(完整版)六步学会用MATLAB做空间计量回归详细步骤知识讲解

1、精品word学习资料 可编辑资料 - - - - - - - - - - - - - - - -六 步 学 会 用 MATL AB做 空 间 计 量 回 归 详 细步 骤- - -细心整理 - - - 欢迎下载 - - -第 1 页，共 23 页精品word学习资料 可编辑资料 - - - - - - - - - - - - - - - -学习 好资料1. excel与 MATLAB链接：Excel：选项 加载项 COM 加载项转到没有勾选项2. MATLAB 安装目录中查找toolbox exlink点击 ,启用宏E:MATLABtoolboxexlink然后， Excel 中就显现 MAT

2、LAB工具（留意 Excel 中的数据：）精品资料- - -细心整理 - - - 欢迎下载 - - -第 2 页，共 23 页精品word学习资料 可编辑资料 - - - - - - - - - - - - - - - -学习 好资料3. 启动 matlab（1） ）点击 start MATLAB（2） ）senddatatomatlab，并对变量矩阵变量进行命名（留意：选取变量为数 值，不包括各变量）data表中数据进行命名 精品资料- - -细心整理 - - - 欢迎下载 - - -第 3 页，共 23 页精品word学习资料 可编辑资料 - - - - - - - - - - - - -

3、 - - -学习 好资料（空间权重进行命名）（3） ）导入 MATLAB 中的两个矩阵变量就可以观察4. 将 elhorst和 jplv7两个程序文件夹复制到MATLAB安装目录的 toolbox文件夹5.设置路径：精品资料- - -细心整理 - - - 欢迎下载 - - -第 4 页，共 23 页精品word学习资料 可编辑资料 - - - - - - - - - - - - - - - -学习 好资料6.输入程序，得出结果T=30; N=46;精品资料- - -细心整理 - - - 欢迎下载 - - -第 5 页，共 23 页精品word学习资料 可编辑资料 - - - - - - - -

4、 - - - - - - - -学习 好资料W=normwW1; y=A:,3; x=A:,4,6;xconstant=onesN*T,1; nobs K=sizex; results=olsy,xconstant x;vnames=strvcat'logcit' ,'intercept','logp','logy' prt_regresults,vnames,1; sige=results.sige*nobs-K/nobs;loglikols=-nobs/2*log2*pi*sige-1/2*sige*results.resid

5、'*results.resid% The robustLM tests developed by Elhorst LMsarsem_panelresults,W,y,xconstant x; % Robust LM tests说明每一行分别表示：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=normww1 ），将名为 A （以矩阵形式显现在MATLABA中）的变量的第3 列数据定义为被说明变量 y,将名为 A 的变量的第 4、5、6 列数据定义为说明变量矩阵x，定义一个有 N*T 行， 1 列的全 1 矩阵，该矩阵名为： x

6、constant，（ ones即为全 1 矩阵）说明说明变量矩阵x 的大小：有 nobs行， K 列；（ size 为描述矩阵的大小）；附录：精品资料- - -细心整理 - - - 欢迎下载 - - -第 6 页，共 23 页精品word学习资料 可编辑资料 - - - - - - - - - - - - - - - -学习 好资料静态面板空间计量经济学一、OLS 静态面板编程 1、一般面板编程T=30;N=46;W=normwW1; y=A:,3; x=A:,4,6;xconstant=onesN*T,1; nobs K=sizex; results=olsy,xconstant x;vna

7、mes=strvcat'logcit' ,'intercept','logp','logy'prt_regresults,vnames,1; sige=results.sige*nobs-K/nobs;loglikols=-nobs/2*log2*pi*sige-1/2*sige*results.resid'*results.resid% The robustLM tests developed by Elhorst LMsarsem_panelresults,W,y,xconstant x; % Robust LM te

8、sts2、空间固定 OLS （ spatial-fixed effects） T=30;N=46;精品资料- - -细心整理 - - - 欢迎下载 - - -第 7 页，共 23 页精品word学习资料 可编辑资料 - - - - - - - - - - - - - - - -学习 好资料W=normwW1; y=A:,3; x=A:,4,6;xconstant=onesN*T,1; nobs K=sizex; model=1;ywith,xwith,meanny,meannx,meanty,meantx=demeany,x,N,T,model; results=olsywith,xwith;

9、vnames=strvcat'logcit','logp','logy' % should be changed if x is changed prt_regresults,vnames;sfe=meanny-meannx*results.beta; % including the constant term yme = y - meany;et=onesT,1;error=y-kronet,sfe-x*results.beta; rsqr1 = error'*error;rsqr2 = yme'*yme;FE_rsqr2 =

10、1.0 - rsqr1/rsqr2 % r-squared including fixed effects sige=results.sige*nobs-K/nobs;logliksfe=-nobs/2*log2*pi*sige-1/2*sige*results.resid'*results.resid LMsarsem_panelresults,W,ywith,xwith; % Robust LM tests3、时期固定 OLS（time-period fixed effects）精品资料- - -细心整理 - - - 欢迎下载 - - -第 8 页，共 23 页精品word学习资料

11、 可编辑资料 - - - - - - - - - - - - - - - -学习 好资料T=30; N=46;W=normwW1; y=A:,3; x=A:,4,6;xconstant=onesN*T,1;nobs K=sizex; model=2;ywith,xwith,meanny,meannx,meanty,meantx=demeany,x,N,T,model; results=olsywith,xwith;vnames=strvcat'logcit','logp','logy' % should be changed if x is ch

12、anged prt_regresults,vnames;tfe=meanty-meantx*results.beta; % including the constant term yme = y - meany;en=onesN,1;error=y-krontfe,en-x*results.beta; rsqr1 = error'*error;rsqr2 = yme'*yme;FE_rsqr2 = 1.0 - rsqr1/rsqr2 % r-squared including fixed effects sige=results.sige*nobs-K/nobs;loglikt

13、fe=-nobs/2*log2*pi*sige-1/2*sige*results.resid'*results.resid LMsarsem_panelresults,W,ywith,xwith; % Robust LM tests精品资料- - -细心整理 - - - 欢迎下载 - - -第 9 页，共 23 页精品word学习资料 可编辑资料 - - - - - - - - - - - - - - - -学习 好资料4、空间与时间双固定模型T=30; N=46;W=normwW1; y=A:,3; x=A:,4,6;xconstant=onesN*T,1; nobs K=sizex

14、; model=3;ywith,xwith,meanny,meannx,meanty,meantx=demeany,x,N,T,model;results=olsywith,xwith;vnames=strvcat'logcit','logp','logy' % should be changed if x is changed prt_regresults,vnamesen=onesN,1;et=onesT,1;intercept=meany-meanx*results.beta; sfe=meanny-meannx*results.beta-

15、kronen,intercept; tfe=meanty-meantx*results.beta-kronet,intercept; yme = y - meany;ent=onesN*T,1;error=y-krontfe,en-kronet,sfe-x*results.beta-kronent,intercept;精品资料- - -细心整理 - - - 欢迎下载 - - -第 10 页，共 23 页精品word学习资料 可编辑资料 - - - - - - - - - - - - - - - -学习 好资料rsqr1 = error'*error; rsqr2 = yme'*

16、yme;FE_rsqr2 = 1.0 - rsqr1/rsqr2 % r-squared including fixed effects sige=results.sige*nobs-K/nobs;loglikstfe=-nobs/2*log2*pi*sige-1/2*sige*results.resid'*results.resid LMsarsem_panelresults,W,ywith,xwith; % Robust LM tests二、静态面板 SAR 模型1、无固定效应（ No fixed effects）T=30; N=46;W=normwW1; y=A:,3;x=A:,

17、4,6;fort=1:Tt1=t-1*N+1;t2=t*N; wxt1:t2,:=W*xt1:t2,:;endxconstant=onesN*T,1; nobs K=sizex; info.lflag=0; info.model=0;info.fe=0;results=sar_panel_FEy,xconstant x,W,T,info;vnames=strvcat'logcit', 'intercept', 'logp', 'logy' prt_spnewresults,vnames,1% Print out effects e

18、stimates spat_model=0;direct_indirect_effects_estimatesresults,W,spat_model;panel_effects_sarresults,vnames,W;2、空间固定效应（ Spatial fixed effects）T=30; N=46;精品资料- - -细心整理 - - - 欢迎下载 - - -第 11 页，共 23 页精品word学习资料 可编辑资料 - - - - - - - - - - - - - - - -学习 好资料W=normwW1; y=A:,3;x=A:,4,6;fort=1:Tt1=t-1*N+1;t2=t

19、*N; wxt1:t2,:=W*xt1:t2,:;endxconstant=onesN*T,1; nobs K=sizex; info.lflag=0; info.model=1;info.fe=0; results=sar_panel_FEy,x,W,T,info;vnames=strvcat'logcit', 'logp', 'logy'prt_spnewresults,vnames,1% Print out effects estimates spat_model=0;direct_indirect_effects_estimatesres

20、ults,W,spat_model;panel_effects_sarresults,vnames,W;3、时点固定效应（ Time period fixed effects）T=30; N=46;W=normwW1; y=A:,3;x=A:,4,6;fort=1:Tt1=t-1*N+1;t2=t*N; wxt1:t2,:=W*xt1:t2,:;end xconstant=onesN*T,1; nobs K=sizex;info.lflag=0;% required for exact results info.model=2;info.fe=0;% Do not print intercep

21、t and fixed effects; use info.fe=1 to turn onresults=sar_panel_FEy,x,W,T,info;vnames=strvcat'logcit', 'logp', 'logy' prt_spnewresults,vnames,1% Print out effects estimates spat_model=0;direct_indirect_effects_estimatesresults,W,spat_model;精品资料- - -细心整理 - - - 欢迎下载 - - -第 12 页，

22、共 23 页精品word学习资料 可编辑资料 - - - - - - - - - - - - - - - -学习 好资料panel_effects_sarresults,vnames,W;4、双固定效应（ Spatial and time period fixed effects）T=30; N=46;W=normwW1; y=A:,3;x=A:,4,6;fort=1:Tt1=t-1*N+1;t2=t*N; wxt1:t2,:=W*xt1:t2,:;endxconstant=onesN*T,1; nobs K=sizex;info.lflag=0;% required for exact re

23、sults info.model=3;info.fe=0;% Do not print intercept and fixed effects; use info.fe=1to turn on results=sar_panel_FEy,x,W,T,info;vnames=strvcat'logcit', 'logp', 'logy' prt_spnewresults,vnames,1% Print out effects estimatesspat_model=0; direct_indirect_effects_estimatesresult

24、s,W,spat_model; panel_effects_sarresults,vnames,W;三、静态面板 SDM 模型1、无固定效应（ No fixed effects）T=30; N=46;W=normwW1;y=A:,3;x=A:,4,6;fort=1:Tt1=t-1*N+1;t2=t*N; wxt1:t2,:=W*xt1:t2,:;end xconstant=onesN*T,1; nobs K=sizex; info.lflag=0; info.model=0;精品资料- - -细心整理 - - - 欢迎下载 - - -第 13 页，共 23 页精品word学习资料 可编辑资料

25、- - - - - - - - - - - - - - - -学习 好资料info.fe=0;results=sar_panel_FEy,xconstant x wx,W,T,info;vnames=strvcat'logcit', 'intercept', 'logp', 'logy', 'W*logp', 'W*logy' prt_spnewresults,vnames,1% Print out effects estimates spat_model=1;direct_indirect_eff

26、ects_estimatesresults,W,spat_model;panel_effects_sdmresults,vnames,W;2、空间固定效应（ Spatial fixed effects）T=30; N=46;W=normwW1; y=A:,3;x=A:,4,6;fort=1:Tt1=t-1*N+1;t2=t*N; wxt1:t2,:=W*xt1:t2,:;endxconstant=onesN*T,1; nobs K=sizex;info.lflag=0;% required for exact resultsinfo.model=1;info.fe=0;% Do not pri

27、nt intercept and fixed effects; use info.fe=1 to turn onresults=sar_panel_FEy,x wx,W,T,info;vnames=strvcat'logcit', 'logp', 'logy', 'W*logp', 'W*logy' prt_spnewresults,vnames,1% Print out effects estimatesspat_model=1; direct_indirect_effects_estimatesresults,

28、W,spat_model; panel_effects_sdmresults,vnames,W;3、时点固定效应（ Time period fixed effects）T=30; N=46;W=normwW1;y=A:,3;x=A:,4,6;fort=1:Tt1=t-1*N+1;t2=t*N; wxt1:t2,:=W*xt1:t2,:;end xconstant=onesN*T,1;精品资料- - -细心整理 - - - 欢迎下载 - - -第 14 页，共 23 页精品word学习资料 可编辑资料 - - - - - - - - - - - - - - - -学习 好资料nobs K=siz

29、ex;info.lflag=0;% required for exact results info.model=2;info.fe=0;% Do not print intercept and fixed effects; use info.fe=1to turn on% New routines to calculate effects estimates results=sar_panel_FEy,x wx,W,T,info;vnames=strvcat'logcit', 'logp', 'logy', 'W*logp', &

30、#39;W*logy'% Print out coefficient estimates prt_spnewresults,vnames,1% Print out effects estimates spat_model=1;direct_indirect_effects_estimatesresults,W,spat_model; panel_effects_sdmresults,vnames,W4、双固定效应（ Spatial and time period fixed effects）T=30; N=46;W=normwW1;y=A:,3;x=A:,4,6;fort=1:Tt1=

31、t-1*N+1;t2=t*N; wxt1:t2,:=W*xt1:t2,:;end xconstant=onesN*T,1; nobs K=sizex; info.bc=0;info.lflag=0;% required for exact resultsinfo.model=3;info.fe=0;% Do not print intercept and fixed effects; use info.fe=1 to turn onresults=sar_panel_FEy,x wx,W,T,info;vnames=strvcat'logcit', 'logp'

32、, 'logy', 'W*logp', 'W*logy' prt_spnewresults,vnames,1% Print out effects estimates spat_model=1;direct_indirect_effects_estimatesresults,W,spat_model; panel_effects_sdmresults,vnames,Wwald test spatial lag% Wald test for spatial Durbin model against spatial lag model精品资料- -

33、-细心整理 - - - 欢迎下载 - - -第 15 页，共 23 页精品word学习资料 可编辑资料 - - - - - - - - - - - - - - - -学习 好资料btemp=results.parm; varcov=results.cov; Rafg=zerosK,2*K+2; fork=1:KRafgk,K+k=1;% R1,3=0 and R2,4=0;end Wald_spatial_lag=Rafg*btemp'*invRafg*varcov*Rafg'*Rafg*btemp prob_spatial_lag=1-chis_cdf Wald_spatia

34、l_lag, Kwald test spatial error% Wald test spatial Durbin model against spatial error model R=zerosK,1;fork=1:KRk=btemp2*K+1*btempk+btempK+k;% k changed in 1, 7/12/2021%R1=btemp5*btemp1+btemp3;%R2=btemp5*btemp2+btemp4; endRafg=zerosK,2*K+2; fork=1:KRafgk,k=btemp2*K+1;% k changed in 1, 7/12/2021 Rafg

35、k,K+k =1;Rafgk,2*K+1=btempk;%Rafg1,1=btemp5;Rafg1,3=1;Rafg1,5=btemp1;%Rafg2,2=btemp5;Rafg2,4=1;Rafg2,5=btemp2; endWald_spatial_error=R'*invRafg*varcov*Rafg'*Rprob_spatial_error=1-chis_cdf Wald_spatial_error,KLR test spatial lagresultssar=sar_panel_FEy,x,W,T,info; LR_spatial_lag=-2*resultssar

36、.lik-results.lik prob_spatial_lag=1-chis_cdf LR_spatial_lag,KLR test spatial errorresultssem=sem_panel_FEy,x,W,T,info; LR_spatial_error=-2*resultssem.lik-results.lik prob_spatial_error=1-chis_cdf LR_spatial_error,K精品资料- - -细心整理 - - - 欢迎下载 - - -第 16 页，共 23 页精品word学习资料 可编辑资料 - - - - - - - - - - - - -

37、- - -学习 好资料5、空间随机效应与时点固定效应模型T=30; N=46;W=normwW1;y=A:,3;x=A:,4,6;fort=1:Tt1=t-1*N+1;t2=t*N; wxt1:t2,:=W*xt1:t2,:;end xconstant=onesN*T,1; nobs K=sizex;ywith,xwith,meanny,meannx,meanty,meantx=demeany,x wx,N,T,2;% 2=time dummiesinfo.model=1; results=sar_panel_REywith,xwith,W,T,info; prt_spnewresults,v

38、names,1spat_model=1; direct_indirect_effects_estimatesresults,W,spat_model; panel_effects_sdmresults,vnames,Wwald test spatial lagbtemp=results.parm1:2*K+2; varcov=results.cov1:2*K+2,1:2*K+2; Rafg=zerosK,2*K+2;fork=1:KRafgk,K+k=1;% R1,3=0 and R2,4=0;end Wald_spatial_lag=Rafg*btemp'*invRafg*varco

39、v*Rafg'*Rafg*btemp prob_spatial_lag= 1-chis_cdf Wald_spatial_lag, Kwald test spatial errorR=zerosK,1; fork=1:KRk=btemp2*K+1*btempk+btempK+k;% k changed in 1, 7/12/2021精品资料- - -细心整理 - - - 欢迎下载 - - -第 17 页，共 23 页精品word学习资料 可编辑资料 - - - - - - - - - - - - - - - -学习 好资料%R1=btemp5*btemp1+btemp3;%R2=bte

40、mp5*btemp2+btemp4; endRafg=zerosK,2*K+2;fork=1:KRafgk,k=btemp2*K+1;% k changed in 1, 7/12/2021 Rafgk,K+k =1;Rafgk,2*K+1=btempk;%Rafg1,1=btemp5;Rafg1,3=1;Rafg1,5=btemp1;%Rafg2,2=btemp5;Rafg2,4=1;Rafg2,5=btemp2; endWald_spatial_error=R'*invRafg*varcov*Rafg'*Rprob_spatial_error= 1-chis_cdf Wald

41、_spatial_error,KLR test spatial lagresultssar=sar_panel_REywith,xwith:,1:K,W,T,info; LR_spatial_lag=-2*resultssar.lik-results.lik prob_spatial_lag=1-chis_cdf LR_spatial_lag,KLR test spatial errorresultssem=sem_panel_REywith,xwith:,1:K,W,T,info; LR_spatial_error=-2*resultssem.lik-results.lik prob_spa

42、tial_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=normwW1; y=A:,3;x=A:,4,6;fort=1:Tt1=t-1*N+1;t2=t*N; wxt1:t2,:=W*xt1:t2,:;endxconstant=onesN*T,1; nobs K=sizex;精品资料- - -细心整理 - - - 欢迎下载 - - -第 18 页，共 23 页精品word学习资料 可编辑资料 - - - - - - - - - - - - - - - -学习 好资料i

43、nfo.lflag=0; info.model=0; info.fe=0;results=sem_panel_FEy,xconstant x,W,T,info;vnames=strvcat'logcit', 'intercept', 'logp', 'logy' prt_spnewresults,vnames,1% Print out effects estimatesspat_model=0; direct_indirect_effects_estimatesresults,W,spat_model; panel_effects

44、_sarresults,vnames,W;2、空间固定效应（ Spatial fixed effects）T=30; N=46;W=normwW1; y=A:,3;x=A:,4,6;fort=1:Tt1=t-1*N+1;t2=t*N; wxt1:t2,:=W*xt1:t2,:;end xconstant=onesN*T,1; nobs K=sizex; info.lflag=0; info.model=1;info.fe=0; results=sem_panel_FEy,x,W,T,info;vnames=strvcat'logcit', 'logp', 

45、9;logy' prt_spnewresults,vnames,1% Print out effects estimates spat_model=0;direct_indirect_effects_estimatesresults,W,spat_model;panel_effects_sarresults,vnames,W;3、时点固定效应（ Time period fixed effects）T=30; N=46;W=normwW1; y=A:,3;x=A:,4,6;fort=1:Tt1=t-1*N+1;t2=t*N; wxt1:t2,:=W*xt1:t2,:;end精品资料- -

46、 -细心整理 - - - 欢迎下载 - - -第 19 页，共 23 页精品word学习资料 可编辑资料 - - - - - - - - - - - - - - - -学习 好资料xconstant=onesN*T,1; nobs K=sizex;info.lflag=0;% required for exact results info.model=2;info.fe=0;% Do not print intercept and fixed effects; use info.fe=1 to turn onresults=sem_panel_FEy,x,W,T,info;vnames=str

47、vcat'logcit', 'logp', 'logy' prt_spnewresults,vnames,1% Print out effects estimates spat_model=0;direct_indirect_effects_estimatesresults,W,spat_model;panel_effects_sarresults,vnames,W;4、双固定效应（ Spatial and time period fixed effects）T=30; N=46;W=normwW1; y=A:,3;x=A:,4,6;fort=1

48、:Tt1=t-1*N+1;t2=t*N; wxt1:t2,:=W*xt1:t2,:;endxconstant=onesN*T,1; nobs K=sizex;info.lflag=0;% required for exact resultsinfo.model=3;info.fe=0;% Do not print intercept and fixed effects; use info.fe=1 to turn onresults=sem_panel_FEy,x,W,T,info;vnames=strvcat'logcit', 'logp', 'log

49、y' prt_spnewresults,vnames,1% Print out effects estimatesspat_model=0; direct_indirect_effects_estimatesresults,W,spat_model; panel_effects_sarresults,vnames,W;五、静态面板 SDEM 模型1、无固定效应（ No fixed effects）T=30;精品资料- - -细心整理 - - - 欢迎下载 - - -第 20 页，共 23 页精品word学习资料 可编辑资料 - - - - - - - - - - - - - - - -

50、学习 好资料N=46;W=normwW1; y=A:,3;x=A:,4,6;fort=1:Tt1=t-1*N+1;t2=t*N; wxt1:t2,:=W*xt1:t2,:;end xconstant=onesN*T,1; nobs K=sizex; info.lflag=0; info.model=0;info.fe=0;results=sem_panel_FEy,xconstant x wx,W,T,info;vnames=strvcat'logcit', 'intercept', 'logp', 'logy', 'W*

51、logp', 'W*logy' prt_spnewresults,vnames,1% Print out effects estimatesspat_model=1; direct_indirect_effects_estimatesresults,W,spat_model; panel_effects_sdmresults,vnames,W;2、空间固定效应（ Spatial fixed effects）T=30; N=46;W=normwW1; y=A:,3;x=A:,4,6;fort=1:Tt1=t-1*N+1;t2=t*N; wxt1:t2,:=W*xt1:t2,:;e