[R-sig-Geo] How to test spatial dependence in errorsarlm

[Roger Bivand]

On Sun, 13 Aug 2017, Javier García wrote:

> Hello everybody:
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> I have estimated a spatial error model and now I would like to test whether
> that model has really ?deleted? the spatial dependence. For the spatial lag
> model and for the Durbin model the function lagsarlm gives the LM test for
> residual autocorrelation test value, but the function errorsarlm does not.
> Does anyone know how to do it in R?
>

As you should be aware from the literature, the only LM test that has been 
written (the maths) is a test for residual error autocorrelation for 
spatial lag models. Doing it in R will not help until someone (you?) does 
the maths. Computing a value is easy, but knowing what to infer from it is 
hard. By definition, if your model is well-specified, the residual 
autocorrelation is fully captured by its coefficient. I suspect that your 
model suffers from mis-specification problems.

Roger

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> Thanks a lot in advance.
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> Javi
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> JAVIER GARCÍA
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> Departamento de Economía Aplicada III (Econometría y Estadística)
>
> Facultad de Economía y Empresa (Sección Sarriko)
> Avda. Lehendakari Aguirre 83
>
> 48015 BILBAO
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>
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-- 
Roger Bivand
Department of Economics, Norwegian School of Economics,
Helleveien 30, N-5045 Bergen, Norway.
voice: +47 55 95 93 55; e-mail: Roger.Bivand at nhh.no
Editor-in-Chief of The R Journal, https://journal.r-project.org/index.html
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