function llike = f_sarpanel(rho,detval,epe0,eped,epe0d,N,T) % PURPOSE: evaluates concentrated log-likelihood for the % spatial panel autoregressive model using sparse matrix algorithms % --------------------------------------------------- % USAGE:llike = f_sar(rho,detval,epe0,eped,epe0d,n,T) % where: rho = spatial autoregressive parameter % detval = a matrix with vectorized log-determinant information % epe0 = see below % eped = see below % eoe0d = see below % N = number of spatial units % T = number of time points % b0 = AI*xs'*ys; % bd = AI*xs'*Wys; % e0 = ys - xs*b0; % ed = Wys - xs*bd; % epe0 = e0'*e0; % eped = ed'*ed; % epe0d = ed'*e0; % --------------------------------------------------- % RETURNS: a scalar equal to minus the log-likelihood % function value at the parameter rho % --------------------------------------------------- % written by: James P. LeSage 1/2000 % University of Toledo % Department of Economics % Toledo, OH 43606 % jlesage@spatial-econometrics.com % partly rewritten and updated by J.P. Elhorst summer 2008 to account for spatial panels % REFERENCES: % Elhorst JP (2003) Specification and Estimation of Spatial Panel Data Models, % International Regional Science Review 26: 244-268. % Elhorst JP (2010) Spatial Panel Data Models. In Fischer MM, Getis A (Eds.) % Handbook of Applied Spatial Analysis, Ch. C.2. Springer: Berlin Heidelberg New York. gsize = detval(2,1) - detval(1,1); % Note these are actually log detvalues i1 = find(detval(:,1) <= rho + gsize); i2 = find(detval(:,1) <= rho - gsize); i1 = max(i1); i2 = max(i2); index = round((i1+i2)/2); if isempty(index) index = 1; end; detm = detval(index,2); z = epe0 - 2*rho*epe0d + rho*rho*eped; llike = (N*T/2)*log(z) - T*detm;