bayespecon.diagnostics.bayesian_lmtests.bayesian_panel_robust_lm_lag_sdm_test¶
- bayespecon.diagnostics.bayesian_lmtests.bayesian_panel_robust_lm_lag_sdm_test(model)[source]¶
Bayesian panel robust LM-Lag test in SDM context (H₀: ρ = 0, robust to γ).
Tests the null hypothesis that the spatial lag coefficient is zero, robust to the local presence of WX effects (γ). Uses the Neyman orthogonal score adjustment from Doğan et al. [2021], Proposition 3.
The alternative model is SLX panel (includes γ but not ρ). For each posterior draw from the SLX model, residuals are:
\[\mathbf{e} = \mathbf{y} - X\beta_1 - WX\beta_2\]The Neyman-adjusted score for ρ is:
\[g_\rho^* = g_\rho - J_{\rho\gamma \cdot \sigma} J_{\gamma\gamma \cdot \sigma}^{-1} \boldsymbol{g}_\gamma\]The robust LM statistic is \(\chi^2_1\) under H₀.
- Parameters:¶
- model : SLXPanelFE or SLX-like panel model¶
Fitted SLX panel model with
inference_datacontaining posterior draws forbetaandsigma.
- Returns:¶
Dataclass containing LM samples, summary statistics, and metadata.
- Return type:¶