Hi, I managed to estimate SEM, SAR and SDM for spatial panel models. However, to test whether the SDM can be simplified to SAR or SEM, there is a need to conduct Wald or LR test. I am thankful if anyone can share the command/instruction of Wald test and LR test for spatial panels using STATA. Thanks.
Dear Sayed Kushairi Sayed Nordin, did you try with >, it might help,
ssc install spregxt
Best
Based on spregxt, I obtained results as shown below. The results of the LR and Wald testing on panel groupwise heteroscedasticy. Are these results related to reduction of SDM to SAR/SEM? I feel uncertain about this, pls advise. Thanks.
* Panel Groupwise Heteroscedasticity Tests ============================================================================== Ho: Panel Homoscedasticity - Ha: Panel Groupwise Heteroscedasticity - Lagrange Multiplier LM Test = 7.4773 P-Value > Chi2(6) 0.2618 - Likelihood Ratio LR Test = 6.2353 P-Value > Chi2(6) 0.4190 - Wald Test = 11.5822 P-Value > Chi2(7) 0.0958
Wald test statstics are normally given automatically when you run spatreg/spregress/spregxt
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