[SOLVED] Standard errors of impacts in a spatial regression lagsarlm

Standard errors of impacts in a spatial regression lagsarlm

I am using a spatial lag and durbin regression models and I would like to estimate the standard errors of the impacts. Any ideas on how to do this?

Reproducible example below using a durbin model

# data  
  data(oldcol) 

# neighbours lists
  lw <- nb2listw(COL.nb, style="W")

# regression
  fit_durb <- lagsarlm(CRIME ~ INC + HOVAL, data=COL.OLD, type="Durbin",
                       listw=lw, method="eigen", 
                       zero.policy=T, na.action="na.omit")
# power traces
  W <- as(lw, "CsparseMatrix")
  trMC <- trW(W, type="MC", listw = lw)

# Impacts
  imp <- summary(impacts(fit_durb, tr=trMC, R=1000), zstats=TRUE, short=TRUE)

Solution

You should be able to use the MC samples stored in the imp object to get the standard errors, for instance:

test1<-lapply(imp$sres, function(x){apply(x, 2, mean)})
test2<-lapply(imp$sres, function(x){apply(x, 2, sd)}
test1$direct/test2$direct

give the same z values as returned by imp