六步学会用MATLAB做空间计量回归详细步骤

1、实用标准文档1.excel与 MATLAB链接：Excel ：选项加载项COM 加载项转到没有勾选项2. MATLAB安装目录中寻找toolbox exlink点击 , 启用宏E:MATLABtoolboxexlink然后， Excel 中就出现MATLAB 工具（注意 Excel 中的数据：）文案大全实用标准文档3. 启动 matlab（ 1 ） 点击 start MATLAB（2 ）senddata to matlab，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）（3 ）导入 MATLAB 中的两个矩阵变量就可以看见文案

2、大全实用标准文档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5.设置路径：文案大全实用标准文档6.输入程序，得出结果T=30;N=46;W=normw(W1);y=A(:,3);x=A(:,4,6);xconstant=ones(N*T,1);nobs K=size(x);文案大全实用标准文档results=ols(y,xconstant x);vnames=strvcat(logcit,intercept,logp,logy);prt_reg(results,vnames,1);sige=results.sige*(nobs-K)

3、/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 列数据定义为被解释变量y

4、,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);文案大全实用标准文档xconstant=ones(N*T,1);nobs K=size(x);results=ols(y,xconstant x);vnames=strvcat

5、( 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、空间固定 OLS （spatial-fixed effects

6、 ）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);文案大全实用标准文档vnames=strvcat(logcit,logp,logy); % should be changed if x is changedprt_reg(results,vnames);sfe=meanny-meannx*res

7、ults.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*re

8、sults.residLMsarsem_panel(results,W,ywith,xwith); % (Robust) LM tests3、时期固定 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);文案大全实用标准文档model=2;ywith,xwith,meanny,meannx,meanty,meantx=demean(y,x,N,T,model);results=ols(ywith,xwith);vnames=st

9、rvcat(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 f

10、ixed effects sige=results.sige*(nobs-K)/nobs); logliktfe=-nobs/2*log(2*pi*sige)-1/(2*sige)*results.resid*results.resid LMsarsem_panel(results,W,ywith,xwith); % (Robust) LM tests4、空间与时间双固定模型T=30;N=46;W=normw(W1);文案大全实用标准文档y=A(:,3);x=A(:,4,6);xconstant=ones(N*T,1);nobs K=size(x);model=3;ywith,xwith,me

11、anny,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*re

12、sults.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 effects文案大全实用标准文档sige=results.sige*(nobs-K)/nobs);loglikstfe=-nobs/2*log(2

13、*pi*sige)-1/(2*sige)*results.resid*results.residLMsarsem_panel(results,W,ywith,xwith); % (Robust) LM tests二、静态面板 SAR 模型1、无固定效应（ No fixed effects）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);nobs K=size(x);info.lflag=0;info.mo

14、del=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 estimates spat_model=0;direct_indirect_effects_estimates(results,W,spat_model); panel_effects_sar(results,vnames,W);2、空间固定效应（ Spatial fixed

15、effects）T=30;N=46;W=normw(W1);y=A(:,3);x=A(:,4,6);fort=1:T文案大全实用标准文档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 ef

16、fects estimates spat_model=0;direct_indirect_effects_estimates(results,W,spat_model); panel_effects_sar(results,vnames,W);3、时点固定效应（ Time period fixed effects）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);nobs K=size(x);info.lf

17、lag=0;% required for exact resultsinfo.model=2;info.fe=0;% Do not print intercept and fixed effects; use info.fe=1to 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(res

18、ults,W,spat_model);panel_effects_sar(results,vnames,W);4、双固定效应（ Spatial and time period fixed effects）T=30;文案大全实用标准文档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);nobs K=size(x);info.lflag=0;% required for exact resultsinfo.model=3

19、;info.fe=0;% Do not print intercept and fixed effects; use info.fe=1to 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,spat_model); panel_effects_sar(results

20、,vnames,W);三、静态面板 SDM 模型1、无固定效应（ No fixed effects）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);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 , interc

21、ept , logp , logy , W*logp , W*logy ); prt_spnew(results,vnames,1)文案大全实用标准文档% Print out effects estimates spat_model=1;direct_indirect_effects_estimates(results,W,spat_model); panel_effects_sdm(results,vnames,W);2、空间固定效应（ Spatial fixed effects）T=30;N=46;W=normw(W1);y=A(:,3);x=A(:,4,6);fort=1:Tt1=(t-

22、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=1to turn onresults=sar_panel_FE(y,x wx,W,T,info);vnames=strvcat(logcit, logp, logy, W*logp, W*logy);p

23、rt_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);3、时点固定效应（ 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,:);endxco

24、nstant=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文案大全实用标准文档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

25、, W*logy);% Print out coefficient estimates 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、双固定效应（ Spatial and time period fixed effects）T=30;N=46;W=normw(W1);y=A(:,3);x=A(:,4,6);fort=1:

26、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=0;% required for exact resultsinfo.model=3;info.fe=0;% Do not print intercept and fixed effects; use info.fe=1to turn onresults=sar_panel_FE(y,x wx,W,T,info);vnames=strvcat(logcit, logp, logy,

27、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)wald test spatial lag% Wald test for spatial Durbin model against spatial lag modelbtemp=results.parm;varcov=results.cov;R

28、afg=zeros(K,2*K+2);fork=1:K文案大全实用标准文档Rafg(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 spatial error% Wald test spatial Durbin model against spatial error model R=zeros(K,1);fork=1:KR(k)=

29、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);fork=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);% Ra

30、fg(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_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

31、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、空间随机效应与时点固定效应模型文案大全实用标准文档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)

32、;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 l

33、agbtemp=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)=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 spatial errorR=zeros(K,1);fork=1:KR(k)=bte

34、mp(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);end Rafg=zeros(K,2*K+2);文案大全实用标准文档fork=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)=bte

35、mp(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)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_

36、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、静态面板 SEM 模型1、无固定效应（ No fixed effects）T=30;N=46;W=normw(W1);y=A(:,3);x=A(:,4,6);fort=1:Tt1=(t-1)*N+1;t2=t

37、*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);文案大全实用标准文档vnames=strvcat(logcit, intercept, logp, logy);prt_spnew(results,vnames,1)% Print out effects estimates spat_model=0;direct_indirect_effects_e

38、stimates(results,W,spat_model); panel_effects_sar(results,vnames,W);2、空间固定效应（ Spatial fixed effects）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);nobs K=size(x);info.lflag=0;info.model=1;info.fe=0;results=sem_panel_FE(y,x,W,T,

39、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、时点固定效应（ Time period fixed effects）T=30;N=46;W=normw(W1);y=A(:,3);x=A(:,4,6);fort=1:Tt1=(t-1)*N+

40、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;文案大全实用标准文档info.fe=0;% Do not print intercept and fixed effects; use info.fe=1to turn onresults=sem_panel_FE(y,x,W,T,info);vnames=strvcat(logcit, logp, logy);prt_spnew(resul

41、ts,vnames,1)% Print out effects estimates spat_model=0;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sar(results,vnames,W);4、双固定效应（ Spatial and time period fixed effects）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,:);endxconstan

42、t=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=1to 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;d

43、irect_indirect_effects_estimates(results,W,spat_model);panel_effects_sar(results,vnames,W);五、静态面板 SDEM 模型1、无固定效应（ No fixed effects）T=30;N=46;W=normw(W1);y=A(:,3);x=A(:,4,6);文案大全实用标准文档fort=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=

44、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 estimates spat_model=1;direct_indirect_effects_estimates(results,W,spat_model); panel_effects_sdm(results,vnames,W);2、空间固定效应（ Spatial fixed effects）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);nobs K=size(x);info.lflag=0;% required for exact resultsinfo.model=1;info.fe=0;% Do not print intercept and fixed effects; use