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spBreg.R
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# translated from Matlab code sar_g.m in the Spatial Econometrics toolbox by
# James LeSage and R. Kelley Pace (http://www.spatial-econometrics.com/).
# GSoc 2011 project by Abhirup Mallik mentored by Virgilio Gómez-Rubio
spBreg_lag <- function(formula, data = list(), listw, na.action, Durbin, type,
zero.policy=NULL, control=list()) {
timings <- list()
.ptime_start <- proc.time()
#control
con <- list(tol.opt=.Machine$double.eps^0.5, ldet_method="SE_classic",
Imult=2, cheb_q=5, MC_p=16L, MC_m=30L, super=NULL, spamPivot="MMD",
in_coef=0.1, type="MC", correct=TRUE, trunc=TRUE,
SE_method="LU", nrho=200, interpn=2000, SElndet=NULL, LU_order=FALSE,
pre_eig=NULL, interval=c(-1, 1), ndraw=2500L, nomit=500L, thin=1L,
verbose=FALSE, detval=NULL, prior=list(rhoMH=FALSE, Tbeta=NULL,
c_beta=NULL, rho=0.5, sige=1, nu=0, d0=0, a1 = 1.01, a2 = 1.01,
cc = 0.2, c=NULL, T=NULL))
priors <- con$prior
nmsP <- names(priors)
priors[(namp <- names(control$prior))] <- control$prior
if (length(noNms <- namp[!namp %in% nmsP]))
warning("unknown names in control$prior: ",
paste(noNms, collapse = ", "))
control$prior <- NULL
con$prior <- NULL
nmsC <- names(con)
con[(namc <- names(control))] <- control
if (length(noNms <- namc[!namc %in% nmsC]))
warning("unknown names in control: ", paste(noNms, collapse = ", "))
stopifnot(is.logical(con$verbose))
stopifnot(is.integer(con$ndraw))
stopifnot(is.integer(con$nomit))
stopifnot(is.integer(con$thin))
if (is.null(zero.policy))
zero.policy <- get.ZeroPolicyOption()
stopifnot(is.logical(zero.policy))
if (!inherits(formula, "formula")) formula <- as.formula(formula)
mt <- terms(formula, data = data)
mf <- lm(formula, data, na.action=na.action, method="model.frame")
have_factor_preds <- have_factor_preds_mf(mf)
na.act <- attr(mf, "na.action")
if (!inherits(listw, "listw")) stop("No neighbourhood list")
can.sim <- FALSE
if (listw$style %in% c("W", "S")) can.sim <- can.be.simmed(listw)
if (!is.null(na.act)) {
subset <- !(1:length(listw$neighbours) %in% na.act)
listw <- subset(listw, subset, zero.policy=zero.policy)
if (!is.null(con$pre_eig)) {
warning("NAs found, precomputed eigenvalues ignored")
con$pre_eig <- NULL
}
}
y <- model.extract(mf, "response")
#MatrixModels::model.Matrix()
# x <- Matrix::sparse.model.matrix(mt, mf)
x <- model.matrix(mt, mf)
n <- nrow(x)
if (n != length(listw$neighbours))
stop("Input data and weights have different dimensions")
xcolnames <- colnames(x)
K <- ifelse(xcolnames[1] == "(Intercept)", 2, 1)
wy <- lag.listw(listw, y, zero.policy=zero.policy)
if (anyNA(wy)) stop("NAs in lagged dependent variable")
#create_WX
# check for dgCMatrix
if (missing(type)) type <- "lag"
if (type == "mixed") {
type <- "Durbin"
}
if (missing(Durbin)) Durbin <- ifelse(type == "lag", FALSE, TRUE)
if (listw$style != "W" && is.formula(Durbin)) {
Durbin <- TRUE
warning("formula Durbin requires row-standardised weights; set TRUE")
}
if (is.logical(Durbin) && isTRUE(Durbin)) type <- "Durbin"
if (is.formula(Durbin)) type <- "Durbin"
if (is.logical(Durbin) && !isTRUE(Durbin)) type <- "lag"
m <- ncol(x)
dvars <- c(NCOL(x), 0L)
# if (type == "Durbin") {
# WX <- create_WX(x, listw, zero.policy=zero.policy, prefix="lag")
#FIXME
if (is.formula(Durbin) || isTRUE(Durbin)) {
prefix <- "lag"
if (isTRUE(Durbin)) {
if (have_factor_preds) warn_factor_preds(have_factor_preds)
WX <- create_WX(x, listw, zero.policy=zero.policy,
prefix=prefix)
} else {
data1 <- data
if (!is.null(na.act) && (inherits(na.act, "omit") ||
inherits(na.act, "exclude"))) {
data1 <- data1[-c(na.act),]
}
dmf <- lm(Durbin, data1, na.action=na.fail,
method="model.frame")
formula_durbin_factors <- have_factor_preds_mf(dmf)
if (formula_durbin_factors)
warn_factor_preds(formula_durbin_factors)
# dmf <- lm(Durbin, data, na.action=na.action,
# method="model.frame")
fx <- try(model.matrix(Durbin, dmf), silent=TRUE)
if (inherits(fx, "try-error"))
stop("Durbin variable mis-match")
WX <- create_WX(fx, listw, zero.policy=zero.policy,
prefix=prefix)
inds <- match(substring(colnames(WX), 5,
nchar(colnames(WX))), colnames(x))
if (anyNA(inds)) stop("WX variables not in X: ",
paste(substring(colnames(WX), 5,
nchar(colnames(WX)))[is.na(inds)], collapse=" "))
icept <- grep("(Intercept)", colnames(x))
iicept <- length(icept) > 0L
if (iicept) {
xn <- colnames(x)[-1]
} else {
xn <- colnames(x)
}
wxn <- substring(colnames(WX), nchar(prefix)+2,
nchar(colnames(WX)))
zero_fill <- NULL
if (length((which(!(xn %in% wxn)))) > 0L)
zero_fill <- length(xn) + (which(!(xn %in% wxn)))
}
dvars <- c(NCOL(x), NCOL(WX))
if (is.formula(Durbin)) {
attr(dvars, "f") <- Durbin
attr(dvars, "inds") <- inds
attr(dvars, "zero_fill") <- zero_fill
attr(dvars, "formula_durbin_factors") <- formula_durbin_factors
}
x <- cbind(x, WX)
m <- NCOL(x)
rm(WX)
}
# x <- cbind(x, WX)
# rm(WX)
# } else if (type != "lag") stop("No such type:", type)
lm.base <- lm(y ~ x - 1) # doesn't like dgCMatrix
aliased <- is.na(coefficients(lm.base))
cn <- names(aliased)
names(aliased) <- substr(cn, 2, nchar(cn))
if (any(aliased)) {
if (is.formula(Durbin)) {
stop("Aliased variables found: ",
paste(names(aliased)[aliased], collapse=" "))
} else {
warning("Aliased variables found: ",
paste(names(aliased)[aliased], collapse=" "))
nacoef <- which(aliased)
x <- x[,-nacoef]
}
}
m <- ncol(x)
timings[["set_up"]] <- proc.time() - .ptime_start
.ptime_start <- proc.time()
env <- new.env()
assign("can.sim", can.sim, envir=env)
assign("listw", listw, envir=env)
assign("similar", FALSE, envir=env)
assign("n", n, envir=env)
assign("verbose", con$verbose, envir=env)
assign("family", "SAR", envir=env)
assign("method", con$ldet_method, envir=env)
W <- as(listw, "CsparseMatrix")
assign("W", W, envir=env)
con$interval <- jacobianSetup(con$ldet_method, env, con,
pre_eig=con$pre_eig, interval=con$interval)
detval1 <- get("detval1", envir=env)[,1]
detval2 <- get("detval1", envir=env)[,2]
bprior <- dbeta(detval1, priors$a1, priors$a2)
nm <- paste(con$ldet_method, "set_up", sep="_")
timings[[nm]] <- proc.time() - .ptime_start
.ptime_start <- proc.time()
k <- m
if (is.null(priors$c_beta))
priors$c_beta <- rep(0, k)
else
stopifnot(length(priors$c_beta) == k)
if (is.null(priors$Tbeta))
priors$Tbeta <- diag(k)*1e+12
else
stopifnot(nrow(priors$Tbeta) == k && ncol(priors$Tbeta) == k)
sige <- priors$sige
rho <- priors$rho
#% storage for draws
bsave <- matrix(0, nrow=con$ndraw, ncol=k)
psave <- numeric(con$ndraw)
ssave <- numeric(con$ndraw)
lsave <- numeric(con$ndraw)
acc_rate <- NULL
if (priors$rhoMH) acc_rate <- numeric(con$ndraw)
#% ====== initializations
#% compute this stuff once to save time
TI = solve(priors$Tbeta); # see eq 5.29, Lesage & Pace (2009) p. 140
TIc = TI%*%priors$c_beta;
xpx = crossprod(x)
xpy = crossprod(x, y)
xpWy = crossprod(x, wy)
nu1 = n + 2*priors$nu
nrho = length(detval1)
rho_out = 0
gsize = detval1[2] - detval1[1]
acc = 0
noninf <- TRUE
if (!is.null(priors$c) && !is.null(priors$T)) {
if (length(priors$c) == 1L && is.numeric(priors$c) &&
length(priors$T) == 1L && is.numeric(priors$T)) noninf <- FALSE
}
nmk = (n-k)/2
cc <- priors$cc
# nano_1 = 0
# nano_2 = 0
# nano_3 = 0
timings[["complete_setup"]] <- proc.time() - .ptime_start
.ptime_start <- proc.time()
for (iter in 1:con$ndraw) { #% start sampling;
##% update beta
# nano_p <- microbenchmark::get_nanotime()
AI = solve((xpx + sige*TI))#,diag(rep(1,k)));
ys = y - rho*wy
b = crossprod(x, ys) + sige*TIc
b0 = AI %*% b # see eq 5.29, p. 140
bhat = MASS::mvrnorm(1, b0, sige*AI) #norm_rnd(sige*AI) + b0;
bsave[iter, 1:k] = as.vector(bhat)
# nano_1 <- nano_1 + microbenchmark::get_nanotime() - nano_p
##% update sige
# nano_p <- microbenchmark::get_nanotime()
xb = x %*% bhat
e = (ys - xb)
d1 = 2*priors$d0 + crossprod(e)
chi = rchisq(1, nu1) #chi = chis_rnd(1,nu1);
sige = as.numeric(d1/chi) # see eq 5.30, p. 141
ssave[iter] = as.vector(sige)
if (priors$rhoMH) {
## % metropolis step to get rho update
i1 = max(which(detval1 <= (rho + gsize)))
i2 = max(which(detval1 <= (rho - gsize)))
index = round((i1+i2)/2)
if (!is.finite(index)) index = 1
detm = detval2[index]
if (noninf) {
epe = (crossprod(e))/(2*sige)
} else {
epe = (crossprod(e))/(2*sige) + 0.5*(((rho-priors$c)^2)/(priors$T*sige))
}
rhox = detm - epe
accept = 0L;
rho2 = rho + cc*rnorm(1);
while(accept == 0L) {
if((rho2 > con$interval[1]) & (rho2 < con$interval[2])) {
accept=1
} else {
rho2 = rho + cc*rnorm(1)
}
}
i1 = max(which(detval1 <= (rho2 + gsize)))
i2 = max(which(detval1 <= (rho2 - gsize)))
index = round((i1+i2)/2)
if (!is.finite(index)) index = 1
detm = detval2[index]
yss = y - rho2*wy
e = yss - x %*% bhat
if (noninf) {
epe = (crossprod(e))/(2*sige)
} else {
epe = (crossprod(e))/(2*sige) +
0.5*(((rho-priors$c)^2)/(priors$T*sige))
}
rhoy = detm - epe
if ((rhoy - rhox) > exp(1)) {
p = 1
} else {
ratio = exp(rhoy-rhox)
p = min(1, ratio)
}
ru = runif(1)
if(ru < p) {
rho = rho2
acc = acc + 1
}
acc_rate[iter] = acc/iter
if(acc_rate[iter] < 0.4) cc=cc/1.1
if(acc_rate[iter] > 0.6) cc=cc*1.1
AI = solve((xpx + sige*TI))
b0 = AI %*% (xpy + sige*TIc)
bd = AI %*% (xpWy + sige*TIc)
e0 = y - x%*%b0
ed = wy - x%*%bd
epe0 = as.vector(crossprod(e0))
eped = as.vector(crossprod(ed))
epe0d = as.vector(crossprod(ed, e0))
} else {
###% update rho using griddy Gibbs
AI = solve((xpx + sige*TI))
b0 = AI %*% (xpy + sige*TIc)
bd = AI %*% (xpWy + sige*TIc)
e0 = y - x%*%b0
ed = wy - x%*%bd
epe0 = as.vector(crossprod(e0))
eped = as.vector(crossprod(ed))
epe0d = as.vector(crossprod(ed, e0))
nmk = (n-k)/2
z = epe0 - 2*detval1*epe0d + detval1*detval1*eped
den = detval2 - nmk*log(z)
den = den + bprior
nd = length(den)
adj = max(den)
den = den - adj
xd = exp(den)
## trapezoid rule
isum = sum((detval1[2:nd] + detval1[1:(nd-1)])*(xd[2:nd]
- xd[1:(nd-1)])/2)#VIRGILIO:FIXED
zd = abs(xd/isum)
den = cumsum(zd)
rnd = runif(1)*sum(zd)
cond <- den <= rnd
if (any(cond)) {
# ind = which(den <= rnd)
idraw <- max(which(cond))
#idraw = which.min(cond) - 1 #max(ind)
# if (idraw > 0 & idraw < nrho)
rho = detval1[idraw]#FIXME: This sometimes fail... #nk027:Tried
} else {
rho_out = rho_out+1
}
}
psave[iter] = as.vector(rho)
# nano_3 <- nano_3 + microbenchmark::get_nanotime() - nano_p
}
### % end of sampling loop
timings[["sampling"]] <- proc.time() - .ptime_start
.ptime_start <- proc.time()
mat <- cbind(bsave, psave, ssave)
colnames(mat) <- c(colnames(x), "rho", "sige")
res <- coda::mcmc(mat, start=con$nomit+1, end=con$ndraw, thin=con$thin)
means <- summary(res)$statistics[,1]
beta <- means[1:(length(means)-2)]
rho <- means[(length(means)-1)]
xb = x %*% beta
ys = y - rho*wy
e = (ys - xb)
sse <- crossprod(e)
s2 <- sse/n
ldet <- do_ldet(rho, env)
ll_mean <- (ldet - ((n/2)*log(2*pi)) - (n/2)*log(s2)
- (1/(2*s2))*sse)
timings[["finalise"]] <- proc.time() - .ptime_start
attr(res, "timings") <- do.call("rbind", timings)
# attr(res, "nano") <- c(nano_1, nano_2, nano_3)
attr(res, "control") <- con
attr(res, "type") <- type
attr(res, "rho_out") <- rho_out
attr(res, "listw_style") <- listw$style
attr(res, "ll_mean") <- as.vector(ll_mean)
attr(res, "aliased") <- aliased
attr(res, "acc_rate") <- acc_rate
attr(res, "dvars") <- dvars
attr(res, "MH") <- priors$rhoMH
attr(res, "have_factor_preds") <- have_factor_preds
class(res) <- c("MCMC_sar_G", class(res))
res
#output mcmc object
}
impacts.MCMC_sar_G <- function(obj, ..., tr=NULL, listw=NULL, evalues=NULL,
Q=NULL) {
if (is.null(listw) && !is.null(attr(obj, "listw_style")) &&
attr(obj, "listw_style") != "W")
stop("Only row-standardised weights supported")
means <- summary(obj)$statistics[,1]
irho <- length(means)-1
drop2beta <- irho:length(means)
rho <- means[irho]
s2 <- means[length(means)]
beta <- means[1:(length(means)-2)]
icept <- grep("(Intercept)", names(beta))
iicept <- length(icept) > 0L
zero_fill <- NULL
dvars <- NULL
samples <- as.matrix(obj)
interval <- attr(obj, "control")$interval
if (attr(obj, "type") == "lag") {
type <- "lag"
if (iicept) {
P <- matrix(beta[-icept], ncol=1)
bnames <- names(beta[-icept])
} else {
P <- matrix(beta, ncol=1)
bnames <- names(beta)
}
p <- length(beta)
} else if (attr(obj, "type") == "Durbin") {
type <- "mixed"
if (!is.null(attr(obj, "dvars"))) {
dvars <- attr(obj, "dvars")
zero_fill <- attr(dvars, "zero_fill")
}
if (iicept) {
b1 <- beta[-icept]
} else {
b1 <- beta
}
if (!is.null(zero_fill)) {
if (length(zero_fill) > 0L) {
inds <- attr(dvars, "inds")
b1_long <- rep(0, 2*(dvars[1]-1L))
b1_long[1:(dvars[1]-1L)] <- b1[1:(dvars[1]-1L)]
names(b1_long)[1:(dvars[1]-1L)] <- names(b1)[1:(dvars[1]-1)]
for (i in seq(along=inds)) {
b1_long[(dvars[1]-1L)+(inds[i]-1L)] <- b1[(dvars[1]-1L)+i]
}
b1 <- b1_long
# s_zero_fill <- sort(zero_fill, decreasing=TRUE)
# for (i in s_zero_fill) {
# b1 <- append(b1, values=as.numeric(NA), after=i-1L)
# }
}
}
p <- length(b1)
if (p %% 2 != 0) stop("non-matched coefficient pairs")
P <- cbind(b1[1:(p/2)], b1[((p/2)+1):p])
bnames <- names(b1[1:(p/2)])
}
if (is.null(evalues)) {
if (is.null(listw) && is.null(tr)) {
stop("either tr or listw must be given")
} else {
if (is.null(tr) && !is.null(listw)) n <- length(listw$neighbours)
else if (!is.null(tr)) n <- attr(tr, "n")
}
} else {
if (!is.null(listw)) {
warning("evalues given: listw will be ignored")
listw <-NULL
}
if (!is.null(tr)) {
warning("evalues given: listw will be ignored")
tr <- NULL
}
n <- length(evalues)
}
R <- nrow(samples)
res <- intImpacts(rho=rho, beta=beta, P=P, n=n, mu=NULL, Sigma=NULL,
irho=irho, drop2beta=drop2beta, bnames=bnames, interval=interval,
type=type, tr=tr, R=R, listw=listw, evalues=evalues, tol=NULL,
empirical=NULL, Q=Q, icept=icept, iicept=iicept, p=p, samples=samples,
zero_fill=zero_fill, dvars=dvars)
attr(res, "iClass") <- class(obj)
res
}
# translated from Matlab code sem_g.m in the Spatial Econometrics toolbox by
# James LeSage and R. Kelley Pace (http://www.spatial-econometrics.com/).
# GSoc 2011 project by Abhirup Mallik mentored by Virgilio Gómez-Rubio
spBreg_err <- function(formula, data = list(), listw, na.action, Durbin, etype,
zero.policy=NULL, control=list()) {
timings <- list()
.ptime_start <- proc.time()
#control
con <- list(tol.opt=.Machine$double.eps^0.5, ldet_method="SE_classic",
Imult=2, cheb_q=5, MC_p=16L, MC_m=30L, super=NULL, spamPivot="MMD",
in_coef=0.1, type="MC", correct=TRUE, trunc=TRUE, LAPACK=FALSE,
SE_method="LU", nrho=200, interpn=2000, SElndet=NULL, LU_order=FALSE,
pre_eig=NULL, interval=c(-1, 1), ndraw=2500L, nomit=500L, thin=1L,
verbose=FALSE, detval=NULL, prior=list(lambdaMH=FALSE, Tbeta=NULL,
c_beta=NULL, lambda=0.5, sige=1, nu=0, d0=0, a1 = 1.01, a2 = 1.01,
cc = 0.2, gG_sige=TRUE))
priors <- con$prior
nmsP <- names(priors)
priors[(namp <- names(control$prior))] <- control$prior
if (length(noNms <- namp[!namp %in% nmsP]))
warning("unknown names in control$prior: ",
paste(noNms, collapse = ", "))
control$prior <- NULL
con$prior <- NULL
nmsC <- names(con)
con[(namc <- names(control))] <- control
if (length(noNms <- namc[!namc %in% nmsC]))
warning("unknown names in control: ", paste(noNms, collapse = ", "))
stopifnot(is.logical(con$verbose))
stopifnot(is.integer(con$ndraw))
stopifnot(is.integer(con$nomit))
stopifnot(is.integer(con$thin))
stopifnot(is.logical(con$LAPACK))
if (is.null(zero.policy))
zero.policy <- get.ZeroPolicyOption()
stopifnot(is.logical(zero.policy))
if (!inherits(formula, "formula")) formula <- as.formula(formula)
mt <- terms(formula, data = data)
mf <- lm(formula, data, na.action=na.action, method="model.frame")
have_factor_preds <- have_factor_preds_mf(mf)
na.act <- attr(mf, "na.action")
if (!inherits(listw, "listw")) stop("No neighbourhood list")
can.sim <- FALSE
if (listw$style %in% c("W", "S")) can.sim <- can.be.simmed(listw)
if (!is.null(na.act)) {
subset <- !(1:length(listw$neighbours) %in% na.act)
listw <- subset(listw, subset, zero.policy=zero.policy)
if (!is.null(con$pre_eig)) {
warning("NAs found, precomputed eigenvalues ignored")
con$pre_eig <- NULL
}
}
y <- model.extract(mf, "response")
#MatrixModels::model.Matrix()
# x <- Matrix::sparse.model.matrix(mt, mf)
x <- model.matrix(mt, mf)
n <- nrow(x)
if (n != length(listw$neighbours))
stop("Input data and weights have different dimensions")
xcolnames <- colnames(x)
K <- ifelse(xcolnames[1] == "(Intercept)", 2, 1)
wy <- lag.listw(listw, y, zero.policy=zero.policy)
if (anyNA(wy)) stop("NAs in lagged dependent variable")
#create_WX
# check for dgCMatrix
if (missing(etype)) etype <- "error"
if (missing(Durbin)) Durbin <- ifelse(etype == "error", FALSE, TRUE)
if (listw$style != "W" && is.formula(Durbin)) {
Durbin <- TRUE
warning("formula Durbin requires row-standardised weights; set TRUE")
}
if (is.logical(Durbin) && isTRUE(Durbin)) etype <- "emixed"
if (is.formula(Durbin)) etype <- "emixed"
if (is.logical(Durbin) && !isTRUE(Durbin)) etype <- "error"
m <- ncol(x)
xxcolnames <- colnames(x)
dvars <- c(NCOL(x), 0L)
if (is.formula(Durbin) || isTRUE(Durbin)) {
prefix <- "lag"
if (isTRUE(Durbin)) {
if (have_factor_preds) warn_factor_preds(have_factor_preds)
WX <- create_WX(x, listw, zero.policy=zero.policy,
prefix=prefix)
} else {
data1 <- data
if (!is.null(na.act) && (inherits(na.act, "omit") ||
inherits(na.act, "exclude"))) {
data1 <- data1[-c(na.act),]
}
dmf <- lm(Durbin, data1, na.action=na.fail,
method="model.frame")
formula_durbin_factors <- have_factor_preds_mf(dmf)
if (formula_durbin_factors)
warn_factor_preds(formula_durbin_factors)
# dmf <- lm(Durbin, data, na.action=na.action,
# method="model.frame")
fx <- try(model.matrix(Durbin, dmf), silent=TRUE)
if (inherits(fx, "try-error"))
stop("Durbin variable mis-match")
WX <- create_WX(fx, listw, zero.policy=zero.policy,
prefix=prefix)
inds <- match(substring(colnames(WX), 5,
nchar(colnames(WX))), colnames(x))
if (anyNA(inds)) stop("WX variables not in X: ",
paste(substring(colnames(WX), 5,
nchar(colnames(WX)))[is.na(inds)], collapse=" "))
icept <- grep("(Intercept)", colnames(x))
iicept <- length(icept) > 0L
if (iicept) {
xn <- colnames(x)[-1]
} else {
xn <- colnames(x)
}
wxn <- substring(colnames(WX), nchar(prefix)+2,
nchar(colnames(WX)))
zero_fill <- NULL
if (length((which(!(xn %in% wxn)))) > 0L)
zero_fill <- length(xn) + (which(!(xn %in% wxn)))
}
dvars <- c(NCOL(x), NCOL(WX))
if (is.formula(Durbin)) {
attr(dvars, "f") <- Durbin
attr(dvars, "inds") <- inds
attr(dvars, "zero_fill") <- zero_fill
attr(dvars, "formula_durbin_factors") <- formula_durbin_factors
}
x <- cbind(x, WX)
xcolnames <- colnames(x)
m <- NCOL(x)
rm(WX)
}
# x <- cbind(x, WX)
# rm(WX)
# } else if (type != "lag") stop("No such type:", type)
lm.base <- lm(y ~ x - 1) # doesn't like dgCMatrix
aliased <- is.na(coefficients(lm.base))
cn <- names(aliased)
names(aliased) <- substr(cn, 2, nchar(cn))
if (any(aliased)) {
if (is.formula(Durbin)) {
stop("Aliased variables found: ",
paste(names(aliased)[aliased], collapse=" "))
} else {
warning("Aliased variables found: ",
paste(names(aliased)[aliased], collapse=" "))
nacoef <- which(aliased)
x <- x[,-nacoef]
}
}
m <- ncol(x)
timings[["set_up"]] <- proc.time() - .ptime_start
.ptime_start <- proc.time()
env <- new.env()
assign("can.sim", can.sim, envir=env)
assign("listw", listw, envir=env)
assign("similar", FALSE, envir=env)
assign("n", n, envir=env)
assign("verbose", con$verbose, envir=env)
assign("family", "SAR", envir=env)
assign("method", con$ldet_method, envir=env)
assign("LAPACK", con$LAPACK, envir=env)
W <- as(listw, "CsparseMatrix")
assign("W", W, envir=env)
con$interval <- jacobianSetup(con$ldet_method, env, con,
pre_eig=con$pre_eig, interval=con$interval)
detval1 <- get("detval1", envir=env)[,1]
detval2 <- get("detval1", envir=env)[,2]
bprior <- dbeta(detval1, priors$a1, priors$a2)
nm <- paste(con$ldet_method, "set_up", sep="_")
timings[[nm]] <- proc.time() - .ptime_start
.ptime_start <- proc.time()
k <- m
if (is.null(priors$c_beta))
priors$c_beta <- rep(0, k)
else
stopifnot(length(priors$c_beta) == k)
if (is.null(priors$Tbeta))
priors$Tbeta <- diag(k)*1e+12
else
stopifnot(nrow(priors$Tbeta) == k && ncol(priors$Tbeta) == k)
sige <- priors$sige
lambda <- priors$lambda
cc <- priors$cc
#% storage for draws
bsave <- matrix(0, nrow=con$ndraw, ncol=k)
psave <- numeric(con$ndraw)
ssave <- numeric(con$ndraw)
acc_rate <- NULL
if (priors$lambdaMH) acc_rate <- numeric(con$ndraw)
#% ====== initializations
#% compute this stuff once to save time
TI = solve(priors$Tbeta); # see eq 5.29, Lesage & Pace (2009) p. 140
TIc = TI%*%priors$c_beta;
if (m > 1 || (m == 1 && K == 1)) {
WX <- matrix(nrow=n,ncol=(m-(K-1)))
for (k in K:m) {
wx <- lag.listw(listw, x[,k], zero.policy=zero.policy)
if (any(is.na(wx)))
stop("NAs in lagged independent variable")
WX[,(k-(K-1))] <- wx
}
}
if (K == 2) {
# modified to meet other styles, email from Rein Halbersma
wx1 <- as.double(rep(1, n))
wx <- lag.listw(listw, wx1, zero.policy=zero.policy)
if (m > 1) WX <- cbind(wx, WX)
else WX <- matrix(wx, nrow=n, ncol=1)
}
colnames(WX) <- xcolnames
rm(wx)
# xpx = crossprod(x)
# xpy = crossprod(x, y)
# xpWy = crossprod(x, wy)
nu1 = n + 2*priors$nu
nrho = length(detval1)
gsize = detval1[2] - detval1[1]
acc = 0
nmk = (n-k)/2
# RSB Lifted out of draw_rho_sem for homoscedastic model
if (!priors$lambdaMH) {
rgrid = seq(con$interval[1]+0.01, con$interval[2]-0.01, 0.01)
ng = length(rgrid)
epet = numeric(ng)
detxt = numeric(ng)
for(i in 1:ng) {
xs = x - rgrid[i]*WX
ys = y - rgrid[i]*wy
xsxs <- crossprod(xs)
AI = solve(xsxs)
bs = AI %*% crossprod(xs, ys)
e = ys - xs%*%bs
epet[i] = crossprod(e)
detxt[i] = det(xsxs)
}
EPE = exp((spline(x=rgrid, y=log(epet), xout=detval1))$y)
DETX = exp(spline(x=rgrid, y=log(detxt), xout=detval1)$y)
}
timings[["complete_setup"]] <- proc.time() - .ptime_start
.ptime_start <- proc.time()
for (iter in 1:con$ndraw) { #% start sampling;
#% update beta
xss = x - lambda*WX
AI = solve(crossprod(xss) + sige*TI)
yss = y - lambda*wy
b = crossprod(xss, yss) + sige*TIc
b0 = AI %*% b
bhat = MASS::mvrnorm(1, b0, sige*AI)
bsave[iter, 1:k] = as.vector(bhat)
#update sige:
e = yss - xss %*% bhat
ed = e - lambda*lag.listw(listw, e, zero.policy=zero.policy)
d1 = 2*priors$d0 + crossprod(ed)
chi = rchisq(1, nu1)
sige = as.numeric(d1/chi)
ssave[iter] = as.vector(sige)
if (priors$lambdaMH) {
#update lambda using M-H
i1 = max(which(detval1 <= (lambda + gsize)))
i2 = max(which(detval1 <= (lambda - gsize)))
index = round((i1+i2)/2)
if (!is.finite(index)) index = 1 #Fixed this
detm = detval2[index]
epe = (crossprod(e))/(2*sige)
detx = 0.5*log(det(crossprod(xss)))
rhox = detm - detx - epe
accept = 0L;
lambda2 = lambda + cc*rnorm(1);
while(accept == 0L) {
if((lambda2 > con$interval[1]) & (lambda2 < con$interval[2])) {
accept=1
} else {
lambda2 = lambda + cc*rnorm(1)
}
}
i1 = max(which(detval1 <= (lambda2 + gsize)))
i2 = max(which(detval1 <= (lambda2 - gsize)))
index = round((i1+i2)/2)
if (!is.finite(index)) index = 1 #Fixed this
detm = detval2[index]
xss = x - lambda2*WX
yss = y - lambda2*wy
detx = 0.5*log(det(crossprod(xss)))
e = yss - xss %*% bhat
epe = (crossprod(e))/(2*sige)
rhoy = detm - detx - epe
if ((rhoy - rhox) > exp(1)) {
p = 1
} else {
ratio = exp(rhoy-rhox)
p = min(1, ratio)
}
ru = runif(1)
if(ru < p) {
lambda = lambda2
acc = acc + 1
}
acc_rate[iter] = acc/iter
if(acc_rate[iter] < 0.4) cc=cc/1.1
if(acc_rate[iter] > 0.6) cc=cc*1.1
} else {
# RSB updated sige added
if (priors$gG_sige) {
den = detval2 - 0.5*log(DETX) - nmk*log(EPE/(2*sige))
} else {
den = detval2 - 0.5*log(DETX) - nmk*log(EPE)
}
adj = max(den)
den = den - adj
den = exp(den)
nden = length(den)
isum = sum((detval1[2:nden] + detval1[1:(nden-1)]) * (den[2:nden] -
den[1:(nden-1)])/2)
z = abs(den/isum)
den = cumsum(z)
rnd = runif(1) * sum(z)
ind = which(den <= rnd)
idraw = max(ind)
if((idraw > 0) && (idraw < nrho)) {
lambda = detval1[idraw]
}
}
psave[iter] = as.vector(lambda)
}
### % end of sampling loop
timings[["sampling"]] <- proc.time() - .ptime_start
.ptime_start <- proc.time()
mat <- cbind(bsave, psave, ssave)
colnames(mat) <- c(colnames(x), "lambda", "sige")
res <- coda::mcmc(mat, start=con$nomit+1, end=con$ndraw, thin=con$thin)
emixedImps <- NULL
if (etype == "emixed") {
sum_stats <- summary(res)$statistics
if (isTRUE(Durbin)) {
odd <- (m%/%2) > 0
if (odd) {
m2 <- (m-1)/2
} else {
m2 <- m/2
}
if (K == 1 && odd) {
warning("model configuration issue: no total impacts")
} else {
cm <- matrix(0, ncol=m, nrow=m2)
if (K == 2) {
if (odd) {
rownames(cm) <- xxcolnames[2:(m2+1)]
} else {
rownames(cm) <- xxcolnames[1:m2]
}
for (i in 1:m2) cm[i, c(i+1, i+(m2+1))] <- 1
# drop bug fix 2016-09-21 Philipp Hunziker
dirImps <- sum_stats[2:(m2+1), 1:2, drop=FALSE]
rownames(dirImps) <- rownames(cm)
indirImps <- sum_stats[(m2+2):m, 1:2, drop=FALSE]
rownames(indirImps) <- rownames(cm)
tI <- res[, 2:(m2+1), drop=FALSE] +
res[, (m2+2):m, drop=FALSE]
totImps <- t(apply(tI, 2, function(x) c(mean(x), sd(x))))
rownames(totImps) <- rownames(cm)
} else {
rownames(cm) <- xxcolnames[1:m2]
for (i in 1:m2) cm[i, c(i, i+m2)] <- 1
dirImps <- sum_stats[1:m2, 1:2, drop=FALSE]
rownames(dirImps) <- rownames(cm)
indirImps <- sum_stats[(m2+1):m, 1:2, drop=FALSE]
rownames(indirImps) <- rownames(cm)
tI <- res[, 1:m2, drop=FALSE] +
res[, (m2+1):m, drop=FALSE]
totImps <- t(apply(tI, 2, function(x) c(mean(x), sd(x))))
rownames(totImps) <- rownames(cm)
colnames(totImps) <- colnames(dirImps)
}
}
} else if (is.formula(Durbin)) {
#FIXME
m <- sum(dvars)
m2 <- dvars[2]
cm <- matrix(0, ncol=m, nrow=m2)
for (i in 1:m2) {
cm[i, c(inds[i], i+dvars[1])] <- 1
}
rownames(cm) <- wxn
dirImps <- sum_stats[2:dvars[1], 1:2, drop=FALSE]
rownames(dirImps) <- xn
indirImps <- sum_stats[(dvars[1]+1):m, 1:2, drop=FALSE]
if (!is.null(zero_fill)) {
if (length(zero_fill) > 0L) {
lres <- vector(mode="list", length=2L)
for (j in 1:2) {
jindirImps <- rep(as.numeric(NA), (dvars[1]-1))
for (i in seq(along=inds)) {
jindirImps[(inds[i]-1)] <- indirImps[i, j]
}
lres[[j]] <- jindirImps
}
indirImps <- do.call("cbind", lres)
}
}
rownames(indirImps) <- xn
tI <- res[, inds, drop=FALSE] +
res[, (dvars[1]+1):m, drop=FALSE]
totImps <- t(apply(tI, 2, function(x) c(mean(x), sd(x))))
if (!is.null(zero_fill)) {
if (length(zero_fill) > 0L) {
lres <- vector(mode="list", length=2L)
for (j in 1:2) {
jtotImps <- dirImps[, j]
for (i in seq(along=inds)) {
jtotImps[(inds[i]-1)] <- totImps[i, j]
}
lres[[j]] <- jtotImps
}
totImps <- do.call("cbind", lres)
}
}
rownames(totImps) <- xn
colnames(totImps) <- colnames(dirImps)
} else stop("undefined emixed state")
emixedImps <- list(dirImps=dirImps, indirImps=indirImps,
totImps=totImps)
}
timings[["finalise"]] <- proc.time() - .ptime_start
attr(res, "timings") <- do.call("rbind", timings)
# attr(res, "nano") <- c(nano_1, nano_2, nano_3)
attr(res, "control") <- con
attr(res, "etype") <- etype
attr(res, "listw_style") <- listw$style
# attr(res, "ll_mean") <- as.vector(ll_mean)
attr(res, "aliased") <- aliased
attr(res, "dvars") <- dvars
attr(res, "emixedImps") <- emixedImps
attr(res, "acc_rate") <- acc_rate
attr(res, "cc") <- cc
attr(res, "n") <- n
attr(res, "k") <- k
attr(res, "MH") <- priors$lambdaMH
attr(res, "have_factor_preds") <- have_factor_preds
class(res) <- c("MCMC_sem_G", class(res))
res
#output mcmc object
}
impacts.MCMC_sem_G <- function(obj, ..., tr=NULL, listw=NULL, evalues=NULL,
Q=NULL) {
emixedImps <- attr(obj, "emixedImps")
if (is.null(emixedImps)) {
stop("No indirect impacts, use summary()")
}
n <- attr(obj, "n")
k <- attr(obj, "k")
impactsWX(emixedImps, n, k, type="SDEM", method="MCMC")
}
# translated from Matlab code sac_g.m in the Spatial Econometrics toolbox by
# James LeSage and R. Kelley Pace (http://www.spatial-econometrics.com/).
# GSoc 2011 project by Abhirup Mallik mentored by Virgilio Gómez-Rubio
spBreg_sac <- function(formula, data = list(), listw, listw2=NULL, na.action,
Durbin, type, zero.policy=NULL, control=list()) {
timings <- list()
.ptime_start <- proc.time()
#control
con <- list(tol.opt=.Machine$double.eps^0.5, ldet_method="SE_classic",
Imult=2, cheb_q=5, MC_p=16L, MC_m=30L, super=NULL, spamPivot="MMD",
in_coef=0.1, type="MC", correct=TRUE, trunc=TRUE,
SE_method="LU", nrho=200, interpn=2000, SElndet=NULL, LU_order=FALSE,
pre_eig1=NULL, pre_eig2=NULL, interval1=c(-1, 1), interval2=c(-1, 1),
ndraw=2500L, nomit=500L, thin=1L, verbose=FALSE, detval1=NULL,
detval2=NULL, prior=list(Tbeta=NULL, c_beta=NULL, lambda=0.5,
rho=0.5, sige=1, nu=0, d0=0, a1 = 1.01, a2 = 1.01, cc1 = 0.2,
cc2 = 0.2))
priors <- con$prior
nmsP <- names(priors)
priors[(namp <- names(control$prior))] <- control$prior
if (length(noNms <- namp[!namp %in% nmsP]))
warning("unknown names in control$prior: ",
paste(noNms, collapse = ", "))
control$prior <- NULL
con$prior <- NULL
nmsC <- names(con)