HETSAR: Stata module to estimate spatial autoregressive models with heterogeneous coefficients

Federico Belotti

Statistical Software Components from Boston College Department of Economics

Abstract: hetsar fits spatial autoregressive panel data models with heterogeneous coefficients. The estimation is performed via quasi maximum-likelihood. hetsar allows the automatic estimation of Durbin and dynamic models. Stata matrices, spmat or spmatrix objects can be used to specify the spatial weights matrix. See Aquaro, Bailey and Pesaran (J. Appl. Econometrics, 2021) for technical details.

Language: Stata
Requires: Stata version 11.2
Keywords: spatial autoregression; panel data; heterogenous coefficients (search for similar items in EconPapers)
Date: 2021-03-25, Revised 2021-08-17
Note: This module should be installed from within Stata by typing "ssc install hetsar". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
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Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/h/hetsar.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/h/hetsar_p.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/h/hetsar.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/h/hetsar_postestimation.sthlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/l/lhetsar.mlib Mata object library (application/x-stata)

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