wald_deltas: Wald tests for spatial parameters coefficients.

In spsur: Spatial Seemingly Unrelated Regression Models

Wald tests for spatial parameters coefficients.

Description

Function wald_deltas obtains Wald tests for linear restrictions on the spatial coefficients of a SUR model that has been estimated previously through the function spsurml. The restrictions can affect to coefficients of the same equation (i.e., λ_{g}=ρ_{g} forall g) or can involve coefficients from different equations (i.e., λ_{g}=λ_{h}). The function has great flexibility in this respect. Note that wald_deltas only works in a maximum-likelihood framework.

In order to work with wald_betas, the model on which the linear restrictions are to be tested needs to exists as an spsur object. Using the information contained in the object, wald_deltas obtains the corresponding Wald statistic for the null hypotheses specified by the user through the R row vector and b column vector discussed, used also in spsurml. The function shows the resulting Wald test statistics and their corresponding p-values.

Usage

wald_deltas (obj , R , b)

Arguments

obj	An spsur object created by spsurml, spsur3sls or spsurtime.
R	A row vector of order (1xGr) or (1x2Gr) showing the set of r linear constraints on the spatial parameters. The last case is reserved to "sarar" models where there appear G parameters λ_{g} and G parameters ρ_{g}, 2G spatial in total. The first restriction appears in the first G terms in R (2G for the "sarar" case), the second restriction in the next G terms (2G for the "sarar" case) and so on.
b	A column vector of order (rx1) with the values of the linear restrictions on the β parameters.

Value

Object of htest including the Wald statistic, the corresponding p-value, the degrees of freedom and the values of the sample estimates.

Author(s)

Fernando Lopez	[e-mail]
Roman Minguez	[e-mail]
Jesus Mur	[e-mail]

See Also

spsurml, spsur3sls

Examples

#################################################
######## CROSS SECTION DATA (G>1; Tm=1) ########
#################################################
rm(list = ls()) # Clean memory
data(spc, package = "spsur")
lwspc <- spdep::mat2listw(Wspc, style = "W")
Tformula <- WAGE83 | WAGE81 ~ UN83 + NMR83 + SMSA | UN80 + NMR80 + SMSA

#################################
## Estimate SUR-SLM model
spcsur.slm <-spsurml(formula = Tformula, data = spc, 
                       type = "slm", listw = lwspc)
summary(spcsur.slm)
## H_0: equality of the lambda parameters of both equations.
R1 <- matrix(c(1,-1), nrow=1)
b1 <- matrix(0, ncol=1)
wald_deltas(spcsur.slm, R = R1, b = b1)

spsur documentation built on Oct. 30, 2022, 1:06 a.m.