[R-sig-Geo] LM test for spatial dependence with panel data

Tobias Rüttenauer ruettenauer at sowi.uni-kl.de
Mon Feb 8 19:33:42 CET 2016

Dear list members,

I’m currently estimating a fixed effects panel model and I want to control
for spatial dependence. Thus, I also estimated two spatial fe-models, one
with a spatial error term and one with a spatial error term and spatial lag
variable. Both lambda and rho are highly significant and the independent
variables of the models differ considerably. 

However, I would like to control the model specifications with a Lagrange
Multiplier test. More precisely, I would like to test for spatial lag
dependence (while allowing possible spatial error dependence) and for
spatial error dependence (while allowing possible spatial lag dependence)
like described by Anselin/ Bera/ Florax/ Yoon (1996), which is possible for
cross-sectional data using lm.LMtests (spdep). Is there a possibility to
estimate a similar test for panel data? If I’m not mistaking, the
splm-implemented tests do not account for spatial lag dependence?

Thank you very much in advance for your help!


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