordering of all observations by time, then you could > in principle apply an autocorrelation correction for the data, e.g., via > Newey-West. > > But from what you describe above, it seems to be more important to capture > spatial effects in the data, e.g., by using a spatial lag model (see > lagsarlm in "spdep") or by using an additive spatial effect (see e.g. gam > in "mgcv"). > > > Thanks, > > Shish > > > > On Tue, Mar 26, 2013 at 3:51 PM, Achim Zeileis <[hidden > > email]<http://user/SendEmail.jtp?type=node&node=4662592&i=0>> > > > wrote: > > On Tue, 26 Mar 2013, SHISHIR MATHUR wrote: > > > > Hello: > > My dataset set contains several thousand rows of > > data, with each row > > containing information for a house. The variables > > include the sale price of > > the house, the quarter and year of sale, the > > attributes of the house, and > > the attributes of the neighborhood and the city in > > which the house is > > located. The data is for a 10-year period. No house > > is repeated in the > > dataset. In summary, the dataset can be termed > > pooled cross-section data. > > > > My question: Can I estimate Newey-West HAC standard > > errors for a model that > > estimates the effect of various independent > > variables on the sale price of > > the house? My understanding is that Newey-West can > > be used for time series > > and panel data. However, I am not sure whether it > > can be used for pooled > > cross-section data. If yes, can you refer me to a > > specific source, such as > > a paper or a book? > > > > > > The result of your aggregation is a cross-section data set. > > Thus, there should be no correlation between the different > > observations - or in other terms, the ordering of your > > observations is completely arbitrary. > > > > Consequently, there may be heteroskedasticity but not > > autocorrelation. So you may use HC standard errors but HAC > > should not be necessary. (Using HAC standard errors will still > > be consistent but less efficient.) > > > > > > -- > > Best, > > Shish > > > > [[alternative HTML version deleted]] > > > > ______________________________________________ > > [hidden > > email]<http://user/SendEmail.jtp?type=node&node=4662592&i=1>mailing list > > https://stat.ethz.ch/mailman/listinfo/r-help > > PLEASE do read the posting guide > > http://www.R-project.org/posting-guide.html > > and provide commented, minimal, self-contained, > > reproducible code. > > > > > > > > > > -- > > Best, > > Shishir > > > > > ______________________________________________ > [hidden email] <http://user/SendEmail.jtp?type=node&node=4662592&i=2>mailing > list > https://stat.ethz.ch/mailman/listinfo/r-help > PLEASE do read the posting guide > http://www.R-project.org/posting-guide.html > and provide commented, minimal, self-contained, reproducible code. > > > ------------------------------ > If you reply to this email, your message will be added to the discussion > below: > > http://r.789695.n4.nabble.com/Newey-West-HAC-for-pooled-cross-section-data-tp4662563p4662592.html > To unsubscribe from Newey West HAC for pooled cross-section data, click > here<http://r.789695.n4.nabble.com/template/NamlServlet.jtp?macro=unsubscribe_by_code&node=4662563&code=bWF0aHVyc2hpc2hpcjFAZ21haWwuY29tfDQ2NjI1NjN8NDY0NTY1ODMx> > . > NAML<http://r.789695.n4.nabble.com/template/NamlServlet.jtp?macro=macro_viewer&id=instant_html%21nabble%3Aemail.naml&base=nabble.naml.namespaces.BasicNamespace-nabble.view.web.template.NabbleNamespace-nabble.view.web.template.NodeNamespace&breadcrumbs=notify_subscribers%21nabble%3Aemail.naml-instant_emails%21nabble%3Aemail.naml-send_instant_email%21nabble%3Aemail.naml> > -- Best, Shishir -- View this message in context: http://r.789695.n4.nabble.com/Newey-West-HAC-for-pooled-cross-section-data-tp4662563p4662760.html Sent from the R help mailing list archive at Nabble.com. [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
