Impact estimates for static spatial panel data models in R

In the present note we demonstrate how to implement the Lee and Yu (J Econom 154:165--185, 2010) procedure for fixed effects spatial panel data models available from the R (R Development Core Team, http://www.R-project.org/, 2012) package splm  (Millo and Piras, J Stat Soft 47(1):1--38, 2012). Additionally, we also show how to compute the impact estimates (Kelejian et al. Open Econ Rev 17(4--5):423--441, 2006; LeSage and Pace, Introduction to Spatial Econometrics. CRC Press, Boca Raton, 2009). Unlike Matlab  (MATLAB version 7.13, 2011), there was no R function specific to static panel data models for the calculation of the impact measures. After receiving numerous requests from the users of splm, we decided to extend the cross sectional functions available from spdep  (Bivand, R package version 0.5-56, 2013) to spatial panel data models.