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1、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4.将elhorst和jplv7两个程序文件夹复制到MATLAB安装目录的。

2、toolbox文件夹5.设置路径：6.输入程序，得出结果T=30; N=46; W=norm(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=results.sige*(nobs-K)/nobs);loglikols=-nobs/2*log(2*pi*sige)-1/(2*sige)*results.resid*re。

3、sults.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,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)。

4、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); 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=results.sige*(nobs-K)/nobs);loglikols=-nobs/。

5、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)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,meann。

6、y,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*results.beta; % including the constant termyme = y - mean(y);et=ones(T,1);error=y-kron(et,sfe)-x*results.beta;rsqr1 = e。

7、rror*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*results.residLMsarsem_panel(results,W,ywith,xwith); % (Robust) LM tests3、时期固定OLS(time-period fixed effects)T=30; N=46;。

8、 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);tfe=meanty-meantx*results.beta; % inclu。

9、ding 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 fixed effectssige=results.sige*(nobs-K)/nobs);logliktfe=-nobs/2*log(2*pi*sige)-1/(2*sige)*results.resid*results.residLMsarse。

10、m_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); 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); % should be changed if x。

11、 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);yme = y - mean(y);ent=ones(N*T,1);error=y-kron(tfe,en)-kron(et,sfe)-x*results.beta-kron(ent,intercep。

12、t);rsqr1 = error*error;rsqr2 = yme*yme;FE_rsqr2 = 1.0 - rsqr1/rsqr2 % r-squared including fixed effectssige=results.sige*(nobs-K)/nobs);loglikstfe=-nobs/2*log(2*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 effect。

13、s)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);info.lflag=0; info.model=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)% Pri。

14、nt out effects estimatesspat_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 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);i。

15、nfo.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 estimatesspat_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。

16、)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);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=sar_panel_FE(y,x,W。

17、,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、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); for t。

18、=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;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_spne。

19、w(results,vnames,1)% Print out effects estimatesspat_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、无固定效应(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。

20、=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,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);pan。

21、el_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); 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 fi。

22、xed 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 effects estimatesspat_model=1;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sdm(results,vnames,W);3、时点固定效应(Time pe。

23、riod fixed effects)T=30; N=46; W=norm(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.lflag=0; % required for exact resultsinfo.model=2;info.fe=0; % Do not print intercept and fixed effects; use info.fe=1 to turn on% New rou。

24、tines to calculate effects estimatesresults=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);panel_effects_sdm(re。

25、sults,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); 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=0; % required for exact resultsinfo.model=3;info.fe=0; % Do not print intercept。

26、 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 effects estimatesspat_model=1;direct_indirect_effects_estimates(results,W,spat_model);panel_effects_sdm(results,vnames,W)wald test 。

27、spatial lag% Wald test for spatial Durbin model against spatial lag modelbtemp=results.parm;varcov=results.cov;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 te。

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

29、 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);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_FE。

30、(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 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T=30; N=46; W=n。

31、ormw(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);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;d。

32、irect_indirect_effects_estimates(results,W,spat_model);panel_effects_sdm(results,vnames,W)wald test spatial lagbtemp=results.parm(1:2*K+2);varcov=results.cov(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)*Ra。

33、fg*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)*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 c。

34、hanged 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);end Wald_spatial_error=R*inv(Rafg*varcov*Rafg)*Rprob_spatial_error= 1-chis_cdf (Wald_spatial_error,K) LR test spatial lagresultssar=sar_。

35、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) 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_err。

36、or,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); 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=sem_panel_FE(y,xconstant x,W,T,info); vnames=strvcat(logcit,intercept,logp。

37、,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、空间固定效应(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,:);en。

38、dxconstant=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,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,vname。

39、s,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,:);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。

40、=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,vnames,W);4、双固定效应(Spatial and time period fixed effects)T=30; N=46;。

41、 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.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); vn。

42、ames=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);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); for t=1:Tt1=(t-1)*N+1;t2=t。

43、*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 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_eff。

44、ects_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); 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;in。

45、fo.fe=0; % Do not print intercept and fixed effects; use info.fe=1 to turn onresults=sem_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_effect。

46、s_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,:);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 e。

47、ffects; use info.fe=1 to turn on% New routines to calculate effects estimatesresults=sem_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(r。

48、esults,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); 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=0; % required for exact resultsinfo.mo。

49、del=3;info.fe=0; % Do not print intercept and fixed effects; use info.fe=1 to turn onresults=sem_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_sdm(results,vnames,W。