R: Lagrange Multiplier diagnostics for spatial dependence in...

lm.LMtests {spdep} | R Documentation

## Lagrange Multiplier diagnostics for spatial dependence in linear models

### Description

The function reports the estimates of tests chosen among five statistics for testing for spatial dependence in linear models. The statistics are the simple LM test for error dependence (LMerr), the simple LM test for a missing spatially lagged dependent variable (LMlag), variants of these robust to the presence of the other (RLMerr, RLMlag - RLMerr tests for error dependence in the possible presence of a missing lagged dependent variable, RLMlag the other way round), and a portmanteau test (SARMA, in fact LMerr + RLMlag). Note: from spdep 0.3-32, the value of the weights matrix trace term is returned correctly for both underlying symmetric and asymmetric neighbour lists, before 0.3-32, the value was wrong for listw objects based on asymmetric neighbour lists, such as k-nearest neighbours (thanks to Luc Anselin for finding the bug).

### Usage

    lm.LMtests(model, listw, zero.policy=NULL, test="LMerr", spChk=NULL, naSubset=TRUE)
    ## S3 method for class 'LMtestlist'
    print(x, ...)
    ## S3 method for class 'LMtestlist'
    summary(object, p.adjust.method="none", ...)
    ## S3 method for class 'LMtestlist.summary'
    print(x, digits=max(3, getOption("digits") - 2), ...)

### Arguments

`model` | an object of class `lm` returned by `lm`, or optionally a vector of externally calculated residuals (run though `na.omit` if any NAs present) for use when only "LMerr" is chosen; weights and offsets should not be used in the `lm` object
`listw` | a `listw` object created for example by `nb2listw`, expected to be row-standardised (W-style)
`zero.policy` | default NULL, use global option value; if TRUE assign zero to the lagged value of zones without neighbours, if FALSE assign NA
`test` | a character vector of tests requested chosen from LMerr, LMlag, RLMerr, RLMlag, SARMA; test="all" computes all the tests.
`spChk` | should the data vector names be checked against the spatial objects for identity integrity, TRUE, or FALSE, default NULL to use `get.spChkOption()`
`naSubset` | default TRUE to subset listw object for omitted observations in model object (this is a change from earlier behaviour, when the `model$na.action` component was ignored, and the listw object had to be subsetted by hand)
`x, object` | object to be printed
`p.adjust.method` | a character string specifying the probability value adjustment (see `p.adjust`) for multiple tests, default "none"
`digits` | minimum number of significant digits to be used for most numbers
`...` | printing arguments to be passed through

### Details

The two types of dependence are for spatial lag rho and spatial error lambda:

y = X beta + rho W1 y + u

u = lambda W2 u + e

where e is a well-behaved, uncorrelated error term. Tests for a missing spatially lagged dependent variable test that rho = 0, tests for spatial autocorrelation of the error u test whether lambda = 0. W is a spatial weights matrix; for the tests used here they are identical.

### Value

A list of class `LMtestlist` of `htest` objects, each with:

`statistic` | the value of the Lagrange Multiplier test.
`parameter` | number of degrees of freedom
`p.value` | the p-value of the test.
`method` | a character string giving the method used.
`data.name` | a character string giving the name(s) of the data.

### Author(s)

Roger Bivand Roger.Bivand@nhh.no and Andrew Bernat

### References

Anselin, L. 1988 Spatial econometrics: methods and models. (Dordrecht: Kluwer); Anselin, L., Bera, A. K., Florax, R. and Yoon, M. J. 1996 Simple diagnostic tests for spatial dependence. Regional Science and Urban Economics, 26, 77–104.

### See Also

`lm`

### Examples

    data(oldcol)
    oldcrime.lm <- lm(CRIME ~ HOVAL + INC, data = COL.OLD)
    summary(oldcrime.lm)
    res <- lm.LMtests(oldcrime.lm, nb2listw(COL.nb), test=c("LMerr", "LMlag",
      "RLMerr", "RLMlag", "SARMA"))
    summary(res)
    lm.LMtests(oldcrime.lm, nb2listw(COL.nb))
    lm.LMtests(residuals(oldcrime.lm), nb2listw(COL.nb))

[Package spdep version 1.2-2 Index]