六步學(xué)會用MATLAB做空間計量回歸詳細(xì)步驟

1、實(shí)用標(biāo)準(zhǔn)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toolbox exlink點(diǎn)擊 ,啟用宏E:MATLABtoolboxexlink然后， Excel 中就出現(xiàn)MATLAB工具文案大全實(shí)用標(biāo)準(zhǔn)（注意 Excel 中的數(shù)據(jù)：）3. 啟動 matlab（ 1 ） 點(diǎn)擊 start MATLAB（ 2 ） senddata to matlab ，并對變量矩陣變量進(jìn)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(jìn)行命名)文案大全實(shí)用標(biāo)準(zhǔn)（空間權(quán)重進(jìn)行命名）（3 ）導(dǎo)入 MATLAB中的兩個矩陣變量就可以看見

2、4. 將 elhorst和 jplv7兩個程序文件夾復(fù)制到MATLAB安裝目錄的 toolbox文件夾文案大全實(shí)用標(biāo)準(zhǔn)5. 設(shè)置路徑：6. 輸入程序，得出結(jié)果文案大全實(shí)用標(biāo)準(zhǔn)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,vname

3、s,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,xconstantx);%(Robust)LM tests解釋文案大全實(shí)用標(biāo)準(zhǔn)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

4、 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 為描述矩陣的大小） 。附錄：靜態(tài)面板空間計量經(jīng)濟(jì)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);文案大全實(shí)用標(biāo)準(zhǔn)xconstant=ones(N*T,1);nobs K=size(x);results=

5、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(re

6、sults,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,文案大全實(shí)用標(biāo)準(zhǔn)T,model);results=ols(ywith,xwith);vnames=strvcat('logcit','logp

7、','logy'); % should be changed if x is changedprt_reg(results,vnames);sfe=meanny-meannx*results.beta; % including the constanttermyme = 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 incl

8、uding fixed effects sige=results.sige*(nobs-K)/nobs); logliksfe=-nobs/2*log(2*pi*sige)-1/(2*sige)*results.resid'*resu lts.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);文案大全實(shí)用標(biāo)準(zhǔn)y=A(:,3);x=A(:,4,6);xconstant=ones(N*T,1);no

9、bs 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 constanttermyme = y -

10、 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 effects sige=results.sige*(nobs-K)/nobs); logliktfe=-nobs/2*log(2*pi*sige)-1/(2*sige)*results.resid'*resu lts.resid文案大全實(shí)用標(biāo)準(zhǔn)LMsarsem_pan

11、el(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'); % sh

12、ould 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);文案大全實(shí)用標(biāo)準(zhǔn)yme = y - mean(y);ent=ones(N*T,1);error=y-kron(tfe,en)-kron(et,sfe)-x*res

13、ults.beta-kron(ent,intercept);rsqr1 = error'*error;rsqr2 = yme'*yme;FE_rsqr2 = 1.0 - rsqr1/rsqr2 % r-squared including fixed effects sige=results.sige*(nobs-K)/nobs); loglikstfe=-nobs/2*log(2*pi*sige)-1/(2*sige)*results.resid'*res ults.residLMsarsem_panel(results,W,ywith,xwith); % (Robus

14、t) 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,:);文案大全實(shí)用標(biāo)準(zhǔn)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('logci

15、t','intercept','logp','logy');prt_spnew(results,vnames,1)% Print out effects estimates spat_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=

16、1:Tt1=(t-1)*N+1;t2=t*N;文案大全實(shí)用標(biāo)準(zhǔn)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 estimates spat_model=0

17、;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sar(results,vnames,W);3、時點(diǎn)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文案大全實(shí)用標(biāo)準(zhǔn)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

18、 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_est

19、imates(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);文案大全實(shí)用標(biāo)準(zhǔn)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);info.lflag=0;% required for exact resultsinf

20、o.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 estimates spat_model=0;direct_indirect_effects_estimates(results,W

21、,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);文案大全實(shí)用標(biāo)準(zhǔn)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);info.lflag=0;info.model=0;info.fe=0;results=sar_panel_FE(y,xconstan

22、t x wx,W,T,info);vnames=strvcat('logcit','intercept','logp','logy','W*logp','W*logy');prt_spnew(results,vnames,1)% Print out effects estimates spat_model=1;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sdm(results,vnames,W);2、空間

23、固定效應(yīng)（ Spatial fixed effects）T=30;N=46;W=normw(W1);文案大全實(shí)用標(biāo)準(zhǔn)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);info.lflag=0;% required for exact resultsinfo.model=1;info.fe=0;% Do not print intercept and fixed effects; use info.fe=1 to tur

24、n 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 estimates spat_model=1;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sdm(results,vnames,W

25、);3、時點(diǎn)固定效應(yīng)（ Time period fixed effects）T=30;N=46;W=normw(W1);文案大全實(shí)用標(biāo)準(zhǔn)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);info.lflag=0;% required for exact resultsinfo.model=2;info.fe=0;% Do not print intercept and fixed effects; use info.f

26、e=1 to turn on% New routines to calculate effects estimates results=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;di

27、rect_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;文案大全實(shí)用標(biāo)準(zhǔn)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);info.bc=0;info.lflag

28、=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 eff

29、ects estimates spat_model=1;direct_indirect_effects_estimates(results,W,spat_model); panel_effects_sdm(results,vnames,W)文案大全實(shí)用標(biāo)準(zhǔn)wald test spatial lag% Wald test for spatial Durbin model against spatial lag model btemp=results.parm;varcov=results.cov;Rafg=zeros(K,2*K+2);for k=1:KRafg(k,K+k)=1;% R(1,3

30、)=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 model R=zeros(K,1);for k=1:KR(k)=btemp(2*K+1)*btemp(k)+btemp(K+k);% k changed in

31、1, 7/12/2010% R(1)=btemp(5)*btemp(1)+btemp(3);% R(2)=btemp(5)*btemp(2)+btemp(4);end Rafg=zeros(K,2*K+2); for k=1:KRafg(k,k)=btemp(2*K+1);% k changed in 1, 7/12/2010文案大全實(shí)用標(biāo)準(zhǔn)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

32、,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_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 errorresults

33、sem=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(jī)效應(yīng)與時點(diǎn)固定效應(yīng)模型T=30;N=46;W=normw(W1);文案大全實(shí)用標(biāo)準(zhǔn)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);ywith,xwit

34、h,meanny,meannx,meanty,meantx=demean(y,x wx,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_estimates(results,W,spat_model);panel_effects_sdm(results,vnames,W)wald test spatial lagbtemp=results.parm(1:2*K+2

35、);varcov=results.cov(1:2*K+2,1:2*K+2);文案大全實(shí)用標(biāo)準(zhǔn)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*btempprob_spatial_lag= 1-chis_cdf (Wald_spatial_lag, K)wald test spatial errorR=zeros(K,1);for k=1:KR(k)=btemp(2*K+1)

36、*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)=btemp(5);Rafg(1,3)=1;Rafg(1,5)=btemp(1);% Rafg(2,2)=bte

37、mp(5);Rafg(2,4)=1;Rafg(2,5)=btemp(2);end文案大全實(shí)用標(biāo)準(zhǔn)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

38、 (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:Tt1=(t-1)*N+1;t2=t*N

39、;文案大全實(shí)用標(biāo)準(zhǔn)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 estimates spat_

40、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;文案大全實(shí)用標(biāo)準(zhǔn)wx(t1:t2,:)=W*x(t1:t2,:);endxconstant=ones(N*T,1);nobs K=size(x);info.lflag=0;info.model=

41、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 estimates spat_model=0;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sar(results,vnames,W);3、時點(diǎn)固定效應(yīng)（ Time period fixed

42、 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;文案大全實(shí)用標(biāo)準(zhǔn)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_pan

43、el_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=4

44、6;W=normw(W1);y=A(:,3);x=A(:,4,6);for t=1:Tt1=(t-1)*N+1;t2=t*N;文案大全實(shí)用標(biāo)準(zhǔn)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 estimates spat_model=0;direct_indirect_eff