Running a panel General Nesting Spatial (GNS) model in Stata 18

[Cesar Echevarria]

Hello everyone. What command should I use to run a panel (not cross-sectional) General Nesting Spatial (GNS) model? I have tried using the xsmle package and the spxtregress command but have not been successful so far. I am working with Stata 18. A spatial weights matrix has already been declared using spmat or spmatrix, and the panel structure has been declared using xtset unique_id_num year. Thank you in advance for your help.

[Andrew Musau]

There are criticisms of the GNS model, which, in my view, discourage StataCorp and users from implementing it. Rüttenauer (2019) notes the following:

Although the GNS specification combines all the spatial processes of the previous specifications, this model only plays a minor role in applied research, as this specification—analogous to Manski’s neighbourhood effects model (Manski, 1993)—is not, or only weakly, identifiable (Cook, Hays, & Franzese, 2015; Gibbons & Overman, 2012). Although Burridge, Elhorst, and Zigova (2016) show that the GNS model can be identified in the case of a grouped (block-diagonal) weights matrix, they find that even in this situation the model might be overparameterised, thereby providing no additional information over SDM or SDEM.

Therefore, this is not just a software limitation — it is methodological.

Reference:
Rüttenauer, T. (2019). Spatial Regression Models: A Systematic Comparison of Different Model Specifications Using Monte Carlo Experiments. Sociological Methods & Research, 51(2), 728-759. https://doi.org/10.1177/0049124119882467