bptest.sarlm

0th

Percentile

Breusch-Pagan test for spatial models

Performs the Breusch-Pagan test for heteroskedasticity on the least squares fit of the spatial models taking the spatial coefficients rho or lambda into account. This function is a copy of the bptest function in package "lmtest", modified to use objects returned by spatial simultaneous autoregressive models.

Keywords
spatial
Usage
bptest.sarlm(object, varformula=NULL, studentize = TRUE, data=list())
Arguments
object
An object of class "sarlm" from errorsarlm() or lagsarlm().
varformula
a formula describing only the potential explanatory variables for the variance (no dependent variable needed). By default the same explanatory variables are taken as in the main regression model
studentize
logical. If set to TRUE Koenker's studentized version of the test statistic will be used.
data
an optional data frame containing the variables in the varformula
Details

Asymptotically this corresponds to the test given by Anselin (1988), but is not exactly the same. The studentized version is more conservative and perhaps to be prefered. The residuals, and for spatial error models the RHS variables, are adjusted for the spatial coefficient, as suggested bt Luc Anselin (personal communication).

It is also technically possible to make heteroskedasticity corrections to standard error estimates by using the “lm.target” component of sarlm objects - using functions in the lmtest and sandwich packages.

Value

A list with class "htest" containing the following components:

References

T.S. Breusch & A.R. Pagan (1979), A Simple Test for Heteroscedasticity and Random Coefficient Variation. Econometrica 47, 1287--1294

W. Krämer & H. Sonnberger (1986), The Linear Regression Model under Test. Heidelberg: Physica.

L. Anselin (1988) Spatial econometrics: methods and models. Dordrecht: Kluwer, pp. 121--122.

See Also

errorsarlm, lagsarlm

Aliases
  • bptest.sarlm
Examples
example(columbus)
error.col <- errorsarlm(CRIME ~ HOVAL + INC, data=columbus,
 nb2listw(col.gal.nb))
bptest.sarlm(error.col)
bptest.sarlm(error.col, studentize=FALSE)
## Not run: 
# lm.target <- lm(error.col$tary ~ error.col$tarX - 1)
# if (require(lmtest) && require(sandwich)) {
#   coeftest(lm.target, vcov=vcovHC(lm.target, type="HC0"), df=Inf)
# }
# ## End(Not run)
Documentation reproduced from package spdep, version 0.6-9, License: GPL (>= 2)

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