[R-sig-Geo] Common Factors test in R

[Roger Bivand]

On Fri, 5 Apr 2019, Hulényi Martin wrote:

> Hello,
> I would like to perform a common factor test, conducted using likelihood 
> ratio test on spatial error model and spatial durbin model (both in 
> panel format).
> I have not found a command in R, that would help me to conduct the test. 
> Hence, I am trying to perform the test manuallly using the splm package 
> and data available in the splm and plm packages.

> Here is my code:
> library(splm)
> library(plm)
>
> data(Produc, package="plm")
> data(usaww)
>
> Produc <- pdata.frame(Produc, index = c("state", "year"))
>
> usaww<- mat2listw(usaww, style="W")
>
> Produc$slagUnemp <- slag(Produc$unemp, listw = usaww)
>
> durbin <- spml(gsp~unemp + slagUnemp,
>                data=Produc, listw=usaww,  effect = "twoways",
>                 model="within", lag=TRUE, spatial.error = "none",
>                  quiet = FALSE)
> spem  <- spml(gsp ~ unemp,
>                data=Produc, listw=usaww,  effect = "twoways",
>                model="within", lag=FALSE, spatial.error = "b",
>                quiet = FALSE)
> Is it correct to take the last value of the function from the console 
> output to compute the likelihood ratio?

Without checking whether the likelihoods are compatible (here probably 
are), you will not see whether the fitting functions concentrate them, 
possibly differently. Here both are lag=TRUE but one has 
spatial.error="none", the other "b", so without reading the code, you 
can't tell. It would be a good idea if these models had logLik() methods, 
because then lmtest::lrtest() should work. It then handles the degrees of 
freedom accounting between the models.

Hope this helps,

Roger

> Meaning, in this example, to calculate 2*(function(non-nested) - 
> function(nested)) = 2*(10261.79 - 10255.74) = 12.1?
> If it is correct, how can I compute the significance values?
> If it is not correct, is there a better way to compute this?
>
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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 using nhh.no
https://orcid.org/0000-0003-2392-6140
https://scholar.google.no/citations?user=AWeghB0AAAAJ&hl=en