[Openspace] hetereoscedasticity test in R

[Anish Neupane]

Hi all,

Does anyone have some ideas to the resolve the hetereoscedasticity issues in 
spatial lag parameter?  Basically, in the model: y =pWy +XB + e, is p affected 
by hetereoscedasticity, if it is there a way to correct for it?  Please see 
details below.


>===== Original Message From Roger.Bivand at nhh.no =====
On Wed, 28 Apr 2004, Anish Neupane wrote:

> Hi,
>
> Does the function you describe below, in R, correct for hetereoscedasticity 
as
> well detect it.  Geoda indicates a spatial lag (based on LM test) but as far 
I
> know doesn't correct for hetereoskedasticity.  My question is in the model: 
y
> = pWy +XB + e; is p affected by hetereoscedasticity? If not, can I use het
> corrected B coefficient from OLS (without spatial lag), use p, and Wy from
> uncorrected OLS (spatial lag) to come up with y?  I might be streching
> econometric principles a bit too far, but like Mario I find that info on
> hetereoscedasticity in this field is somewhat sparse. Thanks.

Ideally, tracking the hetereoscedasticity would involve finding the
missing variable(s), or changing the specification (some kind of mixed
model perhaps). The bptest.sarlm() function just tests. It may be possible
to "fake" hetereoscedasticity-corrected standard errors for the betas by
using hccm() from the car package on the $lm.target object returned in
sarlm objects to get the covariance matrix, then the standard errors and
correlations:

library(car)
library(spdep)
example(lagsarlm)
summary(COL.lag.eig, correlation=TRUE)
bptest.sarlm(COL.lag.eig)
hccm(COL.lag.eig$lm.target, "hc0")
sqrt(diag(hccm(COL.lag.eig$lm.target, "hc0")))

as a very rough start. This is treating the GLS with rho fixed as OLS, and
so rules out heteroscedasticity in the rho. Looks interesting to work up,
maybe we should ask on the openspace or R-sig-geo lists, or somewhere
else?

Best wishes,

Roger

>
>
> >===== Original Message From Roger.Bivand at nhh.no =====
> On Fri, 23 Apr 2004, Mario Gellrich wrote:
>
> > Hi,
> >
> > I am new to this forum and have a simple question regarding tests on
> > heteroscedasticity in spatial linear models (LMlag and LMerr). In Luc
> > Anselin's SpaceStat program there is a variety of tests on
> > heteroscedasticity (breusch pagan and its studentized version called
> > koenker-basset). I found some spatial econometric studies that ignored 
this
> > test, but I think it is important. Since I do not use SpaceStat but spdep,
> > my question is, is there anybody, who can give me some tips how to write
> > functions for this test for spatial lag and error models in Roger Bivands
> > spdep package ? Maybe there is an alternative test in spdep that I have
> > overlooked :-).
> >
> No, not overlooked, but the new release for R 1.9.0 (0.2-14) has
> bptest.sarlm() to do this, based on bptest() in the lmtest package - this
> is studentized by default. Please let me know if this helps.
>
> Roger Bivand
>
>
> > Best regards
> >
> > Mario
> >
> > _______________________________________________
> > Openspace mailing list
> > Openspace at sal.agecon.uiuc.edu
> > http://sal.agecon.uiuc.edu/mailman/listinfo/openspace
> >
>
> --
> Roger Bivand
> Economic Geography Section, Department of Economics, Norwegian School of
> Economics and Business Administration, Breiviksveien 40, N-5045 Bergen,
> Norway. voice: +47 55 95 93 55; fax +47 55 95 93 93
> e-mail: Roger.Bivand at nhh.no
>
>
> _______________________________________________
> Openspace mailing list
> Openspace at sal.agecon.uiuc.edu
> http://sal.agecon.uiuc.edu/mailman/listinfo/openspace
>
> Anish Neupane
> Graduate Student
> Department of Rural Economy
> University of Alberta
> 515 General Services Building
> Edmonton, AB
> Canada T6G 2H1
> aneupane at ualberta.ca
>
>

--
Roger Bivand
Economic Geography Section, Department of Economics, Norwegian School of
Economics and Business Administration, Breiviksveien 40, N-5045 Bergen,
Norway. voice: +47 55 95 93 55; fax +47 55 95 93 93
e-mail: Roger.Bivand at nhh.no

Anish Neupane
Graduate Student
Department of Rural Economy
University of Alberta
515 General Services Building
Edmonton, AB
Canada T6G 2H1
aneupane at ualberta.ca