predict.sarlm.Rdpredict.Sarlm() calculates predictions as far as is at present possible for for spatial simultaneous autoregressive linear
model objects, using Haining's terminology for decomposition into
trend, signal, and noise, or other types of predictors --- see references.
# S3 method for Sarlm
predict(object, newdata = NULL, listw = NULL, pred.type = "TS", all.data = FALSE,
zero.policy = NULL, legacy = TRUE, legacy.mixed = FALSE, power = NULL, order = 250,
tol = .Machine$double.eps^(3/5), spChk = NULL, ...)
#\method{predict}{SLX}(object, newdata, listw, zero.policy=NULL, ...)
# S3 method for Sarlm.pred
print(x, ...)
# S3 method for Sarlm.pred
as.data.frame(x, ...)Sarlm object returned by lagsarlm,
errorsarlm or sacsarlm, the method for SLX objects takes the output of lmSLX
data frame in which to predict --- if NULL, predictions are for the data on which the model was fitted. Should have row names corresponding to region.id. If row names are exactly the same than the ones used for training, it uses in-sample predictors for forecast. See ‘Details’
a listw object created for example by nb2listw. In the out-of-sample prediction case (ie. if newdata is not NULL), if legacy.mixed=FALSE or if pred.type!="TS", it should include both in-sample and out-of-sample spatial units. In this case, if regions of the listw are not in the correct order, they are reordered. See ‘Details’
predictor type --- default “TS”, use decomposition into
trend, signal, and noise ; other types available depending on newdata. If newdata=NULL (in-sample prediction), “TS”, “trend”, “TC” and “BP” are available. If newdata is not NULL and its row names are the same than the data used to fit the model (forecast case), “TS”, “trend” and “TC” are available. In other cases (out-of-sample prediction), “TS”, “trend”, “KP1”, “KP2”, “KP3”, “KP4”, “KP5”, “TC”, “BP”, “BPW”, “BPN”, “TS1”, “TC1”, “BP1”, “BPW1” and “BPN1” are available. See ‘Details’ and references
(only applies to pred.type="TC" and newdata is not NULL) default FALSE: return predictions only for newdata units, if TRUE return predictions for all data units. See ‘Details’
default NULL, use global option value; if TRUE assign zero to the lagged value of zones without neighbours, if FALSE (default) assign NA - causing the function to terminate with an error
(only applies to lag and Durbin (mixed) models for pred.type="TS") default TRUE: use ad-hoc predictor, if FALSE use DGP-based predictor
(only applies to mixed models if newdata is not NULL) default FALSE: compute lagged variables from both in-sample and out-of-sample units with \([W X]_O\) and \([W X]_S\) where X=cbind(Xs, Xo), if TRUE compute lagged variables independantly between in-sample and out-of-sample units with \(W_{OO} X_O\) and \(W_{SS} X_S\)
(only applies to lag and Durbin (mixed) models for “TS”, “KP1”, “KP2”, “KP3”, “TC”, “TC1”, “BP”, “BP1”, “BPN”, “BPN1”, “BPW” and “BPW1” types) use powerWeights, if default NULL, set FALSE if object$method is “eigen”, otherwise TRUE
power series maximum limit if power is TRUE
tolerance for convergence of power series if power is TRUE
should the row names of data frames be checked against the spatial objects for identity integrity, TRUE, or FALSE, default NULL to use get.spChkOption()
the object to be printed
further arguments passed through
The function supports three types of prediction. In-sample prediction is the computation of predictors on the data used to fit the model (newdata=NULL). Prevision, also called forecast, is the computation of some predictors (“trend”, in-sample “TC” and out-of-sample “TS”) on the same spatial units than the ones used to fit the model, but with different observations of the variables in the model (row names of newdata should have the same row names than the data frame used to fit the model). And out-of-sample prediction is the computation of predictors on other spatial units than the ones used to fit the model (newdata has different row names). For extensive definitions, see Goulard et al. (2017).
pred.type of predictors are available according to the model of object an to the type of prediction. In the two following tables, “yes” means that the predictor can be used with the model, “no” means that predict.Sarlm() will stop with an error, and “yes*” means that the predictor is not designed for the specified model, but it can be used with predict.Sarlm(). In the last case, be careful with the computation of a inappropriate predictor.
In-sample predictors by models
| pred.type | sem (mixed) | lag (mixed) | sac (mixed) |
| “trend” | yes | yes | yes |
| “TS” | yes | yes | no |
| “TC” | no | yes | yes* |
| “BP” | no | yes | yes* |
Note that only “trend” and “TC” are available for prevision.
Out-of-sample predictors by models
| pred.type | sem (mixed) | lag (mixed) | sac (mixed) |
| “trend” | yes | yes | yes |
| “TS” | yes | yes | no |
| “TS1” or “KP4” | no | yes | yes |
| “TC” | no | yes | yes* |
| “TC1” or “KP1” | yes | yes | yes |
| “BP” | no | yes | yes* |
| “BP1” | no | yes | yes* |
| “BPW” | no | yes | yes* |
| “BPW1” | no | yes | yes* |
| “BN” | no | yes | yes* |
| “BPN1” | no | yes | yes* |
| “KP2” | yes | yes | yes |
| “KP3” | yes | yes | yes |
| “KP5” | yes | no | yes* |
Values for pred.type= include “TS1”, “TC”, “TC1”, “BP”, “BP1”, “BPW”, “BPW1”, “BPN”, “BPN1”, following the notation in Goulard et al. (2017), and for pred.type= “KP1”, “KP2”, “KP3”, “KP4”, “KP5”, following the notation in Kelejian et al. (2007). pred.type="TS" is described bellow and in Bivand (2002).
In the following, the trend is the non-spatial smooth, the signal is the
spatial smooth, and the noise is the residual. The fit returned by pred.type="TS" is the
sum of the trend and the signal.
When pred.type="TS", the function approaches prediction first by dividing invocations between
those with or without newdata. When no newdata is present, the response
variable may be reconstructed as the sum of the trend, the signal, and the
noise (residuals). Since the values of the response variable are known,
their spatial lags are used to calculate signal components (Cressie 1993, p. 564). For the error
model, trend = \(X \beta\), and signal = \(\lambda W y -
\lambda W X \beta\). For the lag and mixed
models, trend = \(X \beta\), and signal = \(\rho W y\).
This approach differs from the design choices made in other software, for example GeoDa, which does not use observations of the response variable, and corresponds to the newdata situation described below.
When however newdata is used for prediction, no observations of the response variable being predicted are available. Consequently, while the trend components are the same, the signal cannot take full account of the spatial smooth. In the error model and Durbin error model, the signal is set to zero, since the spatial smooth is expressed in terms of the error: \((I - \lambda W)^{-1} \varepsilon\).
In the lag model, the signal can be expressed in the following way (for legacy=TRUE):
$$(I - \rho W) y = X \beta + \varepsilon$$ $$y = (I - \rho W)^{-1} X \beta + (I - \rho W)^{-1} \varepsilon$$
giving a feasible signal component of:
$$\rho W y = \rho W (I - \rho W)^{-1} X \beta$$
For legacy=FALSE, the trend is computed first as:
$$X \beta$$
next the prediction using the DGP:
$$(I - \rho W)^{-1} X \beta$$
and the signal is found as the difference between prediction and trend. The numerical results for the legacy and DGP methods are identical.
setting the error term to zero. This also means that predictions of the signal component for lag and mixed models require the inversion of an n-by-n matrix.
Because the outcomes of the spatial smooth on the error term are unobservable, this means that the signal values for newdata are incomplete. In the mixed model, the spatially lagged RHS variables influence both the trend and the signal, so that the root mean square prediction error in the examples below for this case with newdata is smallest, although the model was not the best fit.
If newdata has more than one row, leave-one-out predictors (pred.type= include “TS1”, “TC1”, “BP1”, “BPW1”, “BPN1”, “KP1”, “KP2”, “KP3”, “KP4”, “KP5”) are computed separatly on each out-of-sample unit.
listw should be provided except if newdata=NULL and pred.type= include “TS”, “trend”, or if newdata is not NULL, pred.type="trend" and object is not a mixed model.
all.data is useful when some out-of-sample predictors return different predictions for in-sample units, than the same predictor type computed only on in-sample data.
predict.Sarlm() returns a vector of predictions with three attribute
vectors of trend, signal (only for pred.type="TS") and region.id values and two other attributes
of pred.type and call with class Sarlm.pred.
print.Sarlm.pred() is a print function for this class, printing and
returning a data frame with columns: "fit", "trend" and "signal" (when available) and with region.id as row names.
Haining, R. 1990 Spatial data analysis in the social and environmental sciences, Cambridge: Cambridge University Press, p. 258; Cressie, N. A. C. 1993 Statistics for spatial data, Wiley, New York; Michel Goulard, Thibault Laurent & Christine Thomas-Agnan, 2017 About predictions in spatial autoregressive models: optimal and almost optimal strategies, Spatial Economic Analysis Volume 12, Issue 2--3, 304--325 doi:10.1080/17421772.2017.1300679 , ; Kelejian, H. H. and Prucha, I. R. 2007 The relative efficiencies of various predictors in spatial econometric models containing spatial lags, Regional Science and Urban Economics, Volume 37, Issue 3, 363--374; Bivand, R. 2002 Spatial econometrics functions in R: Classes and methods, Journal of Geographical Systems, Volume 4, No. 4, 405--421
data(oldcol, package="spdep")
lw <- spdep::nb2listw(COL.nb)
COL.lag.eig <- lagsarlm(CRIME ~ INC + HOVAL, data=COL.OLD, lw)
COL.mix.eig <- lagsarlm(CRIME ~ INC + HOVAL, data=COL.OLD, lw,
type="mixed")
print(p1 <- predict(COL.mix.eig))
#> This method assumes the response is known - see manual page
#> fit trend signal
#> 1001 26.044310 14.854350 11.189960
#> 1002 44.034234 29.263210 14.771023
#> 1003 43.511934 25.819381 17.692554
#> 1004 37.656561 16.455557 21.201004
#> 1005 10.902976 0.366406 10.536570
#> 1006 36.829798 24.290524 12.539274
#> 1007 44.290467 27.038660 17.251807
#> 1008 38.853571 21.534238 17.319332
#> 1009 50.870854 29.509277 21.361577
#> 1010 16.401300 5.602910 10.798390
#> 1011 36.354390 28.641535 7.712855
#> 1012 20.452836 12.460727 7.992109
#> 1013 20.324088 14.417343 5.906745
#> 1014 19.243496 10.260642 8.982854
#> 1015 19.747775 12.255686 7.492089
#> 1016 6.962527 -2.013749 8.976277
#> 1017 7.452143 -6.380893 13.833037
#> 1018 28.481587 14.212559 14.269028
#> 1019 43.351392 28.044206 15.307187
#> 1020 50.359682 30.660814 19.698868
#> 1021 38.905226 24.749097 14.156129
#> 1022 44.724478 28.831429 15.893049
#> 1023 37.888974 23.777886 14.111088
#> 1024 45.527017 26.916318 18.610699
#> 1025 32.429571 17.189239 15.240332
#> 1026 26.490842 14.889397 11.601445
#> 1027 35.629157 23.457720 12.171437
#> 1028 35.574326 21.900100 13.674226
#> 1029 38.598639 23.181843 15.416796
#> 1030 36.602053 14.861406 21.740647
#> 1031 50.320031 30.101397 20.218634
#> 1032 53.698863 31.209416 22.489448
#> 1033 49.364208 26.515119 22.849089
#> 1034 46.262357 25.553822 20.708535
#> 1035 39.177121 15.768932 23.408190
#> 1036 54.984344 32.659083 22.325261
#> 1037 51.611458 33.129019 18.482439
#> 1038 51.998831 30.742830 21.256001
#> 1039 43.651605 27.410787 16.240818
#> 1040 44.196841 25.940924 18.255917
#> 1041 49.310593 29.510649 19.799944
#> 1042 37.995310 15.703901 22.291409
#> 1043 46.908709 28.268759 18.639949
#> 1044 28.976789 19.538922 9.437868
#> 1045 25.343793 17.183819 8.159973
#> 1046 24.006252 16.010370 7.995883
#> 1047 25.034907 18.461647 6.573260
#> 1048 10.478529 3.357357 7.121172
#> 1049 13.495623 5.335650 8.159973
print(p2 <- predict(COL.mix.eig, newdata=COL.OLD, listw=lw, pred.type = "TS",
legacy.mixed = TRUE))
#> fit trend signal
#> 1001 29.038788 14.854350 14.184438
#> 1002 46.227075 29.263210 16.963865
#> 1003 45.640479 25.819381 19.821099
#> 1004 36.643520 16.455557 20.187963
#> 1005 14.819940 0.366406 14.453534
#> 1006 38.764777 24.290524 14.474253
#> 1007 45.715716 27.038660 18.677056
#> 1008 37.514611 21.534238 15.980372
#> 1009 49.324228 29.509277 19.814951
#> 1010 17.510606 5.602910 11.907697
#> 1011 34.973607 28.641535 6.332073
#> 1012 21.079100 12.460727 8.618373
#> 1013 19.704134 14.417343 5.286791
#> 1014 16.365521 10.260642 6.104879
#> 1015 17.063856 12.255686 4.808170
#> 1016 6.190282 -2.013749 8.204032
#> 1017 5.967260 -6.380893 12.348154
#> 1018 29.250462 14.212559 15.037903
#> 1019 41.530036 28.044206 13.485830
#> 1020 49.344769 30.660814 18.683955
#> 1021 39.508818 24.749097 14.759721
#> 1022 42.772692 28.831429 13.941263
#> 1023 37.114901 23.777886 13.337016
#> 1024 43.622499 26.916318 16.706181
#> 1025 33.247197 17.189239 16.057958
#> 1026 30.301331 14.889397 15.411934
#> 1027 38.316063 23.457720 14.858343
#> 1028 36.886068 21.900100 14.985968
#> 1029 38.970564 23.181843 15.788721
#> 1030 33.014615 14.861406 18.153209
#> 1031 48.209875 30.101397 18.108478
#> 1032 50.808064 31.209416 19.598648
#> 1033 44.555996 26.515119 18.040877
#> 1034 43.232773 25.553822 17.678952
#> 1035 35.009061 15.768932 19.240129
#> 1036 52.113364 32.659083 19.454281
#> 1037 52.189015 33.129019 19.059996
#> 1038 51.631805 30.742830 20.888974
#> 1039 46.543564 27.410787 19.132778
#> 1040 45.036095 25.940924 19.095171
#> 1041 45.907835 29.510649 16.397186
#> 1042 35.337110 15.703901 19.633209
#> 1043 43.948398 28.268759 15.679639
#> 1044 32.091257 19.538922 12.552335
#> 1045 29.647005 17.183819 12.463186
#> 1046 26.375304 16.010370 10.364935
#> 1047 27.235807 18.461647 8.774160
#> 1048 14.785518 3.357357 11.428161
#> 1049 17.798836 5.335650 12.463186
AIC(COL.mix.eig)
#> [1] 376.787
sqrt(deviance(COL.mix.eig)/length(COL.nb))
#> [1] 9.580773
sqrt(sum((COL.OLD$CRIME - as.vector(p1))^2)/length(COL.nb))
#> [1] 9.580773
sqrt(sum((COL.OLD$CRIME - as.vector(p2))^2)/length(COL.nb))
#> [1] 10.35029
COL.err.eig <- errorsarlm(CRIME ~ INC + HOVAL, data=COL.OLD, lw)
AIC(COL.err.eig)
#> [1] 376.7609
sqrt(deviance(COL.err.eig)/length(COL.nb))
#> [1] 9.776221
sqrt(sum((COL.OLD$CRIME - as.vector(predict(COL.err.eig)))^2)/length(COL.nb))
#> This method assumes the response is known - see manual page
#> [1] 9.776221
sqrt(sum((COL.OLD$CRIME - as.vector(predict(COL.err.eig, newdata=COL.OLD,
listw=lw, pred.type = "TS")))^2)/length(COL.nb))
#> [1] 11.61744
COL.SDerr.eig <- errorsarlm(CRIME ~ INC + HOVAL, data=COL.OLD, lw,
etype="emixed")
AIC(COL.SDerr.eig)
#> [1] 377.1693
sqrt(deviance(COL.SDerr.eig)/length(COL.nb))
#> [1] 9.619298
sqrt(sum((COL.OLD$CRIME - as.vector(predict(COL.SDerr.eig)))^2)/length(COL.nb))
#> This method assumes the response is known - see manual page
#> [1] 9.619298
sqrt(sum((COL.OLD$CRIME - as.vector(predict(COL.SDerr.eig, newdata=COL.OLD,
listw=lw, pred.type = "TS")))^2)/length(COL.nb))
#> Warning: only legacy.mixed=TRUE is supported for pred.type='TS' and mixed models. legacy.mixed is forced
#> [1] 10.40472
AIC(COL.lag.eig)
#> [1] 374.7809
sqrt(deviance(COL.lag.eig)/length(COL.nb))
#> [1] 9.772129
sqrt(sum((COL.OLD$CRIME - as.vector(predict(COL.lag.eig)))^2)/length(COL.nb))
#> This method assumes the response is known - see manual page
#> [1] 9.772129
sqrt(sum((COL.OLD$CRIME - as.vector(predict(COL.lag.eig, newdata=COL.OLD,
listw=lw, pred.type = "TS")))^2)/length(COL.nb))
#> [1] 10.72654
p3 <- predict(COL.mix.eig, newdata=COL.OLD, listw=lw, pred.type = "TS",
legacy=FALSE, legacy.mixed = TRUE)
all.equal(p2, p3, check.attributes=FALSE)
#> [1] TRUE
p4 <- predict(COL.mix.eig, newdata=COL.OLD, listw=lw, pred.type = "TS",
legacy=FALSE, power=TRUE, legacy.mixed = TRUE)
all.equal(p2, p4, check.attributes=FALSE)
#> [1] TRUE
p5 <- predict(COL.mix.eig, newdata=COL.OLD, listw=lw, pred.type = "TS",
legacy=TRUE, power=TRUE, legacy.mixed = TRUE)
all.equal(p2, p5, check.attributes=FALSE)
#> [1] TRUE