Lagrange multiplier tests for weighted least squares
On Wed, 21 Apr 2010, Roberto Patuelli wrote:
Hi everyone, The help file for the spdep command "lm.LMtests" for running Lagrange multiplier tests per spatial dependence suggests not to use weights in the lm object given as argument. If weights are highly relevant for a certain model (for example, because of strong heterogeneity in the size/importance of the regions being analysed), is there a way to get around this limitation? I struggle to find anything online relating weighted least squares and LM tests for spatial dependence.
I think econometricians, spatial or not, typically do not "do" weights, but prefer to use HAC or similar standard errors. LM tests are fro the spatial econometrics approach, so they do not accommodate weights. To add them would mean doing the math to see where in the development the omega should be added into the spatial process, then one would need to show that the tests perform as expected. Nice paper if one had time! Roger
Thanks for the help. Roberto ******************** Roberto Patuelli, Ph.D. Istituto Ricerche Economiche (IRE) (Institute for Economic Research) Universit? della Svizzera Italiana (University of Lugano) via Maderno 24, CP 4361 CH-6904 Lugano Switzerland Phone: +41-(0)58-666-4166 Fax: +39-02-700419665 Email: roberto.patuelli at usi.ch Homepage: http://www.people.lu.unisi.ch/patuellr
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