[R-sig-Geo] How to access p-values of lagsarlm coefficients?

Roger Bivand Roger.Bivand at nhh.no
Thu Apr 30 18:33:15 CEST 2009


On Thu, 30 Apr 2009, Danlin Yu wrote:

> Michael:
>
> For the SARLM objects (be it lag or error), the p-values are replaced by the 
> calculated z-values, and significance tests follow similar ways as in using 
> the p-values.
>
> Hope this helps.
>
> Cheers,
> Danlin
>
> Loechl Michael ??:
>> Dear list,
>>
>> 
>> is there a way to access the p-values of the coefficients in a
>> sarlm-object?
>>

Try:

library(spdep)
data(oldcol)
COL.lag.eig <- lagsarlm(CRIME ~ INC + HOVAL, data=COL.OLD,
   nb2listw(COL.nb, style="W"))
summary(COL.lag.eig)$Coef
summary(COL.lag.eig)$Coef[,4]

that is, get them from the object returned by summary() of the sarlm 
object for the regression coefficients. For rho, you have the LR test 
anyway, at:

c(summary(COL.lag.eig)$LR1$p.value)

(inside c() to drop unneeded attributes), and if method="eigen", you also 
have the p.value of the Wald statistic, which is the same as the 
asymptotic test on rho, even though computed differently:

c(summary(COL.lag.eig)$Wald1$p.value)

Does that give you what you need?

Roger

>> 
>> Any hint is appreciated.
>>
>> 
>> Best regards,
>> 
>> Michael
>>
>> 
>>
>> 	[[alternative HTML version deleted]]
>> 
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>> 
>
>

-- 
Roger Bivand
Economic Geography Section, Department of Economics, Norwegian School of
Economics and Business Administration, Helleveien 30, N-5045 Bergen,
Norway. voice: +47 55 95 93 55; fax +47 55 95 95 43
e-mail: Roger.Bivand at nhh.no



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