[R-sig-Geo] Spatial regression

[Roger Bivand]

On Fri, 29 May 2009, Adrian Toti wrote:

> Hi everyone,
>
> In R, the function lm.LMtests is used to select which spatial model fits
> better the data, an error or lag one. It looks to me that there are some
> ?limitations? using this function like being constraint to use only
> row-standardized spatial weights and it does not support weighted lm object
> as argument. Also it is not helpful when both LM tests (LMerr and LMlag) are
> significant (let?s say their robust forms are not).
>
> So my question is: is there another way or approach to select between a
> spatial error and lag model?
>

As you appreciate, the two models are not nested, so an LR test is not 
appropriate, and comparing the AIC values probably not either (although a 
large difference in AIC should not be disregarded). Neither errorsarlm() 
not lagsarlm() use weights - this is only possible in spautolm(), which is 
an alternative implementation of the same model as errorsarlm(). So I'm 
not sure how you could fit a weighted lag model.

There is a paper by Kelejian in Letters in Spatial and Resource Sciences 
in 2008 on a spatial J-test, but this relies on feasible GM and spatial 
TSLS estimates, which most often also assume row standardisation and do 
not permit weights. A recent paper by Burridge and Fingleton (from a 
meeting earlier this week) discusses some alternatives:

http://sew2009.univ-fcomte.fr/english/Burridge_Fingleton.pdf

but these are too fresh to be coded and packaged yet (and are also in the 
spatial econometrics view of the world).

Hope this helps,

Roger

>
>
> Thanks for your time.
>
>
>
> Adrian
>
> 	[[alternative HTML version deleted]]
>
>

-- 
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