六步学会用MATLAB做空间计量回归详细步骤

1、如文档对你有用，请下载支持！1. excel与MATLA利接：Excel：选项加载项COM加载项转到没有勾选项2. MATLA联装目录中寻找toolboxexlink点击，启用宏E:MATLABtoolboxexlink然后，Excel中就出现MATLAB工具（注意Excel中的数据：）3. 启动matlab（1）点击startMATLAB（2） 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）（3）导入MATLAB中的两个矩阵变量就可以看见4 .将elhorst和jplv7两个程序文件夹复制到MA

2、TLAB安装目录的toolbox文件夹5 .设置路径：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);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

3、/2*log(2*pi*sige)-1/(2*sige)*results.resid'*results.resid%The(robust)LMtestsdevelopedbyElhorstLMsarsem_panel(results,W,y,xconstantx);%(Robust)LMtests解释如文档对你有用，请下载支持！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,将名为A的变量的第4、5、6列数据定义为解释

4、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歹U。（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);xconstant=ones(N*T,1);nobsK=size(x);results=ols(y,xconstantx);vnames=strvcat('logcit','intercept','logp','

5、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)LMtestsdevelopedbyElhorstLMsarsem_panel(results,W,y,xconstantx);%(Robust)LMtests2、空间固定OLS(spatial-fixedeffects)T=30;N=46;W=normw(W1);y=A(:,3);

6、x=A(:,4,6);xconstant=ones(N*T,1);nobsK=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');%shouldbechangedifxischangedprt_reg(results,vnames);sfe=meanny-meannx*results.beta;%includingth

7、econstanttermyme=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-squaredincludingfixedeffectssige=results.sige*(nobs-K)/nobs);logliksfe=-nobs/2*log(2*pi*sige)-1/(2*sige)*results.resid'*results.residLMsarsem_panel(res

8、ults,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);model=2;ywith,xwith,meanny,meannx,meanty,meantx=demean(y,x,N,T,model);results=ols(ywith,xwith);vnames=strvcat('logcit','logp','logy&

9、#39;);%shouldbechangedifxischangedprt_reg(results,vnames);tfe=meanty-meantx*results.beta;%includingtheconstanttermyme=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-squaredincludingfixedeffectssige=results.sige*(nobs-K)

10、/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);如文档对你有用，请下载支持！x=A(：,4,6);xconstant=ones(N*T,1);nobsK=size(x);model=3;ywith,xwith,meanny,meannx,meanty,meantx=demean(y,x,

11、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*results.beta-kron(en,intercept);tfe=meanty-meantx*results.beta-kron

12、(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-squaredincludingfixedeffectssige=results.sige*(nobs-K)/nobs);loglikstfe=-nobs/2*log(2*pi*sige)-1/(2*sige)*results.res

13、id'*results.residLMsarsem_panel(results,W,ywith,xwith);%(Robust)LMtests二、静态面板SAR模型1、无固定效应(Nofixedeffects)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;info.model=0;info.fe=0;results=sar_panel_FE(

14、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=30;N=4

15、6;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;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

16、ctsestimatesspat_model=0;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sar(results,vnames,W);3、时点固定效应(Timeperiodfixedeffects)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;%req

17、uiredforexactresultsinfo.model=2;info.fe=0;%Donotprintinterceptandfixedeffects;useinfo.fe=1toturnonresults=sar_panel_FE(y,x,W,T,info);如文档对你有用，请下载支持！vnames=strvcat('logcit','logp','logy');prt_spnew(results,vnames,1)%Printouteffectsestimatesspat_model=0;direct_indirect_effects_

18、estimates(results,W,spat_model);panel_effects_sar(results,vnames,W);4、双固定效应(Spatialandtimeperiodfixedeffects)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;%requiredforexactresultsinfo.model=3;info.fe

19、=0;%Donotprintinterceptandfixedeffects;useinfo.fe=1toturnonresults=sar_panel_FE(y,x,W,T,info);vnames=strvcat('logcit','logp','logy');%Printouteffectsestimatesspat_model=0;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sar(results,vnames,W);三、静态面板SDM模型1、

20、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: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

21、9;,'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:Tt1=(t-1)*N+

22、1;t2=t*N;wx(t1:t2,:)=W*x(t1:t2,:);endxconstant=ones(N*T,1);nobsK=size(x);info.lflag=0;%requiredforexactresultsinfo.model=1;info.fe=0;%Donotprintinterceptandfixedeffects;useinfo.fe=1toturnonresults=sar_panel_FE(y,xwx,W,T,info);vnames=strvcat('logcit','logp','logy','W*logp&

23、#39;,'W*logy');prt_spnew(results,vnames,1)%Printouteffectsestimatesspat_model=1;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sdm(results,vnames,W);3、时点固定效应(Timeperiodfixedeffects)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

24、:t2,:);endxconstant=ones(N*T,1);nobsK=size(x);info.lflag=0;%requiredforexactresultsinfo.model=2;info.fe=0;%Donotprintinterceptandfixedeffects;useinfo.fe=1toturnon%Newroutinestocalculateeffectsestimatesresults=sar_panel_FE(y,xwx,W,T,info);vnames=strvcat('logcit','logp','logy',

25、'W*logp','W*logy');%Printoutcoefficientestimatesprt_spnew(results,vnames,1)%Printouteffectsestimatesspat_model=1;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sdm(results,vnames,W)4、双固定效应(Spatialandtimeperiodfixedeffects)T=30;N=46;W=normw(W1);y=A(:,3);x=A(:,4,

26、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;useinfo.fe=1toturnonresults=sar_panel_FE(y,xwx,W,T,info);vnames=strvcat('logcit','logp&

27、#39;,'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%WaldtestforspatialDurbinmodelagainstspatiallagmodelbtemp=results.parm;

28、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)waldtestspatialerror%WaldtestspatialDurbinmodelagainstspatialerrormodelR=zeros(K,1);fork=1:KR(k)

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

30、mp(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)LRtestspatiallagresultssar=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)LRtestspat

31、ialerrorresultssem=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=(t-1)*N+1;t2=t*N;wx(t1:t2,:)=W*x(t1:t2,:);endxconstant=ones(N*T,1);nobsK=size(x);ywith,

32、xwith,meanny,meannx,meanty,meantx=demean(y,xwx,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)waldtestspatiallagbtemp=results.parm(1:2*K+2);

33、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(Wald_spatial_lag,K)waldtestspatialerrorR=zeros(K,1);fork=1:KR(k)=btemp(2*K+1)*btemp(k)+btemp(K+k);

34、%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);%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(

35、2);endWald_spatial_error=R'*inv(Rafg*varcov*Rafg')*Rprob_spatial_error=1-chis_cdf(Wald_spatial_error,K)LRtestspatiallagresultssar=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)LRtestspatialerrorresultssem=

36、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(Nofixedeffects)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=s

37、ize(x);info.lflag=0;info.model=0;info.fe=0;results=sem_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_eff

38、ects_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+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','lo

39、gp','logy');prt_spnew(results,vnames,1)%Printouteffectsestimatesspat_model=0;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sar(results,vnames,W);3、时点固定效应(Timeperiodfixedeffects)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(t

40、1:t2,:);endxconstant=ones(N*T,1);nobsK=size(x);info.lflag=0;%requiredforexactresultsinfo.model=2;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)%Printouteff

41、ectsestimatesspat_model=0;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sar(results,vnames,W);4、双固定效应(Spatialandtimeperiodfixedeffects)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.lf

42、lag=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_indirect_effects_esti

43、mates(results,W,spat_model);panel_effects_sar(results,vnames,W);五、静态面板SDEM模型1、无固定效应(Nofixedeffects)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;info.model=0;info.fe=0;results=sem_panel_FE(y,xconstan

44、txwx,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: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=1;info.fe=0;%Donotprintinterceptandfixedeffects;useinfo.fe=1toturnonresults=sem_panel_FE(y,