matlab中distor,基于MATLAB的spatial panel model 程序阅读与学习。

% ----------------------------------------------------------------------------------------

% Spatial and time period fixed effects + spatially lagged dependent variable + spatially

% independent variables

% No bias correction

info.bc=0;

info.lflag=0; % required for exact results

info.model=3;

info.fe=0; % Do not print intercept and fixed effects; use info.fe=1 to turn on

% New routines to calculate effects estimates

results=sar_panel_FE(y,[x wx],W,T,info);

vnames=char('logcit','logp','logy','W*logp','W*logy');

% Print out coefficient estimates

prt_sp(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 for spatial Durbin model against spatial lag model

btemp=results.parm;

varcov=results.cov;

Rafg=zeros(K,2*K+2);

for k=1:K

Rafg(k,K+k)=1; % R(1,3)=0 and R(2,4)=0;

end

Wald_spatial_lag=(Rafg*btemp)'*inv(Rafg*varcov*Rafg')*Rafg*btemp

prob_spatial_lag=1-chis_cdf (Wald_spatial_lag, K) % probability greater than 0.05 points to insignificance

% LR test spatial Durbin model against spatial lag model (requires

% estimation results of the spatial lag model to be available)

resultssar=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) % probability greater than 0.05 points to insignificance

% Wald test spatial Durbin model against spatial error model

R=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);

end

Rafg=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(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')*R

prob_spatial_error=1-chis_cdf (Wald_spatial_error,K) % probability greater than 0.05 points to insignificance

% LR test spatial Durbin model against spatial error model (requires

% estimation results of the spatial error model to be available

resultssem=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) % probability greater than 0.05 points to insignificance

% ----------------------------------------------------------------------------------------

% Spatial and time period fixed effects + spatially lagged dependent variable + spatially

% independent variables

info.lflag=0; % required for exact results

info.model=3;

info.fe=0; % Do not print intercept and fixed effects; use info.fe=1 to turn on

info.bc=1;

% New routines to calculate effects estimates

results=sar_panel_FE(y,[x wx],W,T,info);

vnames=char('logcit','logp','logy','W*logp','W*logy');

% Print out coefficient estimates

prt_sp(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 for spatial lag model

btemp=results.parm;

varcov=results.cov;

Rafg=zeros(K,2*K+2);

for k=1:K

Rafg(k,K+k)=1; % R(1,3)=0 and R(2,4)=0;

end

Wald_spatial_lag=(Rafg*btemp)'*inv(Rafg*varcov*Rafg')*Rafg*btemp

prob_spatial_lag= 1-chis_cdf (Wald_spatial_lag, K) % probability greater than 0.05 points to insignificance

% LR test spatial Durbin model against spatial lag model (requires

% estimation results of the spatial lag model to be available)

resultssar=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) % probability greater than 0.05 points to insignificance

% Wald test for spatial error model

R=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);

end

Rafg=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(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')*R

prob_spatial_error= 1-chis_cdf (Wald_spatial_error,K) % probability greater than 0.05 points to insignificance

% LR test spatial Durbin model against spatial error model (requires

% estimation results of the spatial error model to be available

resultssem=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) % probability greater than 0.05 points to insignificance

% needed for Hausman test later on

logliklag=results.lik;

blagfe=results.parm(1:end-1);

covblagfe=results.cov(1:end-1,1:end-1);

%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%% random effects estimator by ML %%%%%%%%%%%%%%%%%%%%%%%%%%%%%%%

%

% Spatial random effects and time period fixed effects + spatially lagged dependent variable + spatially

% independent variables

[ywith,xwith,meanny,meannx,meanty,meantx]=demean(y,[x wx],N,T,2); % 2=time dummies

info.model=1;

results=sar_panel_RE(ywith,xwith,W,T,info);

prt_sp(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 for spatial lag model

btemp=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:K

Rafg(k,K+k)=1; % R(1,3)=0 and R(2,4)=0;

end

Wald_spatial_lag=(Rafg*btemp)'*inv(Rafg*varcov*Rafg')*Rafg*btemp

prob_spatial_lag= 1-chis_cdf (Wald_spatial_lag, K) % probability greater than 0.05 points to insignificance

% Wald test for spatial error model

R=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);

end

Rafg=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(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')*R

prob_spatial_error= 1-chis_cdf (Wald_spatial_error,K) % probability greater than 0.05 points to insignificance

% needed for Hausman test later on

logliklagre=results.lik;

blagre=results.parm(1:end-2);

covblagre=results.cov(1:end-2,1:end-2);

% ----------------------------------------------------------------------------------------

% Hausman test FE versus RE

hausman=(blagfe-blagre)'*inv(covblagre-covblagfe)*(blagfe-blagre);

dof=length(blagfe);

probability=1-chis_prb(abs(hausman),dof);

% Note: probability < 0.025 implies rejection of random effects model in favor of fixed effects model

% Use 0.025, since it is a one-sided test

fprintf(1,'Hausman test-statistic, degrees of freedom and probability = %9.4f,%6d,%9.4f \n',abs(hausman),dof,probability);