六步學(xué)會用MATLAB做空間計量回歸詳細(xì)步驟.docVIP

1.excel與MATLAB鏈接：Excel：選項加載項COM加載項轉(zhuǎn)到?jīng)]有勾選項 2. MATLAB安裝目錄中尋找toolboxexlink點擊,啟用宏 E:MATLABtoolboxexlink然后，Excel中就出現(xiàn)MATLAB工具（注意Excel中的數(shù)據(jù)：）3.啟動matlab（1） 點擊start MATLAB（2） senddata to matlab ，并對變量矩陣變量進行命名（注意：選取變量為數(shù)值，不包括各變量）(data表中數(shù)據(jù)進行命名)（空間權(quán)重進行命名）（3） 導(dǎo)入MATLAB中的兩個矩陣變量就可以看見4.將elhorst和jplv7兩個程序文件夾復(fù)制到MATLAB安裝目錄的toolbox文件夾5.設(shè)置路徑：6.輸入程序，得出結(jié)果T=30; N=46; W=normw(W1); y=A(:,3); x=A(:,4,6); xconstant=ones(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/(2*sige)*results.resid*results.resid% The (robust)LM tests developed by ElhorstLMsarsem_panel(results,W,y,xconstant x); % (Robust) LM tests解釋每一行分別表示：該面板數(shù)據(jù)的時期數(shù)為30（T=30），該面板數(shù)據(jù)有30個地區(qū)（N=30），將空間權(quán)重矩陣標(biāo)準(zhǔn)化（W=normw(w1)），將名為A（以矩陣形式出現(xiàn)在MATLABA中）的變量的第3列數(shù)據(jù)定義為被解釋變量y,將名為A的變量的第4、5、6列數(shù)據(jù)定義為解釋變量矩陣x，定義一個有N*T行，1列的全1矩陣，該矩陣名為：xconstant，（ones即為全1矩陣）說明解釋變量矩陣x的大?。河衝obs行，K列。（size為描述矩陣的大?。?。附錄：靜態(tài)面板空間計量經(jīng)濟學(xué)一、OLS靜態(tài)面板編程1、普通面板編程T=30; N=46; W=normw(W1); y=A(:,3); x=A(:,4,6); xconstant=ones(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/(2*sige)*results.resid*results.resid% The (robust)LM tests developed by ElhorstLMsarsem_panel(results,W,y,xconstant x); % (Robust) LM tests2、空間固定OLS （spatial-fixed effects）T=30; N=46; W=normw(W1); y=A(:,3); x=A(:,4,6); xconstant=ones(N*T,1);nobs K=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); % should be changed if x is changedprt_reg(results,vnames);sfe=meanny-meannx*results.beta; % including the constant termyme = y - mean(y);et=ones(T,1);error=y-kron(et,sfe)-x*results.beta;rsqr1 = error*error;rsqr2 = yme*yme;FE_rsqr2 = 1.0 - rsqr1/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、時期固定OLS（time-period fixed effects）T=30; N=46; W=normw(W1); y=A(:,3); x=A(:,4,6); xconstant=ones(N*T,1);nobs K=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); % should be changed if x is changedprt_reg(results,vnames);tfe=meanty-meantx*results.beta; % including the constant termyme = y - mean(y);en=ones(N,1);error=y-kron(tfe,en)-x*results.beta;rsqr1 = error*error;rsqr2 = yme*yme;FE_rsqr2 = 1.0 - rsqr1/rsqr2 % r-squared including fixed effectssige=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) LM tests4、空間與時間雙固定模型T=30; N=46; W=normw(W1); y=A(:,3); x=A(:,4,6); xconstant=ones(N*T,1);nobs K=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); % should be changed if x is changedprt_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*error;rsqr2 = yme*yme;FE_rsqr2 = 1.0 - rsqr1/rsqr2 % r-squared including fixed effectssige=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) LM tests二、靜態(tài)面板SAR模型1、無固定效應(yīng)（No fixed effects）T=30; N=46; W=normw(W1);y=A(:,3);x=A(:,4,6); for t=1:T t1=(t-1)*N+1;t2=t*N; wx(t1:t2,:)=W*x(t1:t2,:);endxconstant=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=strvcat(logcit,intercept,logp,logy);prt_spnew(results,vnames,1)% Print out effects estimatesspat_model=0;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sar(results,vnames,W);2、空間固定效應(yīng)（Spatial fixed effects）T=30; N=46; W=normw(W1);y=A(:,3);x=A(:,4,6); for t=1:T t1=(t-1)*N+1;t2=t*N; wx(t1:t2,:)=W*x(t1:t2,:);endxconstant=ones(N*T,1);nobs K=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)% Print out effects estimatesspat_model=0;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sar(results,vnames,W);3、時點固定效應(yīng)（Time period fixed effects）T=30; N=46; W=normw(W1);y=A(:,3);x=A(:,4,6); for t=1:T t1=(t-1)*N+1;t2=t*N; wx(t1:t2,:)=W*x(t1:t2,:);endxconstant=ones(N*T,1);nobs K=size(x);info.lflag=0; % required for exact resultsinfo.model=2;info.fe=0; % Do not print intercept and fixed effects; use info.fe=1 to turn onresults=sar_panel_FE(y,x,W,T,info); vnames=strvcat(logcit,logp,logy);prt_spnew(results,vnames,1)% Print out effects estimatesspat_model=0;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sar(results,vnames,W);4、雙固定效應(yīng)（Spatial and time period fixed effects）T=30; N=46; W=normw(W1);y=A(:,3);x=A(:,4,6); for t=1:T t1=(t-1)*N+1;t2=t*N; wx(t1:t2,:)=W*x(t1:t2,:);endxconstant=ones(N*T,1);nobs K=size(x);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_FE(y,x,W,T,info); vnames=strvcat(logcit,logp,logy);prt_spnew(results,vnames,1)% Print out effects estimatesspat_model=0;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sar(results,vnames,W);三、靜態(tài)面板SDM模型1、無固定效應(yīng)（No fixed effects）T=30; N=46; W=normw(W1);y=A(:,3);x=A(:,4,6); for t=1:T t1=(t-1)*N+1;t2=t*N; wx(t1:t2,:)=W*x(t1:t2,:);endxconstant=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(logcit,intercept,logp,logy,W*logp,W*logy);prt_spnew(results,vnames,1)% Print out effects estimatesspat_model=1;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sdm(results,vnames,W);2、空間固定效應(yīng)（Spatial fixed effects）T=30; N=46; W=normw(W1);y=A(:,3);x=A(:,4,6); for t=1:T t1=(t-1)*N+1;t2=t*N; wx(t1:t2,:)=W*x(t1:t2,:);endxconstant=ones(N*T,1);nobs K=size(x);info.lflag=0; % required for exact resultsinfo.model=1;info.fe=0; % Do not print intercept and fixed effects; use info.fe=1 to turn onresults=sar_panel_FE(y,x wx,W,T,info); vnames=strvcat(logcit,logp,logy,W*logp,W*logy);prt_spnew(results,vnames,1)% Print out effects estimatesspat_model=1;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sdm(results,vnames,W);3、時點固定效應(yīng)（Time period fixed effects）T=30; N=46; W=normw(W1);y=A(:,3);x=A(:,4,6); for t=1:T t1=(t-1)*N+1;t2=t*N; wx(t1:t2,:)=W*x(t1:t2,:);endxconstant=ones(N*T,1);nobs K=size(x);info.lflag=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 estimatesresults=sar_panel_FE(y,x wx,W,T,info); vnames=strvcat(logcit,logp,logy,W*logp,W*logy);% Print out coefficient estimatesprt_spnew(results,vnames,1)% Print out effects estimatesspat_model=1;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sdm(results,vnames,W)4、雙固定效應(yīng)（Spatial and time period fixed effects）T=30; N=46; W=normw(W1);y=A(:,3);x=A(:,4,6); for t=1:T t1=(t-1)*N+1;t2=t*N; wx(t1:t2,:)=W*x(t1:t2,:);endxconstant=ones(N*T,1);nobs K=size(x);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_FE(y,x wx,W,T,info); vnames=strvcat(logcit,logp,logy,W*logp,W*logy);prt_spnew(results,vnames,1)% Print out effects estimatesspat_model=1;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sdm(results,vnames,W)wald test spatial lag% Wald test for spatial Durbin model against spatial lag modelbtemp=results.parm;varcov=results.cov;Rafg=zeros(K,2*K+2);for k=1:K Rafg(k,K+k)=1; % R(1,3)=0 and R(2,4)=0;endWald_spatial_lag=(Rafg*btemp)*inv(Rafg*varcov*Rafg)*Rafg*btempprob_spatial_lag=1-chis_cdf (Wald_spatial_lag, K)wald test spatial error% Wald test spatial Durbin model against spatial error modelR=zeros(K,1);for k=1:K R(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);endRafg=zeros(K,2*K+2);for k=1:K Rafg(k,k) =btemp(2*K+1); % k changed in 1, 7/12/2010 Rafg(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);end Wald_spatial_error=R*inv(Rafg*varcov*Rafg)*Rprob_spatial_error=1-chis_cdf (Wald_spatial_error,K)LR test spatial lagresultssar=sar_panel_FE(y,x,W,T,info); LR_spatial_lag=-2*(resultssar.lik-results.lik)prob_spatial_lag=1-chis_cdf (LR_spatial_lag,K) LR test spatial errorresultssem=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、空間隨機效應(yīng)與時點固定效應(yīng)模型T=30; N=46; W=normw(W1);y=A(:,3);x=A(:,4,6); for t=1:T t1=(t-1)*N+1;t2=t*N; wx(t1:t2,:)=W*x(t1:t2,:);endxconstant=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_panel_RE(ywith,xwith,W,T,info); prt_spnew(results,vnames,1)spat_model=1;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sdm(results,vnames,W)wald test spatial lagbtemp=results.parm(1:2*K+2);varcov=results.cov(1:2*K+2,1:2*K+2);Rafg=zeros(K,2*K+2);for k=1:K Rafg(k,K+k)=1; % R(1,3)=0 and R(2,4)=0;endWald_spatial_lag=(Rafg*btemp)*inv(Rafg*varcov*Rafg)*Rafg*btempprob_spatial_lag= 1-chis_cdf (Wald_spatial_lag, K) wald test spatial errorR=zeros(K,1);for k=1:K R(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);endRafg=zeros(K,2*K+2);for k=1:K Rafg(k,k) =btemp(2*K+1); % k changed in 1, 7/12/2010 Rafg(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);end Wald_spatial_error=R*inv(Rafg*varcov*Rafg)*Rprob_spatial_error= 1-chis_cdf (Wald_spatial_error,K) LR test spatial lagresultssar=sar_panel_RE(ywith,xwith(:,1:K),W,T,info); LR_spatial_lag=-2*(resultssar.lik-results.lik)prob_spatial_lag=1-chis_cdf (LR_spatial_lag,K) LR test spatial errorresultssem=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、靜態(tài)面板SEM模型1、無固定效應(yīng)（No fixed effects）T=30; N=46; W=normw(W1);y=A(:,3);x=A(:,4,6); for t=1:T t1=(t-1)*N+1;t2=t*N; wx(t1:t2,:)=W*x(t1:t2,:);endxconstant=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); vnames=strvcat(logcit,intercept,logp,logy);prt_spnew(results,vnames,1)% Print out effects estimatesspat_model=0;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sar(results,vnames,W);2、空間固定效應(yīng)（Spatial fixed effects）T=30; N=46; W=normw(W1);y=A(:,3);x=A(:,4,6); for t=1:T t1=(t-1)*N+1;t2=t*N; wx(t1:t2,:)=W*x(t1:t2,:);endxconstant=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,1)% Print out effects estimatesspat_model=0;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sar(results,vnames,W);3、時點固定效應(yīng)（Time period fixed effects）T=30; N=46; W=normw(W1);y=A(:,3);x=A(:,4,6); for t=1:T t1=(t-1)*N+1;t2=t*N; wx(t1:t2,:)=W*x(t1:t2,:);endxconstant=ones(N*T,1);nobs K=size(x);info.lflag=0; % required for exact resultsinfo.model=2;info.fe=0; % Do not print intercept and fixed effects; use info.fe=1 to turn onresults=sem_panel_FE(y,x,W,T,info); vnames=strvcat(logcit,logp,logy);prt_spnew(results,vnames,1)% Print out effects estimatesspat_model=0;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sar(results,vnames,W);4、雙固定效應(yīng)（Spatial and time period fixed effects）T=30; N=46; W=normw(W1);y=A(:,3);x=A(:,4,6); for t=1:T t1=(t-1)*N+1;t2=t*N; wx(t1:t2,:)=W*x(t1:t2,:);endxconstant=ones(N*T,1);nobs K=size(x);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_FE(y,x,W,T,info); vnames=strvcat(logcit,logp,logy);prt_spnew(results,vnames,1)% Print out effects estimatesspat_model=0;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sar(results,vnames,W);五、靜態(tài)面板SDEM模型1、無固定效應(yīng)（No fixed effects）T=30; N=46; W=normw(W1);y=A(:,3);x=A(:,4,6); for t=1:T t1=(t-1)*N+1;t2=t*N; wx(t1:t2,:)=W*x(t1:t2,:);endxconstant=ones(N*T,1);nobs K=size(x);info.lflag=0; info.model=0;info.fe=0; results=sem_panel_FE(y,xconstant x wx,W,T,info); vnames=strvcat(logcit,intercept,logp,logy,W*logp,W*logy);prt_spnew(results,vnames,1)% Print out effects estimatesspat_model=1;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sdm(results,vnames,W);2、空間固定效應(yīng)（Spatial fixed effects）T=30; N=46; W=normw(W1);y=A(:,3);x=A(:,4,6); for t=1:T t1=(t-1)*N+1;t2=t*N; wx(t1:t2,:)=W*x(t1:t2,:);endxconstant=ones(N*T,1);nobs K=size(x);info.lflag=0; % required for exact resultsinfo.model=1;info.fe=0; % Do not print intercept and fixed effects; use i