MATLAB-空间计量模型详细步骤

1、11.1. excelexcel 与与 MATLABMATLAB 链接：链接：ExcelExcel：选项加载项COM加载项转到没有勾选项2.2. MATLABMATLAB 安装目录中寻找安装目录中寻找 toolboxexlinktoolboxexlink 点击，启点击，启用宏用宏E:MATLABtoolboxexlinkE:MATLABtoolboxexlink悸臥口期|自自Contents2013/12/2S2:14MATLABCode1KB脯脯eKclIink2013/10/923:48MicrosoftExcel.108KBeKcllink2032013/10/923:48Microso

2、ftExcel.305KBSExliSamp2009/11/519:58MicrosoftExcel.72KB餐餐|getfuncticmhelp2010/12/42:17MATLABCode2KB餐餐|getfunctionlist2010/12/42:17MATLABCode3KB餐餐|getfuncticmssign呂呂tu居居2012/5/42:59MATLAECode4KE圏圏info2007/7/240:2；XML文档文档1KB然后，ExceI中就出现MATLAB工具（注意Excel中的数据：224U4.UU/JJJU.lJ2!bUU1UU2H/1214.529414.840242

3、0.1801810.1585194.775782579.2452.129424.6839810.118179-0.03264.8648996364.14965.129434.3956830.3505260.1764084.8664635152.2.3960.229444.5849670.120077-0.03264.5685861862.11465.429464.6664-29-0.2295380.24080G4.7582615017.33853.829464.7077270.1002870.1313914.711692483.3360.5变量数端权重数据.dmtm.w1|ftSheet33.

4、3. 启动启动 matlabmatlab点击startMATLAB2）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）（data表中数据进行命名）空间权重进行命名）i严idxvVSViiEZ=-o立立施祕.丈麻血闻殛脅曲醉莎谢B-y-ATABrt-jlrW53SJW71m利MP1J5i22ifflmaMW35册沏SMTiFO卿41测询阳丄151 （临幽】1慣咖1556172161T1如1間223I.BM2i129SJiKJ)4阿1-4.12E1I1T2-020613(I24J13iMiQIiia丄2吩岗3VJ)?弼她12M2UJ223ImM).l

5、g媲逊i-0町0谕）丄1沖曲432的51沁H弋i规叩绷阿)H1(-4JK13丄晌盟削15L6)1119401714.4紳1询J115.6QIZ-ajwn4-zrriT?呵SOUQ11FJ1M2-0-a1B3!zrflSIWIJQId1RHM5-017W-aITW丄2TiecuE311MI.4Q114翊-azwrs-0JZW24.2IM?2!Z1Q1JQ111ncm-00IM?-a.iaii4-H9IZIMIDZlQ1?t?3DI4lfl-02M!丄linflWE-M!.TQ111W3rJ2flaeifli-CI2M2I4-K：i门-11Vi丄71W11TrtmizzozIZZZ5Z1zzozI

6、ZZZ5Z1” ”3导入MATLAB中的两个矩阵变量就可以看见莘判萃 gt?：osi/i/zioe華轲萃SO;IH/l/ZIOS5xoqioo）阴沓阴沓目譏毎目譏毎9V11VW隆咼頁辈隆咼頁辈: :城笔甲齢翌城笔甲齢翌ZA|dfgjsjoqp软戶软戶“I叫巧叫巧OL|吕吕A.nwnnpjKuiinujisffi 關二二叼固皈艇暮亠14閒一nl革A.劭+tlirenocyavnivw66.输入程序，得出结果输入程序，得出结果1口口ITcwnri0TrfsWl、irrn匸匸Ji1=30：N=46:W=normv(WL);y=AC：,3):K=A(:.6);Kcoustant=ones(N*r,1)

7、:rnobsK=size(x):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);sige=results.sige*(nobs-K)/nobs);loglikols=-nobs/2*log(2*pi*sige)-1/(2*sige)*results.resid*results.resid%The(rob

8、ust)LMtestsdevelopedbyElhorstLMsarsem_panel(results,W,y,xconstantx);%(Robust)LMtests解释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

9、述矩阵的大小)。附录:7静态面板空间计量经济学静态面板空间计量经济学一、一、OLSOLS 静态面板编程静态面板编程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(logcit,intercept,logp,logy);prt_reg(results,vnames,1);sige=results.sige*(nobs-K)/nobs);loglikols=-nobs/2*log(2*pi*si

10、ge)-1/(2*sige)*results.resid*results.resid%The(robust)LMtestsdevelopedbyElhorstLMsarsem_panel(results,W,y,xconstantx);%(Robust)LMtests82、空间固定OLS(spatial-fixedeffects)T=30;N=46;W=normw(W1);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

11、,x,N,T,model);results=ols(ywith,xwith);vnames=strvcat(logcit,logp,logy);%shouldbechangedifxischangedprt_reg(results,vnames);sfe=meanny-meannx*results.beta;%includingtheconstanttermyme=y-mean(y);et=ones(T,1);error=y-kron(et,sfe)-x*results.beta;9rsqr1=error*error;rsqr2=yme*yme;FE_rsqr2=1.0-rsqr1/rsqr2

12、%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)LMtests3、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)

13、;model=2;ywith,xwith,meanny,meannx,meanty,meantx=demean(y,x,N,T,model);results=ols(ywith,xwith);10vnames=strvcat(logcit,logp,logy);%shouldbechangedifxischangedprt_reg(results,vnames);tfe=meanty-meantx*results.beta;%includingtheconstanttermyme=y-mean(y);en=ones(N,1);error=y-kron(tfe,en)-x*results.bet

14、a;rsqr1=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.residLMsarsem_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);11x=A(:,4,

15、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);%shouldbechangedifxischangedprt_reg(results,vnames)en=ones(N,1);et=ones(T,1);intercept=mean(y)-mean(x)*results.beta;sfe=meanny-meannx

16、*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);12rsqr1=error*error;rsqr2=yme*yme;13FE_rsqr2=1.0-rsqr1/rsqr2%r-squaredincludingfixedeffectssige=results.sige*(nobs-K)/

17、nobs);loglikstfe=-nobs/2*log(2*pi*sige)-1/(2*sige)*results.resid*results.residLMsarsem_panel(results,W,ywith,xwith);%(Robust)LMtests二、静态面板二、静态面板 SARSAR 模型模型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

18、=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_indirect_effects_estimates(results,W,spat_model);panel_effects_sar(results,vnames,W);2、空间固定效应(Spatialfixedeffects)T

19、=30;N=46;W=normw(W1);y=A(:,3);1、无固定效应Nofixedeffects14x=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_FE(y,x,W,T,info);vnames=strvcat(logcit,logp,logy);prt_spnew(results,vnames,1)%Printouteffe

20、ctsestimatesspat_model=0;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sar(results,vnames,W);TimeperiodfixedeffectsT=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;%requiredforex

21、actresultsinfo.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)%Printouteffectsestimatesspat_model=0;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sar(resu

22、lts,vnames,W);Spatialandtimeperiodfixedeffects3、时点固定效应4、双固定效应15T=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;%requiredforexactresultsinfo.model=3;info.fe=0;%Donotprintinterceptandfixedeffects;useinfo

23、.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_effects_sar(results,vnames,W);三、静态面板三、静态面板 SDMSDM 模型模型T=30;N=46;W=normw(W1);y=A(:,3);x=A(:,4

24、,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(logcit,intercept,logp,logy,W*logp,W*logy);1、无固定效应Nofixedeffects16prt_spnew(results,vnames,1)%Printouteffect

25、sestimatesspat_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:t2,:)=W*x(t1:t2,:);endxconstant=ones(N*T,1);nobsK=size(x);info.lflag=0;%required

26、forexactresultsinfo.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)%Printouteffectsestimatesspat_model=1;direct_indirect_effects_estimates(results,W,spat_model);p

27、anel_effects_sdm(results,vnames,W);TimeperiodfixedeffectsT=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;%requiredforexactresultsinfo.model=2;3、时点固定效应17info.fe=0;%Donotprintinterceptandfixedeffects;usei

28、nfo.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)%Printouteffectsestimatesspat_model=1;direct_indirect_effects_estimates(results,W,spat_model);panel_effec

29、ts_sdm(results,vnames,W)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.bc=0;info.lflag=0;%requiredforexactresultsinfo.model=3;info.fe=0;%Donotprintinterceptandfixedeffects;usei

30、nfo.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,spat_model);panel_effects_sdm(results,vnames,W)waldtestspatiallag%WaldtestforspatialDurbinm

31、odelagainstspatiallagmodelbtemp=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-chis_cdf(Wald_spatial_lag,K)waldtestspatialerrorwaldtestspatialerror%WaldtestspatialDurbi

32、nmodelagainstspatialerrormodel4、双固定效应18R=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(k);%

33、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)LRtestspatiallagLRtestspatiallagresultssar=sar_panel_FE(y,x,W,T,info);LR_spatial_lag=-2*(resultssar.l

34、ik-results.lik)prob_spatial_lag=1-chis_cdf(LR_spatial_lag,K)LRtestspatialerrorLRtestspatialerrorresultssem=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(:,3);x=A(:,4,6);fort=1:Tt1

35、=(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=ti19medummiesinfo.model=1;results=sar_panel_RE(ywith,xwith,W,T,info);prt_spnew(results,vnames,1)spat_model=1;direct_indirect_effects_estimates(results,W,sp

36、at_model);panel_effects_sdm(results,vnames,W)waldtestspatiallagwaldtestspatiallagbtemp=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_cdf

37、(Wald_spatial_lag,K)waldtestspatialerrorwaldtestspatialerrorR=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);20fork=1:KRafg(k,k)=btemp(2*K+1);%kchangedin1,7/12/2010Rafg(k,K+k)=1;R

38、afg(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)LRtestspatiallagLRtestspatiallagresultssar=sar_panel_RE(ywith,xwith(:,1:K),W,T

39、,info);LR_spatial_lag=-2*(resultssar.lik-results.lik)prob_spatial_lag=1-chis_cdf(LR_spatial_lag,K)LRtestspatialerrorLRtestspatialerrorresultssem=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)21四、静态面板四、静态面板 S

40、EMSEM 模模型型vnames=strvcat(logcit,intercept,logp,logy);prt_spnew(results,vnames,1)%Printouteffectsestimatesspat_model=0;direct_indirect_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+

41、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,x,W,T,info);vnames=strvcat(logcit,logp,logy);prt_spnew(results,vnames,1)1、无固定效应NofixedeffectsT=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

42、: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);22%Printouteffectsestimatesspat_model=0;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sar(results,vnames,W);TimeperiodfixedeffectsT=30;N=

43、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;%requiredforexactresultsinfo.model=2;3、时点固定效应23info.fe=0;%Donotprintinterceptandfixedeffects;useinfo.fe=1toturnonresults=sem_panel_FE(y,x,W,T,info);vnames=strvc

44、at(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);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:t

45、2,:);endxconstant=ones(N*T,1);nobsK=size(x);info.lflag=0;%requiredforexactresultsinfo.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_

46、indirect_effects_estimates(results,W,spat_model);panel_effects_sar(results,vnames,W);五、静态面板五、静态面板 SDEMSDEM 模型模型T=30;N=46;W=normw(W1);y=A(:,3);x=A(:,4,6);4、双固定效应1、无固定效应Nofixedeffects24fort=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

47、;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)T=30;N=46;W=normw(W1);y=A(:,3);x=A(:,4,6);fort=1