MATLAB-空间计量模型详细步骤

1、I.excel与MATLA利接: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2 .MATLAB?装目录中寻找toolboxexlink点击，启用宏E:MATLABtoolboxexlink芒砂.萨比口现9UM*Comterits2013/12/282:14MATLABCede1KB醒exdlink2013/10/933:48MicrosoftExcelB.108KEQeMcllink2QO32013/10/923:40MicrosoftExcel305KB网ExliSamp2009/11/519:58MicrosoftExcelMicrosoftExcel72KBcet

2、functionhelp2010/12/42:17MATLABCode2KBgetfunctionlkt2010/12417MATLABCede3KBcetfunrti3n5igna：ure2OL2/5/42:59MATLABCede4KB国inf口2007/7/240:22XML登1KB然后，Excel 中就出现 MATLAB 工具带样式静事删赊格式W 目即求知，国岷.之清除.单元格打了4V推用蹄选且持周kJ皤TLA肛其COMCOM 加蓑项.、rmrmr rafniafni一】i i山Hn n1 1i i（注意 Excel 中的数据：）上4U4U4 4UU/JJJUU/JJJU1U1比W4W

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4、06211465.429294545456642g456642g02295330229533024080602408064 475826175826150173501733853338533292946464 4707727707727010026701002670.1313910.131391471169247116924333433336053605曷量数陶权重期居WdataBWdataBwlwlK KSheet3Sheet33 .启动matlab（1）点击 startMATLAB（2）senddatatomatlab，并对变量矩阵变量进行命名（注意：选取变量为数值，不包括各变量）（dat

5、a 表中数据进行命名）（空间权重进行命名）2j2j1 14512itot4512itotnjnjChCh阁外-i-ii皿1 13 3零处珈Ul5Ul5W W)4 4q q1 1 1 1心椀H H川陋H HiiTffi!iiTffi!泗姒1?M71?M7Qj j.妣雅T T例4W4W”4E4EiWiW例点G Gq q5 5 5MI1P5MI1P11321113214 4i i跑*iKJf.iKJf.ai i口1 1；猊4 4，如4 4的Lift2MLift2M31,31,P Pq? ?专如师1 11714217142IllllllWiWiq qI I0堆琏-fl16144-fl16144/ /i

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8、iiMZ.traiiMZ-aer-aer】-aZJT7T-aZJT7Tiraiaiiraiai3Mif3Mif八w wjriiHMijriiHMi用MwrMwrflfl1 14A.If.4A.If.-uo-uo（3） 导入 MATLAB 中的两个矩阵变量就可以看见详细恬息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2017/1/1415；08 文件央5.设置路径:工作区|mJ值IJSOJCSd口血46x46doubleelhorstelhorst2017/1/15&462017/1/15&46文件夹6.输入程序，得出结果 1=3

9、0;1=30;N=40;N=40;W=norW=norJILVW1W1) ); ;y=A(y=A(：j3)j3)；K=A(：J4,6);xcons-tant=ariexcons-tant=arieE1)：nobsK=sizenobsK=size; ;T=30;N=46;W=norm(W1);y=A(:,3);x=A(:,4,6);xconstant=ones(N*T,1);nobsK=size(x);results=ols(y,xconstantx);vnames=strvcat(logcit,intercept,logp,logy);prt_reg(results,vnames,1);sig

10、e=results.sige*(nobs-K)/nobs);loglikols=-nobs/2*log(2*pi*sige)-1/(2*sige)*results.resid*results.resid%The(robust)LMtestsdevelopedbyElhorstLMsarsem_panel(results,W,y,xconstantx);%(Robust)LMtests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=normw(w1),将名为 A(以矩阵形式出现在 MATLABA 中)的变量的第 3 列

11、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 N*T 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、OLS 静态面板编程1、普通面板编程T=30;N=46;W=normw(W1);y=A(:,3);x=A(:,4,6);xconstant=ones(N*T,1);nobsK=size(x);results=ols(y,xconstantx);vnames=strvcat(log

12、cit,intercept,logp,logy);prt_reg(results,vnames,1);sige=results.sige*(nobs-K)/nobs);loglikols=-nobs/2*log(2*pi*sige)-1/(2*sige)*results.resid*results.resid%The(robust)LMtestsdevelopedbyElhorstLMsarsem_panel(results,W,y,xconstantx);%(Robust)LMtests2、空间固定OLS(spatial-fixedeffects)T=30;N=46;W=normw(W1);

13、y=A(:,3);x=A(:,4,6);xconstant=ones(N*T,1);nobsK=size(x);model=1;ywith,xwith,meanny,meannx,meanty,meantx=demean(y,x,N,T,model);results=ols(ywith,xwith);vnames=strvcat(logcit,logp,logy);%shouldbechangedifxischangedprt_reg(results,vnames);sfe=meanny-meannx*results.beta;%includingtheconstanttermyme=y-me

14、an(y);et=ones(T,1);error=y-kron(et,sfe)-x*results.beta;rsqrl=error*error;rsqr2=yme*yme;FE_rsqr2=1.0-rsqr1/rsqr2%r-squaredincludingfixedeffectssige=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)LMtests

15、3、时期固定OLS(time-periodfixedeffects)T=30;N=46;W=normw(W1);y=A(:,3);x=A(:,4,6);xconstant=ones(N*T,1);nobsK=size(x);model=2;ywith,xwith,meanny,meannx,meanty,meantx=demean(y,x,N,T,model)；results=ols(ywith,xwith);vnames=strvcat(logcit,logp,logy);%shouldbechangedifxischangedprt_reg(results,vnames);tfe=mean

16、ty-meantx*results.beta;%includingtheconstanttermyme=y-mean(y);en=ones(N,1);error=y-kron(tfe,en)-x*results.beta;rsqrl=error*error;rsqr2=yme*yme;FE_rsqr2=1.0-rsqr1/rsqr2%r-squaredincludingfixedeffectssige=results.sige*(nobs-K)/nobs);logliktfe=-nobs/2*log(2*pi*sige)-1/(2*sige)*results.resid*results.res

17、idLMsarsem_panel(results,W,ywith,xwith);%(Robust)LMtests4、空间与时间双固定模型T=30;N=46;W=normw(W1);y=A(:,3);x=A(:,4,6);xconstant=ones(N*T,1);nobsK=size(x);model=3;ywith,xwith,meanny,meannx,meanty,meantx=demean(y,x,N,T,model);results=ols(ywith,xwith);vnames=strvcat(logcit,logp,logy);%shouldbechangedifxischang

18、edprt_reg(results,vnames)en=ones(N,1);et=ones(T,1);intercept=mean(y)-mean(x)*results.beta;sfe=meanny-meannx*results.beta-kron(en,intercept);tfe=meanty-meantx*results.beta-kron(et,intercept);yme=y-mean(y);ent=ones(N*T,1);error=y-kron(tfe,en)-kron(et,sfe)-x*results.beta-kron(ent,intercept);rsqr1=error

19、*error;rsqr2=yme*yme;FE_rsqr2=1.0-rsqr1/rsqr2%r-squaredincludingfixedeffectssige=results.sige*(nobs-K)/nobs);loglikstfe=-nobs/2*log(2*pi*sige)-1/(2*sige)*results.resid*results.residLMsarsem_panel(results,W,ywith,xwith);%(Robust)LMtests二、静态面板SAR模型1、无固定效应(Nofixedeffects)T=30;N=46;W=normw(W1);y=A(：,3);

20、x=A(:,4,6);fort=1:Tt1=(t-1)*N+1;t2=t*N;wx(t1:t2,:)=W*x(t1:t2,:);endxconstant=ones(N*T,1);nobsK=size(x);info.lflag=0;info.model=0;info.fe=0;results=sar_panel_FE(y,xconstantx,W,T,info);vnames=strvcat(logcit,intercept,logp,logy);prt_spnew(results,vnames,1)%Printouteffectsestimatesspat_model=0;direct_in

21、direct_effects_estimates(results,W,spat_model);panel_effects_sar(results,vnames,W);2、空间固定效应(Spatialfixedeffects)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,:);endxconstant=ones(N*T,1);nobsK=size(x);info.lflag=0;info.model=1;info.fe=0;results=sar_panel_

22、FE(y,x,W,T,info);vnames=strvcat(logcit,logp,logy);prt_spnew(results,vnames,1)%Printouteffectsestimatesspat_model=0;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sar(results,vnames,W);3、日寸点固定效应(Timeperiodfixedeffects)T=30;N=46;W=normw(W1);y=A(:,3);x=A(:,4,6);fort=1:Tt1=(t-1)*N

23、+1;t2=t*N;wx(t1:t2,:)=W*x(t1:t2,:);endxconstant=ones(N*T,1);nobsK=size(x);info.lflag=0;%requiredforexactresultsinfo.model=2;info.fe=0;%Donotprintinterceptandfixedeffects;useinfo.fe=1toturnonresults=sar_panel_FE(y,x,W,T,info);vnames=strvcat(logcit,logp,logy);prt_spnew(results,vnames,1)%Printouteffect

24、sestimatesspat_model=0;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sar(results,vnames,W);4、双固定效应(SpatialandtimeperiodfixedeffectsT=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,:);endxconstant=ones(N*T,1);nobsK=size(x);info.lflag=

25、0;%requiredforexactresultsinfo.model=3;info.fe=0;%Donotprintinterceptandfixedeffects;useinfo.fe=1toturnonresults=sar_panel_FE(y,x,W,T,info);vnames=strvcat(logcit,logp,logy);prt_spnew(results,vnames,1)%Printouteffectsestimatesspat_model=0;direct_indirect_effects_estimates(results,W,spat_model);panel_

26、effects_sar(results,vnames,W);三、静态面板SDM模型1、无固定效应(Nofixedeffects)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,:);endxconstant=ones(N*T,1);nobsK=size(x);info.lflag=0;info.model=0;info.fe=0;results=sar_panel_FE(y,xconstantxwx,W,T,info);vnames=strvcat(logci

27、t,intercept,logp,logy,W*logp,W*logy);prt_spnew(results,vnames,1)%Printouteffectsestimatesspat_model=1;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sdm(results,vnames,W);2、空间固定效应(Spatialfixedeffects)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:t

28、2,:)=W*x(t1:t2,:);endxconstant=ones(N*T,1);nobsK=size(x);info.lflag=0;%requiredforexactresultsinfo.model=1;info.fe=0;%Donotprintinterceptandfixedeffects;useinfo.fe=1toturnonresults=sar_panel_FE(y,xwx,W,T,info);vnames=strvcat(logcit,logp,logy,W*logp,W*logy);prt_spnew(results,vnames,1)%Printouteffects

29、estimatesspat_model=1;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sdm(results,vnames,W);3、时点固定效应(Timeperiodfixedeffects)T=30;N=46;W=norm(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,:);endxconstant=ones(N*T,1);nobsK=size(x);info.lflag=0;%require

30、dforexactresultsinfo.model=2;info.fe=0;%Donotprintinterceptandfixedeffects;useinfo.fe=1toturnon%Newroutinestocalculateeffectsestimatesresults=sar_panel_FE(y,xwx,W,T,info);vnames=strvcat(logcit,logp,logy,W*logp,W*logy);%Printoutcoefficientestimatesprt_spnew(results,vnames,1)%Printouteffectsestimatess

31、pat_model=1;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sdm(results,vnames,W)4、双固定效应(Spatialandtimeperiodfixedeffects)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,:);endxconstant=ones(N*T,1);nobsK=size(x);info.bc=0;info.lflag=0

32、;%requiredforexactresultsinfo.model=3;info.fe=0;%Donotprintinterceptandfixedeffects;useinfo.fe=1toturnonresults=sar_panel_FE(y,xwx,W,T,info);vnames=strvcat(logcit,logp,logy,W*logp,W*logy);prt_spnew(results,vnames,1)%Printouteffectsestimatesspat_model=1;direct_indirect_effects_estimates(results,W,spa

33、t_model);panel_effects_sdm(results,vnames,W)waldtestspatiallag%WaldtestforspatialDurbinmodelagainstspatiallagmodelbtemp=results.parm;varcov=results.cov;Rafg=zeros(K,2*K+2);fork=1:KRafg(k,K+k)=1;%R(1,3)=0andR(2,4)=0;endWald_spatial_lag=(Rafg*btemp)*inv(Rafg*varcov*Rafg)*Rafg*btempprob_spatial_lag=1-c

34、his_cdf(Wald_spatial_lag,K)waldtestspatialerror%WaldtestspatialDurbinmodelagainstspatialerrormodelR=zeros(K,1);fork=1:KR(k)=btemp(2*K+1)*btemp(k)+btemp(K+k);%kchangedin1,7/12/2010%R(1)=btemp(5)*btemp(1)+btemp(3);%R(2)=btemp(5)*btemp(2)+btemp(4);endRafg=zeros(K,2*K+2);fork=1:KRafg(k,k)=btemp(2*K+1);%

35、kchangedin1,7/12/2010Rafg(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)*Rprob_spatial_error=1-chis_cdf(Wald_spatial_error,K)LRtestspatiallagresultssar=sar_panel_FE(y,

36、x,W,T,info);LR_spatial_lag=-2*(resultssar.lik-results.lik)prob_spatial_lag=1-chis_cdf(LR_spatial_lag,K)LRtestspatialerrorresultssem=sem_panel_FE(y,x,W,T,info);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;N=46;W=normw(W1);y=A(:

37、,3);x=A(:,4,6);fort=1:Tt1=(t-1)*N+1;t2=t*N;wx(t1:t2,:)=W*x(t1:t2,:);endxconstant=ones(N*T,1);nobsK=size(x);ywith,xwith,meanny,meannx,meanty,meantx=demean(y,xwx,N,T,2);2=timedummiesinfo.model=1;results=sar_panel_RE(ywith,xwith,W,T,info);prt_spnew(results,vnames,1)spat_model=1;direct_indirect_effects_

38、estimates(results,W,spat_model);panel_effects_sdm(results,vnames,W)waldtestspatiallagbtemp=results.parm(1:2*K+2);varcov=results.cov(1:2*K+2,1:2*K+2);Rafg=zeros(K,2*K+2);fork=1:KRafg(k,K+k)=1;%R(1,3)=0andR(2,4)=0;endWald_spatial_lag=(Rafg*btemp)*inv(Rafg*varcov*Rafg)*Rafg*btempprob_spatial_lag=1-chis

39、_cdf(Wald_spatial_lag,K)waldtestspatialerrorR=zeros(K,1);fork=1:KR(k)=btemp(2*K+1)*btemp(k)+btemp(K+k);%kchangedin1,7/12/2010%R(1)=btemp(5)*btemp(1)+btemp(3);%R(2)=btemp(5)*btemp(2)+btemp(4);endRafg=zeros(K,2*K+2);fork=1:KRafg(k,k)=btemp(2*K+1);%kchangedin1,7/12/2010Rafg(k,K+k)=1;Rafg(k,2*K+1)=btemp

40、(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)*Rprob_spatial_error=1-chis_cdf(Wald_spatial_error,K)LRtestspatiallagresultssar=sar_panel_RE(ywith,xwith(:,1:K),W,T,info);LR_spatial_lag=-2*(resultss

41、ar.lik-results.lik)prob_spatial_lag=1-chis_cdf(LR_spatial_lag,K)LRtestspatialerrorresultssem=sem_panel_RE(ywith,xwith(:,1:K),W,T,info);LR_spatial_error=-2*(resultssem.lik-results.lik)prob_spatial_error=1-chis_cdf(LR_spatial_error,K)四、静态面板SEM模型1、无固定效应（NofixedeffectsT=30;N=46;W=normw(W1);y=A(:,3);x=A(

42、:,4,6);fort=1:Tt1=(t-1)*N+1;t2=t*N;wx(t1:t2,:)=W*x(t1:t2,:);endxconstant=ones(N*T,1);nobsK=size(x);info.lflag=0;info.model=0;info.fe=0;results=sem_panel_FE(y,xconstantx,W,T,info);vnames=strvcat(logcitprt_spnew(results,vnames,1)%Printouteffectsestimatesspat_model=0;direct_indirect_effects_estimates(r

43、esults,W,spat_model);panel_effects_sar(results,vnames,W);,interceptlogp,logy);2、空间固定效应(Spatialfixedeffects)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,:);endxconstant=ones(N*T,1);nobsK=size(x);info.lflag=0;info.model=1;info.fe=0;results=sem_panel_FE(y,

44、x,W,T,info);vnames=strvcat(logcit,logp,logy);prt_spnew(results,vnames,1)%Printouteffectsestimatesspat_model=0;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sar(results,vnames,W);3、时点固定效应(TimeperiodfixedeffectsT=30;N=46;W=normw(W1);y=A(:,3);x=A(:,4,6);fort=1:Tt1=(t-1)*N+1;t2=t

45、*N;wx(t1:t2,:)=W*x(t1:t2,:);endxconstant=ones(N*T,1);nobsK=size(x);info.lflag=0;%requiredforexactresultsinfo.model=2;info.fe=0;%Donotprintinterceptandfixedeffects;useinfo.fe=1toturnonresults=sem_panel_FE(y,x,W,T,info);vnames=strvcat(logcit,logp,logy);prt_spnew(results,vnames,1)%Printouteffectsestima

46、tesspat_model=0;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sar(results,vnames,W);4、双固定效应(SpatialandtimeperiodfixedeffectsT=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,:);endxconstant=ones(N*T,1);nobsK=size(x);info.lflag=0;%requ

47、iredforexactresultsinfo.model=3;info.fe=0;%Donotprintinterceptandfixedeffects;useinfo.fe=1toturnonresults=sem_panel_FE(y,x,W,T,info);vnames=strvcat(logcit,logp,logy);prt_spnew(results,vnames,1)%Printouteffectsestimatesspat_model=0;direct_indirect_effects_estimates(results,W,spat_model);panel_effects

48、_sar(results,vnames,W);五、静态面板SDEM模型1、无固定效应(Nofixedeffects)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,:);endxconstant=ones(N*T,1);nobsK=size(x);info.lflag=0;info.model=0;info.fe=0;results=sem_panel_FE(y,xconstantxwx,W,T,info);vnames=strvcat(logcit,intercept,logp,logy,W*logp,W*logy);prt_spnew(results,vnames,1)%Printouteffectsestimatesspat_model=1;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sdm(results,vnames,W);2、空间固定效应(Spatialfixedeffects