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st: spmat and spatreg LM testing
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[email protected]
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Subject
st: spmat and spatreg LM testing
Date
Fri, 14 Oct 2011 11:50:48 -0500
Martijn Smit <[email protected]> has a question about choosing between
spatial lag and spatial error models using the user-written -spmat- command:
> I'm using spmat (from sppack), and it works very well - except that it doesn't
> seem to give LM tests for choosing between lag and error models.
-spmat- does not offer an LM statistic. Instead, Martijn can estimate
a spatial-autoregressive model and perform a Wald test on the
spatial-autoregressive coefficient. The example below uses the pollute.dta
and pollutexy.dta that come with -sppack-.
. use pollute, clear
. spmat contiguity cobj using pollutexy, id(id) normalize(minmax)
. spreg gs2sls pollution factories area, id(id) dlmat(cobj)
(output omitted)
. test _b[lambda:_cons]=0
( 1) [lambda]_cons = 0
chi2( 1) = 451.17
Prob > chi2 = 0.0000
In this example, we can reject the null that the spatial-autoregressive term is
zero and conclude that the spatial-autoregressive model is preferable to an OLS
model.
--Rafal
[email protected]
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