六步學會用MATLAB做空間計量回歸詳細步驟

1、六步學會用matlab做空間計量回歸詳細步驟與matlab鏈接：excel：選項加載項com加載項轉到沒有勾選項 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中的數據：）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：選取變量為數值，不包括各變量）(data表中數據進行命名)（空間權重進行命名）（3） 導入matlab中的兩個矩陣變量就可以看見4.將elhorst和jplv7兩個程序

2、文件夾復制到matlab安裝目錄的toolbox文件夾5.設置路徑：6.輸入程序，得出結果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=-nob

3、s/2*log(2*pi*sige)-1/(2*sige)*'*% 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：該面板數據的時期數為30（t=30），該面板數據有30個地區(qū)（n=30），將空間權重矩陣標準化（w=normw(w1)），將名為a（以矩陣形式出現(xiàn)在matlaba中）的變量的第3列數據定義為被解釋變量y,將名為a的變量的第4、5、6列數據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

4、名為：xconstant，（ones即為全1矩陣）說明解釋變量矩陣x的大小：有nobs行，k列。（size為描述矩陣的大小）。附錄：靜態(tài)面板空間計量經濟學一、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(re

5、sults,vnames,1);sige=*(nobs-k)/nobs);loglikols=-nobs/2*log(2*pi*sige)-1/(2*sige)*'*% 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=s

6、ize(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*; % including the constant termyme = y - mean(y);et=ones(

7、t,1);error=y-kron(et,sfe)-x*;rsqr1 = error'*error;rsqr2 = yme'*yme;fe_rsqr2 = - rsqr1/rsqr2 % r-squared including fixed effectssige=*(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）

8、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

9、);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'*yme;fe_rsqr2 = - rsqr1/rsqr2 % r-squared including fixed effectssige=*(nobs-k)/nobs);logliktfe=-nobs/2*log(2*pi*sige)-1/(2*sige)*'*lmsarsem_panel(re

10、sults,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

11、ould be changed if x is changedprt_reg(results,vnames)en=ones(n,1);et=ones(t,1);intercept=mean(y)-mean(x)*; sfe=meanny-meannx*(en,intercept);tfe=meanty-meantx*(et,intercept);yme = y - mean(y);ent=ones(n*t,1);error=y-kron(tfe,en)-kron(et,sfe)-x*(ent,intercept);rsqr1 = error'*error;rsqr2 = yme'

12、;*yme;fe_rsqr2 = - rsqr1/rsqr2 % r-squared including fixed effectssige=*(nobs-k)/nobs);loglikstfe=-nobs/2*log(2*pi*sige)-1/(2*sige)*'*lmsarsem_panel(results,w,ywith,xwith); % (robust) lm tests二、靜態(tài)面板sar模型1、無固定效應（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;

13、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');prt_spnew(results,vnames,1)% print out effects estimatesspat_model=0;direct_indirect_ef

14、fects_estimates(results,w,spat_model);panel_effects_sar(results,vnames,w);2、空間固定效應（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);=0;=1;=0; results=sar_panel_fe(y,x,w,t,info); vnames=s

15、trvcat('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（time period fixed effects）t=30; n=46; w=normw(w1);y=a(:,3);x=a(:,4,6); for

16、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);=0; % required for exact results=2;=0; % do not print intercept and fixed effects; use =1 to turn onresults=sar_panel_fe(y,x,w,t,info); vnames=strvcat('logcit','logp','logy');prt_spnew

17、(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（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,:);e

18、ndxconstant=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 onresults=sar_panel_fe(y,x,w,t,info); vnames=strvcat('logcit','logp','logy');prt_spnew(results,vnames,1)% print out effects estimatesspat_m

19、odel=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（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);=0; =0;=0; results=sar_p

20、anel_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(resu

21、lts,vnames,w);2、空間固定效應（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);=0; % required for exact results=1;=0; % do not print intercept and fixed effects; use =1 to turn onresults=sar_pa

22、nel_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（time per

23、iod 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);=0; % required for exact results=2;=0; % do not print intercept and fixed effects; use =1 to turn on% new routines to calculate effects estim

24、atesresults=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);pa

25、nel_effects_sdm(results,vnames,w)4、雙固定效應（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);=0;=0; % required for exact results=3;=0; % do not print intercept and fixed eff

26、ects; 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)% print out effects estimatesspat_model=1;direct_indirect_effects_estimates(results,w,spat_model);panel_effects_sd

27、m(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: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_spati

28、al_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(

29、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 spa

30、tial 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、空間隨機效應與時點固定效應模型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:t

31、2,:);endxconstant=ones(n*t,1);nobs k=size(x);ywith,xwith,meanny,meannx,meanty,meantx=demean(y,x wx,n,t,2); % 2=time dummies=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

32、)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: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=

33、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

34、(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* (lr_spatial_lag,k) lr test sp

35、atial 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（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);=0; =0;=0; result

36、s=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（spatial

37、 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);=0;=1;=0; results=sem_panel_fe(y,x,w,t,info); vnames=strvcat('logcit','logp','logy');prt_spnew(results,vnames,1)% print

38、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（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

39、);=0; % required for exact results=2;=0; % do not print intercept and fixed effects; use =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_estima

40、tes(results,w,spat_model);panel_effects_sar(results,vnames,w);4、雙固定效應（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);=0; % required for exact results=3;=0; % do not pri

41、nt intercept and fixed effects; use =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,v

42、names,w);五、靜態(tài)面板sdem模型1、無固定效應（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);=0; =0;=0; results=sem_panel_fe(y,xconstant x wx,w,t,info); vnames=strvcat('logcit','intercept',&

43、#39;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（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);=0; % required for exact results=1;=0; % do not print intercept and fixed effects; use =1 to turn onresults=sem_panel_fe(y,x wx,w,t,info); vnames=strvcat('logcit',