LR1.sarlm specifications
On Thu, 11 Jul 2019, Amitha Puranik wrote:
Hi Prof. Roger, I am using the approach proposed by Prof Paul Erhorst for choosing a spatial model in his paper '*Applied spatial econometrics: raising the bar*' . As per the strategy, one has to check the likelihood ratio test for theta (spatial autocorrelation in exogenous (independent) variables) and also in theta+rho*beta (spatial autocorrelation in residuals). Suppose I fit a spatial durbin model and use the code LR1.sarlm(sp.dm), how would I know whether the likelihood ratio test checks for autocorrelation in dependent variable or autocorrelation in the independent variable?
The spatialreg::LR1.sarlm() test simply between the fitted model and the same model assuming the spatial coefficients are zero, so it only tests the possible benefit of including (a) spatial process(es). spatialreg::LR.sarlm() lets you test between nested models, and works like lmtest::lrtest(). The models need to be nested, so you can test SDM/SLM, SDM/SEM (equivalent to a Common Factor test), and so on, but only if the models nest (not SEM/SLM, because they do not nest). Hope this helps, Roger
Thanks in advance. Amitha Puranik. [[alternative HTML version deleted]]
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Roger Bivand Department of Economics, Norwegian School of Economics, Helleveien 30, N-5045 Bergen, Norway. voice: +47 55 95 93 55; e-mail: Roger.Bivand at nhh.no https://orcid.org/0000-0003-2392-6140 https://scholar.google.no/citations?user=AWeghB0AAAAJ&hl=en