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ANKETEST: Stata module to perform diagnostic tests for spatial autocorrelation in the residuals of OLS, SAR, IV, and IV-SAR models

Author

Listed:
  • P. Wilner Jeanty

    () (The Kinder Institute for Urban Research/Hobby Center for the Study of Texas, Rice University)

Abstract

anketest calculates Moran's I and Lagrange Multiplier test statistics and p-values to test for spatial autocorrelation in the residuals of Ordinary Least Squares (OLS), spatial autoregressive (SAR), and instrumental variable models with or without spatially lagged variables (IV or IV-SAR). anketest requires a spatial weights matrix which may exist as a Stata matrix or a Mata file.

Suggested Citation

  • P. Wilner Jeanty, 2010. "ANKETEST: Stata module to perform diagnostic tests for spatial autocorrelation in the residuals of OLS, SAR, IV, and IV-SAR models," Statistical Software Components S457113, Boston College Department of Economics, revised 11 Mar 2010.
  • Handle: RePEc:boc:bocode:s457113
    Note: This module should be installed from within Stata by typing "ssc install anketest". Windows users should not attempt to download these files with a web browser.
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    File URL: http://fmwww.bc.edu/repec/bocode/a/anketest.ado
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    File URL: http://fmwww.bc.edu/repec/bocode/a/anketest.hlp
    File Function: help file
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    More about this item

    Keywords

    spatial autocorrelation; OLS; IV; IV-SAR; SAR;

    Statistics

    Access and download statistics

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