MATLAB-空间计量模型详细步骤

1、I. excel 与 MATLAB 链接:Excel:选项一一加载项一一 COM加载项一一转到一一没有勾选项COM如载项空1#2. MATLABA装目录中寻找toolboxexlink点击'启用宏E:MATLABtoolboxexli nk怖EX 口朗PS.水匚 omterts2013/12/28 2:14MATLAB Cede1 KBSKellink2013/10/5 33:48Microsoft Excel 108 KB0 exdlink2(X)32013/10/9 23:40Microsoft ExcelM305 KB囲 ExliSamp2009/11/5 19:58Micros

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8、J0L7/1 H4 9:25,m pc2017/1/14 9a241 *.nnft2 017,114 9J5丈輯夷L - m ( E：)B- OpC2O17?1/14 9J5文14夫孙旧L octi rm2OL7/U14 925rn玉彌口八文 ft 末：jplvlI站文倏-|飯當6输入程序，得出结果» 1=30;N=40;W=no rjiiv (Wl):y=A(: j3)；4, 6)； xcons-t ant=arLe E 1):心nobs E=siz&(x);T=30;N=46;l/l/=norm(W1);y=A(：,3)；x=A(:,4,6);xcon sta nt=on

9、 es(N*T,1);n obs K=size(x);results=ols(y,xc on sta nt x);vn ames=strvcat(logcit, in tercept'/logpYlogy1);prt_reg(results,v names,1);sige=results.sige*( nobs-K)/nobs);loglikols Zl-nobs/2*log(2*pi*sige)-1/(2*sige)*results.resid'*results.resid% The (robust)LM tests developed by ElhorstLMsarsem_

10、pa nel(results,W,y,xco nsta nt x); % (Robust) LM tests解释每一行分别表示：该面板数据的时期数为30 (T=30 ),该面板数据有30个地区(N=30),将 空间权重矩阵标准化(W二normw (w1),将名为A (以矩阵形式出现在MATLABA中)的变 量的第3列数据定义为被解释变量y,将名为A的变量的第4、5、6列数据定义为解释变量矩阵X,定义一个有2T行，1列的全1矩阵，该矩阵名为：xconstant, (ones即为全1矩阵)说明解 释变量矩阵x的大小：有nobs行，K列。(size为描述矩阵的大小)。附录：静态面板空间计量经济学一、

11、OLS静态面板编程1、普通面板编程T=30;N=46;W=n ormw (W1);y=A(：,3)；x=A(:,4,6);xconsta nt=on es(N*T,1);nobs K=size(x);results=ols(y,xconstant x);vnames=strvcat( logcit' ,'intercept* ,'logp' ,'logy'); prt_reg(results,vnames,1);sige=results.sige*(nobs-K)/nobs); loglikols=-nobs/2*log(2*pi*sige)-1

12、/(2*sige)*results.resid,*results.resid % The (robust)LM tests developed by Elhorst LMsarsem_panel(results3W,y,xconstant x); % (Robust) LM tests2、空间固定 OLS (spatial-fixed effects )T=30;N=46;W=normw(W1);y=A(：,3)；x=A(:,4,6);xconsta nt=on es(N*T,1);nobs K=size(x);model=1;ywith,xwith,meanny,meannx,meanty5

13、meantx=demean(y,x,N5T,model); results=ols(ywith,xwith);vnames=strvcat(logcit7logp7logy,); % should be changed if x is changedprt_reg(results,vnames); sfe=meanny-meannx*results.beta; % including the constant term yme = y - mean(y);et=ones(T,1);error=y-kron(et,sfe)-x*results.beta;rsqrl = error" e

14、rror;rsqr2 = yme 怯 yme;FE_rsqr2 = 1.0 - rsqrl/rsqr2 % r-squared including fixed effectssige=results.sige*(nobs-K)/nobs);logliksfe=-nobs/2*log(2*pi*sige)-1/(2*sige)*results.resid,*results.residLMsarsem_panel(results,W,ywith,xwith); % (Robust) LM tests3、时期固定 OLS( time-period fixed effects )T=30;N=46;W

15、=normw(W1); y=A(:,3);x=A(:,4,6);xconsta nt=on es(N*T,1);nobs K=size(x);model=2;ywith,xwith5meanny5meannx,meanty5meantx=demean(y,x,N5T,model); results=ols(ywith,xwith);vnames=strvcat(,logcit7logp,logy,); % should be changed if x ischanged prt_reg(results,vnames);tfe=meanty-meantx*results.beta; % incl

16、uding the constant term yme = y -mean(y);en=ones(N,1);error=y-kron(tfe,en)-x*results.beta;rsqrl = error" error;rsqr2 = yme 怯 yme;FE_rsqr2 = 1.0 - rsqrl/rsqr2 % r-squared including fixed effects sige=results.sige*(nobs-K)/nobs);logliktfe=-nobs/2*log(2*pi*sige)-1/(2*sige)*results.resid,*results.r

17、esidLMsarsem_panel(results,W,ywith,xwith); % (Robust) LM tests4、空间与时间双固定模型T=30;N=46;W=n ormw(W1);y=A(：,3)；x=A(:,4,6);xcon sta nt=on es(N*T,1);n obs K=size(x);model=3;ywith,xwith,mea nn y,mea nn x,mea nty,mea ntx二 demea n( y,x,N,T,model);results=ols(ywith,xwith);vnames 二 strvcat(,logcit,logp,logy,);

18、% should be changed if x ischangedprt_reg(results,v names)en=on es(N,1);et=on es(T,1);in tercept=mea n(y)-mea n( x)*results.beta;sfe=mea nn y-mea nn x*results.beta-kro n(en ,i ntercept);tfe=mea nty-mea ntx*results.beta-kro n(et5i ntercept);yme = y - mean( y);en t=o nes(N*T,1);error=y-kro n(tfe,e n)-

19、kro n( et,sfe)-x*results.beta-kro n(e nt,i ntercept);rsqrl = error'* error;rsqr2 = yme 怯 yme;11FE_rsqr2 = 1.0 - rsqr1/rsqr2 % r-squared including fixed effects sige=results.sige*(nobs-K)/nobs);loglikstfe=-nobs/2*log(2*pi*sige)- 1/(2*sige)*results.resid'*results.residLMsarsem_panel(results,W,

20、ywith,xwith); % (Robust) LM tests、静态面板SAR模型1 > 无固定效应(No fixed effects)T=30;N=46;W=normw(W1);y=A(:,3)；x=A(:,4,6);fort=1:Tt1=(t-1)*N+1;t2=t*N;wx(t1:t2,:)=W*x(t1:t2,:);end xconstant=ones(N*T,1);nobs K=size(x);info.lflag=0;info.model=0;info.fe=0;results=sar_panel_FE(y,xconstant x,W,T,info);vnames=str

21、vcat( logcif , 'intercepV , 'logp1, 'logy'); prt_spnew(results,vnames)% Print out effects estimates spat_model=0; directjndirect_effects_estimates(results,W，spat_model);pan el_effects_sar(results3v names,W);2、空间固定效应(Spatial fixed effects)T=30;N=46;W=normw(W1);y=A(:,3);x=A(:,4,6);for

22、t=1:Tt1 =(t-1 )*N+1 ;t2=t*N; wx(t1:t2,:)=W*x(t1:t2,:);end xconstant=ones(N*T,1);nobs K=size(x);infoflag=0; info.model=1;info.fe=0;results=sar_panel_FE(y,x,W,T,info); vnames=strvcat( logcif , logp', logy'); prt_spnew(results,vnames,1) 2% Print out effects estimates spat_model=0; direct_indire

23、ct_effects_estimates(results3W5spat_model); panel_effects_sar(results,vnames,W);3、时点固定效应(Time period fixed effects)T=30;N=46;W=normw(W1);y=A(:,3);x=A(:,4,6);for t=1:Tt1=(t-1)*N+1 ;t2=t*N; wx(t1:t2,:)=W*x(t1 :t2,:);endxcon stant=ones(N*T,1);nobs K=size(x);infoflag=0;% required for exact resultsinfo .

24、model=2;info.fe=0; % Do not print intercept and fixed effects; use info.fe=1to turn onresults=sar_panel_FE(y,x,W,T,info); vnames=strvcat( logcit1, logp', logy*); prt_spnew(results,vnames，1)% Print out effects estimates spat_model=0; direct_indirect_effects_estimates(results,W5spat_model); panel_

25、effects_sar(results,vnames,W);4、双固定效应(Spatial and time period fixed effects) T=30;N=46;W=normw(W1); y=A(:,3);x=A(:,4,6);for t=1:Tt1 =(t-1 )*N+1 ;t2=t*N; wx(t1:t2,:)=W*x(t1:t2,:);end xconstant=ones(N*T,1);nobs K=size(x);infoflag=0;% required for exact resultsinfo.model=3;info.fe=0;% Do not print inte

26、rcept and fixed effects; use info.fe=1to turn onresults=sar_panel_FE(y,x,W,T,info); vnames=strvcat( logcif , logp', logy'); prt_spnew(results,vnames,1) % Print out effects estimates spat_model=0;direct_indirect_effects_estimates(results,W5spat_model); panel_effects_sar(results,vnames,W);三、静态

27、面板SDM模型1 > 无固定效应(No fixed effects)T=30;N=46;W=normw(W1);y=A(:,3)；x=A(:,4,6);for t=1:Tt1=(t-1)*N+1;t2=t*N;wx(t1:t2,:)=W*x(t1:t2,:);endxcon stant=ones(N*T,1);nobs K=size(x);info.lflag=0;info.model=0;info.fe=0; results=sar_panel_FE(y,xconstant x wx,W,T,info);vnames=strvcat( logcif , 'intercept&#

28、39;, 'logp1, logy1, 'WFogp' prt_spnew(results，vnames,1), 'WJogy');% Print out effects estimates spat_model=1;direct_indirect_effects_estimates(results3W5spat_model); panel_effects_sdm(resuIts,vnames,W);2、空间固定效应(Spatial fixed effects)T=30;N=46;W=normw(W1); y=A(:,3);x=A(:,4,6);for

29、t=1:Tt1 =(t-1 )*N+1 ;t2=t*N; wx(t1:t2,:)=W*x(t1 :t2,:);end xconstant=ones(N*T,1);nobs K=size(x);infoflag=0;% required for exact resultsinfo.model=1;info.fe=0;% Do not print intercept and fixed effects; use info.fe=1to turn onresults=sar_pa nel_FE(y,x wx,W,T,i nfo);vnames=strvcat( logcit', 'l

30、ogp1, 'logy', 'W*logp,'WJogy'); prt_spnew(results,vnames)% Print out effects estimates spat_model=1;direct_indirect_effects_estimates(results5W,spat_model); panel_effects_sdm(results,vnames,W);3、时点固定效应(Time period fixed effects)T=30;N=46;W=norm(W1);y=A(:,3);x=A(:,4,6);for t=1:Tt1

31、 =(t-1 )*N+1 ;t2=t*N; wx(t1:t2,:)=W*x(t1:t2,:);end xconstant=ones(N*T,1);nobs K=size(x);infoflag=0;% required for exact resultsinfo .model=2;info.fe=0; % Do not print intercept and fixed effects; use info.fe=1 to turn on% New routines to calculate effects estimates results=sar_panel_FE(y,x wx,W,T,in

32、fo); vnames=strvcat( logcit1, 'logp1, logy1, 'W*logp，% Print out coefficient estimatesW*logy);prt_sp new(results，vnames % Print out effects estimatesspat_model=1; direct_indirect_effects_estimates(results,W5spat_model); pan e l_ef f ects_sd m (re s ults,vn ames,W)4、双固定效应(Spatial and time per

33、iod fixed effectsT=30;N=46;W=normw(W1);y=A(:,3); x=A(:,4,6);fort=1:Tt1 =(t-1 )*N+1 ;t2=t*N; wx(t1:t2,:)=W*x(t1:t2,:);endxcon stant=ones(N*T,1);nobs K=size(x);in fo.bc=0;infoflag=0;% required for exact resultsinfo.model=3;info.fe=0;% Do not print intercept and fixed effects; use info.fe=1to turn on r

34、esults=sar_pa nel_FE(y,x wx,W,T,i nfo);vnames=strvcat( logcit1, 'logp1, logy1, 'WFogp',prt_sp new(results，vnames, 1)% Print out effects estimatesspat_model=1; direct_indirect_effects_estimates(results5W5spat_model); pan e l_ef f ects_sd m (res u Its, v names,W)'W*log/ );wald test spa

35、tial lag% Wald test for spatial Durbin model against spatial lag model btemp=results.parm; varcov=results.cov;Rafg=zeros(K,2*K+2);fork=1:KRafg(k,K+k)=1;% R(1,3)=0 and R(2,4)=0;end Wald_spatial_lag=(Rafg*btemp),*inv(Rafg*varcov*Rafg,)*Rafg*btemp prob_spatial_lag=1 -chis_cdf (Wald_spatial_lag, K)wald

36、test spatial error% Wald test spatial Durbin model against spatial error model R=zeros(K,1);fork=1:KR(k)=btemp(2*K+1 )*btemp(k)+btemp(K+k);% k changed in 1,7/12/2010% R(1 )=btemp(5)*btemp(1 )+btemp(3);% R(2)=btemp(5)*btemp(2)+btemp(4);end Rafg=zeros(K,2*K+2);fork=1:KRafg(k,k) =btemp(2*K+1);% k chang

37、ed in 1,7712/2010Rafg(k,K+k) =1;Rafg(k,2*K+1 )=btemp(k);% Rafg(1,1 )=btemp(5);Rafg(1,3)=1 ;Rafg(1,5)=btemp(1);% Rafg(2,2)=btemp(5);Rafg(2,4)=1 ;Rafg(2,5)=btemp(2); endWald_spatial_error=R,*inv(Rafg*varcov*Rafg,)*R prob_spatial_error=1 -chis_cdf (Wald_spatial_error,K)LR test spatial lagresultssar=sar

38、_pa nel_FE(y,x，W,T,i nfo);LR_spatial_lag=-2*(resultssar.lik-resultsik) prob_spatial_lag=1 -chis_cdf (LR_spatial_lag,K)LR test spatial errorresultssem=sem_pa nel_FE(y,x,W,T,i nfo);LR_spatial_error=-2*(resultssem.lik-results.lik) prob_spatial_error=1 -chis_cdf (LR_spatial_error,K)5、空间随机效应与时点固定效应模型T=30

39、;N=46;W=normw(W1);y=A(:,3)；x=A(:,4,6);for t=1:Tt1=(t-1)*N+1;t2=t*N;wx(t1:t2,:)=W*x(t1:t2,:);endxconsta nt=ones(N*T,1);nobs K=size(x);ywith,xwith,meanny,meannx,meanty,meantx=demean(y,x wx,N,T,2); %2=time dummiesinfo.model=1;results=sar_pa nel_RE(ywith,xwith,W,T,info);prt_sp new(results，vnames,1)spat_

40、model=1; direct_indirect_effects_estimates(results5W5spat_model); pan e l_ef f ects_sd m (res u Its, v names,W)wald test spatial lagbtemp=results.parm(1:2*K+2); varcov=results.cov(1:2*K+2,1:2*K+2);Raf g=zeros(K,2* K+2);fork=1:KRafg(k,K+k)=1; % R(1,3)=0 and R(2,4)=0; endWald_spatial_lag=(Rafg*btemp),

41、*inv(Rafg*varcov*Rafg,)*Rafg*btemp prob_spatial_lag= 1 -chis_cdf(Wald_spatial_lag, K)wald test spatial errorR=zeros(K,1);fork=1:K% k changed in 1,R(k)=btemp(2*K+1)*btemp(k)+btemp(K+k);7/12/2010 % R(1 )=btemp(5)*btemp(1 )+btemp(3);% R(2)=btemp(5)*btemp(2)+btemp(4); endRaf g=zeros(K,2* K+2);fork=1:KRa

42、fg(k,k) =btemp(2*K+1);% k changed in 1,7712/2010Rafg(k,K+k) =1;Rafg(k,2*K+1 )=btemp(k);% Rafg(1,1 )=btemp(5);Rafg(1,3)=1 ;Rafg(1,5)=btemp(1);% Rafg(2,2)=btemp(5);Rafg(2,4)=1 ;Rafg(2,5)=btemp(2); endWald_spatial_error=R'*inv(Rafg*varcov*Rafg,)*R prob_spatial_error= 1 -chis_cdf (Wald_spatial_error

43、,K)LR test spatial lagresultssar=sar_panel_RE(ywith,xwith(:,1:K),W,T,info);LR_spatial_lag=-2*(resultssar.lik-resultsik)prob_spatial_lag=1 -chis_cdf (LR_spatial_lag,K)LR test spatial errorresultssem=sem_pa nel_RE(ywith,xwith(:,1:K),W，T,i nfo);LR_spatial_error=-2*(resultssem.lik-results.lik) prob_spat

44、ial_error=1 -chis_cdf (LR_spatial_error,K)四、静态面板SEM模型1 > 无固定效应(No fixed effects)T=30;N=46;W=normw(W1);y=A(:,3)；x=A(:,4,6);for t=1:Tt1=(t-1)*N+1;t2=t*N;wx(t1:t2,:)=W*x(t1:t2,:);end xconstant=ones(N*T,1);nobs K=size(x);info.lflag=0;info.model=0;info.fe=0; results=sem_panel_FE(y,xconstant x,W,T,info

45、);vnames=strvcat( 'logcit', 'intercept', 'logp', 'logy*); prt_spnew(results,vnames,1)% Print out effects estimates spat_model=0; direct_indirect_effects_estimates(results,W,spat_model); pan el_effects_sar(results,v names,W);2、空间固定效应(Spatial fixed effects)T=30;N=46;W=normw

46、(W1); y=A(:,3);x=A(:,4,6);for t=1:Tt1=(t-1)*N+1 ;t2=t*N; wx(t1:t2,:)=W*x(t1:t2,:);end xconstant=ones(N*T,1);nobs K=size(x); info.lflag=0;info.model=1;info.fe=0; results=sem_panel_FE(y,x,W,T,info);vnames=strvcat( 'logcit', 'logp', 'logy*); prt_spnew(results,vnames)% Print out effe

47、cts estimates spat_model=0; direct_indirect_effects_estimates(results,W,spat_model); panel_effects_sar(results,v names,W);3、时点固定效应(Time period fixed effects)T=30;N=46;W=normw(W1); y=A(:,3);x=A(:,4,6);fort=1:Tt1=(t-1)*N+1 ;t2=t*N; wx(t1:t2,:)=W*x(t1:t2,:);end xconstant=ones(N*T,1);nobs K=size(x);info

48、flag=0;% required for exact resultsinfo .model=2;info.fe=0;% Do not print intercept and fixed effects; use info.fe=1to turn onresults=sem_panel_FE(y,x5W,TJnfo); vnames=strvcat( 'logcif , 'logp1, 'logy'); prt_spnew(results,vnames,1) % Print out effects estimates spat_model=0;direct_in

49、direct_effects_estimates(results5W,spat_model); panel_effects_sar(results,vnames5W);4、双固定效应(Spatial and time period fixed effects)T=30;N=46;W=normw(W1); y=A(:,3);x=A(:,4,6);for t=1:Tt1 =(t-1 )*N+1 ;t2=t*N; wx(t1:t2,:)=W*x(t1:t2,:);endxcon stant=ones(N*T,1);nobs K=size(x);infoflag=0;% required for ex

50、act resultsinfo.model=3;info.fe=0;% Do not print intercept and fixed effects; use info.fe=1to turn onresults=sem_panel_FE(y,x,W,T,info); vnames=strvcat( 'logcit1, logp*, 'logy'); prt_spnew(results,vnames,1) % Print out effects estimates spat_model=0;direct_indirect_effects_estimates(resu

51、lts,W5spat_model); panel_effects_sar(results,vnames5W);五、静态面板SDEM模型1、无固定效应(No fixed effects)T=30;N=46;W=normw(W1);y=A(:,3);x=A(:,4,6);for t=1:Tt1=(t-1)*N+1 ;t2=t*N; wx(t1:t2,:)=W*x(t1:t2,:);end xconstant=ones(N*T,1);nobs K=size(x); infoflag=0;info.model=0;info.fe=0; results=sem_panel_FE(y,xconstant

52、x wx,W,TJnfo);vnames=strvcat( logcif , 'intercept*, logp*, logy1, 'WJogp' prt_spnew(results,vnames,1) , fW*logyf);% Print out effects estimates spat_model=1; direct_indirect_effects_estimates(results,W5spat_model); panel_effects_sdm(results,vnames,W);2> 空间固定效应(Spatial fixed effects)T=30;N=46;W=normw(W1); y=A(:,3);x=A(:,4,6);for t=1:Tt1=(t-1)*N+1 ;t2=t*N; wx(t1 :t2,: