《(最新整理)六步学会用MATLAB做空间计量回归详细步骤》由会员分享,可在线阅读,更多相关《(最新整理)六步学会用MATLAB做空间计量回归详细步骤(34页珍藏版)》请在人人文库网上搜索。
1、完整)六步学会用MATLAB做空间计量回归详细步骤(完整)六步学会用MATLAB做空间计量回归详细步骤编辑整理:尊敬的读者朋友们:这里是精品文档编辑中心,本文档内容是由我和我的同事精心编辑整理后发布的,发布之前我们对文中内容进行仔细校对,但是难免会有疏漏的地方,但是任然希望((完整)六步学会用MATLAB做空间计量回归详细步骤)的内容能够给您的工作和学习带来便利。同时也真诚的希望收到您的建议和反馈,这将是我们进步的源泉,前进的动力。本文可编辑可修改,如果觉得对您有帮助请收藏以便随时查阅,最后祝您生活愉快 业绩进步,以下为(完整)六步学会用MATLAB做空间计量回归详细步骤的全部内容。文案大全1。
2、。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。
3、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);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/2log(2pi*sige)1/(2sige)results.residresults。
4、。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NT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。
5、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((nobsK)/nobs);loglikols=-nobs/2*log(2*pi。
6、*sige)1/(2*sige)*results.residresults。resid% The (robust)LM tests developed by ElhorstLMsarsem_panel(results,W,y,xconstant x); % (Robust) LM tests2、空间固定OLS (spatialfixed effects)T=30; N=46; W=normw(W1); y=A(:,3); x=A(:,4,6); xconstant=ones(NT,1);nobs K=size(x);model=1;ywith,xwith,meanny,meannx,meant。
7、y,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-meannxresults.beta; including the constant termyme = y mean(y);et=ones(T,1);error=ykron(et,sfe)-x*results。beta;rsqr1 = error*error;rsqr2 = y。
8、me*yme;FE_rsqr2 = 1。0 - rsqr1/rsqr2 r-squared including fixed effectssige=results。sige*(nobsK)/nobs);logliksfe=-nobs/2*log(2*pisige)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; W=normw(W1); y=A(:,3); x=。
9、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-meantxresults。beta; % including the constant termyme =。
10、 y mean(y);en=ones(N,1);error=y-kron(tfe,en)-xresults.beta;rsqr1 = error*error;rsqr2 = yme*yme;FE_rsqr2 = 1.0 - rsqr1/rsqr2 % r-squared including fixed effectssige=results。sige((nobsK)/nobs);logliktfe=-nobs/2*log(2pisige)1/(2sige)results.residresults.residLMsarsem_panel(results,W,ywith,xwith); (Robu。
11、st) 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 is changedprt_reg(results,vnames)en=ones。
12、(N,1);et=ones(T,1);intercept=mean(y)-mean(x)results。beta; sfe=meannymeannxresults。betakron(en,intercept);tfe=meanty-meantx*results。beta-kron(et,intercept);yme = y mean(y);ent=ones(NT,1);error=y-kron(tfe,en)kron(et,sfe)-xresults.beta-kron(ent,intercept);rsqr1 = errorerror;rsqr2 = ymeyme;FE_rsqr2 = 1。。
13、0 - rsqr1/rsqr2 r-squared including fixed effectssige=results。sige*(nobsK)/nobs);loglikstfe=nobs/2*log(2*pisige)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); for t=1:Tt1=。
14、(t1)N+1;t2=t*N;wx(t1:t2,:)=Wx(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)% Print out effects estimatesspat_model=0;direct_indirect_effects_e。
15、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); for t=1:Tt1=(t1)N+1;t2=tN;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,。
16、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)T=30; N=46; W=normw(W1);y=A(:,3);x=A(:,4,6); for t=1:Tt1=(t1)*N+。
17、1;t2=tN;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,T,info); vnames=strvcat(logcit,logp,logy);prt_spnew(results,vnames。
18、,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=1:Tt1=(t1)N+1;t2=tN;wx(t1:t2,:)=Wx(t1:t2,:);endxconstant=ones(NT,1)。
19、;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_spnew(results,vnames,1)% Print out effects estimatesspat_model=0;direct_indirect_。
20、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=(t1)*N+1;t2=tN;wx(t1:t2,:)=Wx(t1:t2,:);endxconstant=ones(N*T,1);nobs K=size(x);info。lflag=0; info.model=0;info。fe=0; results=sar_pa。
21、nel_FE(y,xconstant x wx,W,T,info); vnames=strvcat(logcit,intercept,logp,logy,W*logp,Wlogy);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、空间固定效应(Spatial fixed effects)T=30; N=46; W=nor。
22、mw(W1);y=A(:,3);x=A(:,4,6); for t=1:Tt1=(t-1)N+1;t2=tN;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 turn onresults=sar_panel_FE(y,x wx,W,T,info); vnames=strv。
23、cat(logcit,logp,logy,W*logp,Wlogy);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 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=。
24、tN;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 routines to calculate effects estimatesresults=sar_panel_FE(y,x wx,W,T,info); vnames=strvcat。
25、(logcit,logp,logy,W*logp,Wlogy);% 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(results,vnames,W)4、双固定效应(Spatial and time period fixed effects)T=30; N=46; W=normw(W1);y=A(:。
26、,3);x=A(:,4,6); for t=1:Tt1=(t-1)*N+1;t2=tN;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=1 to turn onresults=sar_panel_FE(y,x wx,W,T,info); vnames=str。
27、vcat(logcit,logp,logy,W*logp,Wlogy);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 spatial lag% Wald test for spatial Durbin model against spatial lag modelbtemp=results。parm;var。
28、cov=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=(Rafgbtemp)*inv(Rafgvarcov*Rafg)Rafg*btempprob_spatial_lag=1chis_cdf (Wald_spatial_lag, K)wald test spatial error Wald test spatial Durbin model against spatial error modelR=zeros(K,1);for k=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);for k=1:KRafg(k,k) =btemp(2K+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);。
30、 Rafg(2,2)=btemp(5);Rafg(2,4)=1;Rafg(2,5)=btemp(2);end Wald_spatial_error=R*inv(Rafg*varcovRafg)*Rprob_spatial_error=1chis_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=1chis_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T=30; N=46; W=normw(W1);y=A(:,3);x=A(:,4,6); for t=1:Tt1=(t1)*N+1;t2=tN;wx(t1:t2,:)=W*x(t1:t2,:);endxconstant=ones(N*T,1);nobs。
32、 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 lagbt。
33、emp=results.parm(1:2*K+2);varcov=results。cov(1:2K+2,1:2K+2);Rafg=zeros(K,2K+2);for k=1:KRafg(k,K+k)=1; % R(1,3)=0 and R(2,4)=0;endWald_spatial_lag=(Rafgbtemp)*inv(Rafg*varcov*Rafg)Rafgbtempprob_spatial_lag= 1-chis_cdf (Wald_spatial_lag, K) wald test spatial errorR=zeros(K,1);for k=1:KR(k)=btemp(2K+1。
34、)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)=。
35、btemp(5);Rafg(2,4)=1;Rafg(2,5)=btemp(2);end Wald_spatial_error=Rinv(Rafgvarcov*Rafg)Rprob_spatial_error= 1chis_cdf (Wald_spatial_error,K) LR test spatial lagresultssar=sar_panel_RE(ywith,xwith(:,1:K),W,T,info); LR_spatial_lag=-2(resultssar。likresults。lik)prob_spatial_lag=1-chis_cdf (LR_spatial_lag,K。
36、) 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); for t=1:Tt1=(t1)N+1;t2=tN;wx(t1:t2,:)=W*x(t1。
37、:t2,:);endxconstant=ones(NT,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 estimatesspat_model=0;direct_indirect_effects_estimates(results,W,spat_model);pan。
38、el_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,:)=Wx(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,info); vnames=strvcat(logcit,log。
39、p,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)T=30; N=46; W=normw(W1);y=A(:,3);x=A(:,4,6); for t=1:Tt1=(t1)N+1;t2=t*N;wx(t1:t2,:)=W*x(t1:t2,:)。
40、;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_panel_FE(y,x,W,T,info); vnames=strvcat(logcit,logp,logy);prt_spnew(results,vnames,1) Print out effects estimatesspat_。
41、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=1:Tt1=(t1)*N+1;t2=t*N;wx(t1:t2,:)=Wx(t1:t2,:);endxconstant=ones(N*T,1);nobs K=size(x);info.lflag=0; % r。
42、equired 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 estimatesspat_model=0;direct_indirect_effects_estimates(results,W,spat。
43、_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=(t1)N+1;t2=tN;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,inf。
44、o); vnames=strvcat(logcit,intercept,logp,logy,W*logp,Wlogy);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、空间固定效应(Spatial fixed effects)T=30; N=46; W=normw(W1);y=A(:,3);x=A(:,4,6); for。
45、 t=1:Tt1=(t1)*N+1;t2=tN;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 turn onresults=sem_panel_FE(y,x wx,W,T,info); vnames=strvcat(logcit,logp,logy,Wlogp,W*lo。
46、gy);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 period fixed effects)T=30; N=46; W=normw(W1);y=A(:,3);x=A(:,4,6); for t=1:Tt1=(t1)N+1;t2=t*N;wx(t1:t2,:)=Wx(t1:t2,:);endxc。
47、onstant=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 routines to calculate effects estimatesresults=sem_panel_FE(y,x wx,W,T,info); vnames=strvcat(logcit,logp,logy,Wlogp,Wlogy);% Pri。
48、nt out coefficient estimatesprt_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); for t=1:Tt1=(t1)*N+1;。
49、t2=tN;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=1 to turn onresults=sem_panel_FE(y,x wx,W,T,info); vnames=strvcat(logcit,logp,logy,W*logp,Wlogy);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。