步學(xué)會用MATLAB做空間計量回歸詳細步驟

1、鏈接點擊 , 啟用宏注意：選取變量MATLAB安裝目錄的與 M A T L A BExcel ：選項一一加載項一一COM加載項一一轉(zhuǎn)到一一沒有勾選項2. MATLAB 安裝目錄中尋找 toolbox exlink E:MATLABtoolboxexlink然后，Excel中就出現(xiàn)MATLA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 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的兩個矩陣變量就可以看見4. 將 elhors

2、t 和 jplv7 兩個程序文件夾復(fù)制到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=*(nobs-K)/nobs); loglikols=-nobs/2*log(2*pi*sige)-1/(2*sige)

3、*LMtests% The (robust)LM tests developed by Elhorst LMsarsem_panel(results,W,y,xconstant x); %(Robust) 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

4、釋變量矩陣 x的大小：有nobs行，K列。(size為描述矩陣的大小)。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=no rmw(W1);y=A(:,3);x=A(:,4,6);xcon sta nt=on es(N*T,1);n obs K=size(x);results=ols(y,xc on sta nt x);vnames=strvcat( logcit , intercept , logp , logy ); prt_reg(results,vnames,1);sige=*(nobs-K)/nobs); loglikols=-nobs/2

5、*log(2*pi*sige)-1/(2*sige)* % The (robust)LM tests developed by Elhorst LMsarsem_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

6、(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*; % including the constant termyme = y - mean(y);et=ones(T,1);error=y-kron(et,sfe)-x*;rsqr1 = error*error;rsqr2 = yme*yme;FE_rsqr2 = - rsqr1/rsqr2

7、% r-squared including fixed effects sige=*(nobs-K)/nobs);logliksfe=-nobs/2*log(2*pi*sige)-1/(2*sige)*LMsarsem_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,mean

8、ny,meannx,meanty,meantx=demean(y,x,N,T,model); results=ols(ywith,xwith);vnames=strvcat(logcit,logp,logy); % should be changed if x ischangedprt_reg(results,vnames);tfe=meanty-meantx*; % including the constant termyme = y - mean(y);en=ones(N,1);error=y-kron(tfe,en)-x*;rsqr1 = error*error;rsqr2 = yme*

9、yme;FE_rsqr2 = - rsqr1/rsqr2 % r-squared including fixed effects sige=*(nobs-K)/nobs);logliktfe=-nobs/2*log(2*pi*sige)-1/(2*sige)*LMsarsem_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,m

10、eanny,meannx,meanty,meantx=demean(y,x,N,T,model); results=ols(ywith,xwith);vnames=strvcat(logcit,logp,logy); % should be changed if x ischangedprt_reg(results,vnames)en=on es(N,1);et=on es(T,1);in tercept二mea n(y)-mea n(x)*;sfe=mea nn y-mea nn x*(e n,i ntercept);tfe=mea nty-mea ntx*(et,i ntercept);y

11、me = y - mean( y);en t=o nes(N*T,1);error二y-kro n( tfe,e n)-kro n(et,sfe)-x*(e nt,i ntercept);rsqrl = error*error;rsqr2 = yme*yme;FE_rsqr2 = - rsqr1/rsqr2 % r-squared in cludi ng fixed effects sige=*( (n obs-K)/no bs);loglikstfe二-nobs/2*log(2*pi*sige)-1/(2*sige)*LMsarsem_pa nel(results,W,ywith,xwith

12、); % (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:Tt1=(t-1)*N+1;t2=t*N;wx(t1:t2,:)=W*x(t1:t2,:);endxconstant=ones(N*T,1);nobs K=size(x);=0;=0;=0;results=sar_panel_FE(y,xconstant x,W,T,info);vnames=strvcat( logcit , intercept , logp , logy );

13、 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:Tt1=(t-1)*N+1;t2=t*N;wx(t1:t2,:)=W*x(t1:t2,:);endxconst

14、ant=ones(N*T,1);nobs K=size(x);=0;=1;=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

15、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);=0; % required for exact results=2;=0; % Do not print intercept and fixed effects; use =1 to turn on results=sar_panel_FE(y,x,W,T,info);vnames=strvca

16、t( 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:Tt1=(t-1)*N+1

17、;t2=t*N;wx(t1:t2,:)=W*x(t1:t2,:);end xconstant=ones(N*T,1);nobs K=size(x);=0; % required for exact results =3;=0; % Do not print intercept and fixed effects; use =1 to turn on results=sar_panel_FE(y,x,W,T,info);vnames=strvcat( logcit , logp , logy ); prt_spnew(results,vnames,1)% Print out effects es

18、timatesspat_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:Tt1=(t-1)*N+1;t2=t*N;wx(t1:t2,:)=W*x(t1:t2,:);endxconstant=ones(N*T,1);nobs K=size(x);=0;=0;results

19、=sar_panel_FE(y,xconstant x wx,W,T,info);, W*logy );vnames=strvcat( logcit , intercept , logp , logy , W*logp 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 eff

20、ects)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,:);endxconstant=ones(N*T,1);nobs K=size(x);=0; % required for exact results=1;=0; % Do not print intercept and fixed effects; use =1 to turn on results=sar_panel_FE(y,x wx,W,T,info);vnames=strvcat( logc

21、it , 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:Tt1=(t-1)*N+1

22、;t2=t*N;wx(t1:t2,:)=W*x(t1:t2,:);endxconstant=ones(N*T,1);nobs K=size(x);=0; % required for exact results=2;=0; % Do not print intercept and fixed effects; use =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*log

23、p , 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)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:Tt1=(t-1)*N+1;t2=t*N;wx(t1:t

24、2,:)=W*x(t1:t2,:);endxconstant=ones(N*T,1);nobs K=size(x);=0;=0; % required for exact results=3;=0; % Do not print intercept and fixed effects; use =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)spat_model=1;dir

25、ect_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=;varcov=;Rafg=zeros(K,2*K+2);for k=1:KRafg(k,K+k)=1;% R(1,3)=0 and R(2,4)=0;endWald_spatial_lag=(Rafg*btemp)*inv(Rafg*var

26、cov*Rafg)*Rafg*btemp prob_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: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)+

27、btemp(4);endRafg=zeros(K,2*K+2);for k=1:KRafg(k,k) =btemp(2*K+1);% k changed in 1, 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=

28、1-chis_cdf (Wald_spatial_error,K)LR test spatial lagresultssar=sar_panel_FE(y,x,W,T,info);LR_spatial_lag=-2* (LR_spatial_lag,K)LR test spatial errorresultssem=sem_panel_FE(y,x,W,T,info);LR_spatial_error=-2* (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:Tt1=(t

29、-1)*N+1;t2=t*N;wx(t1:t2,:)=W*x(t1:t2,:);end xconstant=ones(N*T,1);nobs K=size(x);% 2=time dummiesywith,xwith,meanny,meannx,meanty,meantx=demean(y,x wx,N,T,2);=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

30、); panel_effects_sdm(results,vnames,W) wald test spatial lagbtemp=(1:2*K+2);varcov=(1:2*K+2,1:2*K+2);Rafg=zeros(K,2*K+2);for k=1:KRafg(k,K+k)=1; % R(1,3)=0 and R(2,4)=0;endWald_spatial_lag=(Rafg*btemp)*inv(Rafg*varcov*Rafg)*Rafg*btemp prob_spatial_lag= 1-chis_cdf (Wald_spatial_lag, K) wald test spat

31、ial errorR=zeros(K,1);for k=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);endRafg=zeros(K,2*K+2);for k=1:KRafg(k,k) =btemp(2*K+1);% k changed in 1, 7/12/2010Rafg(k,K+k) =1;Rafg(k,2*K+1)=btemp(k);% Rafg(1,1)=b

32、temp(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_panel_RE(ywith,xwith(:,1:K),W,T,info);LR_spatial_lag=-2* (LR_spatial_lag,

33、K)LR test spatial errorresultssem=sem_panel_RE(ywith,xwith(:,1:K),W,T,info);LR_spatial_error=-2* (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:Tt1=(t-1)*N+1;t2=t*N;wx(t1:t2,:)=W*x(t1:t2,:);endxconstant=ones(N*T,1);nobs K=size(x);=0;=0;=0;

34、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

35、;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);=0;=1;=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_e

36、ffects_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:Tt1=(t-1)*N+1;t2=t*N;wx(t1:t2,:)=W*x(t1:t2,:);endxconstant=ones(N*T,1);nobs K=size(x);=0; % required for exact results =2;=0; % Do not pri

37、nt intercept and fixed effects; use =1 to turn on 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);4、雙固定效應(yīng)( Spa

38、tial 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,:);endxconstant=ones(N*T,1);nobs K=size(x);=0; % required for exact resultsresults=sem_panel_FE(y,x,W,T,info);vnames=strvcat( logcit , logp , logy ); prt_spnew(results,vnam

39、es,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:Tt1=(t-1)*N+1;t2=t*N;wx(t1:t2,:)=W*x(t1:t2,:);endxconstant=ones(N*T,1);

40、nobs K=size(x);=0;=0;=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:Tt1=(t-1)*N+1;t2=t*N;wx(t1:t2,:)=W*x(t1:t2,:);endxconstant=ones(N*T,1);nobs K=size(x);=0; % required for exact results=1;=0; % Do not print intercept and fixed effects; use =1 to