MATLAB空间计量模型详细步骤.docx
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MATLAB空间计量模型详细步骤.docx
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MATLAB空间计量模型详细步骤
I.excel与MATLAB链接:
Excel:
选项一一加载项一一COM加载项一一转到一一没有勾选项
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2.MATLAB^装目录中寻找toolbox——exlink——点击,启
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女量数扌臂权重数据
曲怕wlISheet3
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
幡亠\
Exj
4.将elhorst和jplv7两个程序文件夹复制到MATLAB安装目
录的toolbox文件夹
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6.输入程序,得出结果
»1=30;
N=40;
W=norjiiv(Wl):
y=A(:
j3);
[4,6]);
xcons-tant=arLee1):
心[nobsE]=siz&(x);
T=30;
N=46;
W=norm(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二-nobs/2*log(2*pi*sige)-1/(2*sige)*results.resid'*results.resid
%The(robust)LMtestsdevelopedbyElhorst
LMsarsem_panel(results,W,y,[xconstantx]);%(Robust)LMtests
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)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);
[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/2*log(2*pi*sige)-1/(2*sige)*results.resid'*results.resid%The(robust)LMtestsdevelopedbyElhorstLMsarsem_panel(results,W,y,[xconstantx]);%(Robust)LMtests
2、空间固定OLS(spatial-fixedeffects)
T=30;
N=46;
W=normw(W1);
y=A(:
3);
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');%shouldbechangedifxischanged
prt_reg(results,vnames);
sfe=meanny-meannx*results.beta;%includingtheconstanttermyme=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(results,W,ywith,xwith);%(Robust)LMtests
3、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');%shouldbechangedifxischanged
prt_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)/nobs);
logliktfe=-nobs/2*log(2*pi*sige)-1/(2*sige)*results.resid'*results.residLMsarsem_panel(results,W,ywith,xwith);%(Robust)LMtests
4、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);
[nobsK]=size(x);
model=3;
[ywith,xwith,meanny,meannx,meanty,meantx]二demean(y,x,N,T,model
);
results=ols(ywith,xwith);
vnames二strvcat('logcit','logp','logy');%shouldbechangedifxis
changed
prt_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,intercept);
rsqrl=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.resid'*results.residLMsarsem_panel(results,W,ywith,xwith);%(Robust)LMtests
、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:
T
t1=(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,[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=46;
W=normw(W1);y=A(:
[3]);
x=A(:
[4,6]);
fort=1:
T
t1=(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)
%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:
T
t1=(t-1)*N+1;t2=t*N;wx(t1:
t2,:
)=W*x(t1:
t2,:
);
end
xconstant=ones(N*T,1);
[nobsK]=size(x);
info.lflag=0;%requiredforexactresults
info.model=2;
info.fe=0;%Donotprintinterceptandfixedeffects;useinfo.fe=1
toturnon
results=sar_panel_FE(y,x,W,T,info);vnames=strvcat('logcit','logp','logy');prt_spnew(results,vnames,1)
%Printouteffectsestimatesspat_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:
T
t1=(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;%requiredforexactresults
info.model=3;
info.fe=0;%Donotprintinterceptandfixedeffects;useinfo.fe=1
toturnon
results=sar_panel_FE(y,x,W,T,info);vnames=strvcat('logcit','logp','logy');prt_spnew(results,vnames,1)
%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、无固定效应(Nofixedeffects)
T=30;
N=46;
W=normw(W1);
y=A(:
[3]);
x=A(:
[4,6]);
fort=1:
T
t1=(t-1)*N+1;t2=t*N;
wx(t1:
t2,:
)=W*x(t1:
t2,:
);
end
xconstant=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);
'W*logy');
vnames=strvcat('logcit','intercept','logp','logy','W*logp'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:
T
t1=(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;%requiredforexactresults
info.model=1;
info.fe=0;%Donotprintinterceptandfixedeffects;useinfo.fe=1
toturnon
results=sar_panel_FE(y,[xwx],W,T,info);
vnames=strvcat('logcit','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);
3、时点固定效应(Timeperiodfixedeffects)
T=30;
N=46;
W=norm(W1);y=A(:
[3]);
x=A(:
[4,6]);
fort=1:
T
t1=(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;%requiredforexactresults
info.model=2;
info.fe=0;%Donotprintinterceptandfixedeffects;useinfo.fe=1
toturnon
%Newroutinestocalculateeffectsestimatesresults=sar_panel_FE(y,[xwx],W,T,info);
vnames=strvcat('logcit','logp','logy','W*logp',%Printoutcoefficientestimates
prt_spnew(results,vnames,1)
%Printouteffectsestimates
spat_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(:
[4,6]);
fort=1:
T
t1=(t-
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