发布时间 : 星期日 文章六步学会用MATLAB做空间计量回归详细步骤更新完毕开始阅读611c1494d4bbfd0a79563c1ec5da50e2534dd163
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,:); end
xconstant=ones(N*T,1); [nobs K]=size(x);
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
results=sar_panel_FE(y,x,W,T,info); vnames=strvcat('logcit','logp','logy'); prt_spnew(results,vnames,1) % Print out effects estimates spat_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:T
t1=(t-1)*N+1;t2=t*N; wx(t1:t2,:)=W*x(t1:t2,:); end
xconstant=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)
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% Print out effects estimates spat_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 t=1:T
t1=(t-1)*N+1;t2=t*N; wx(t1:t2,:)=W*x(t1:t2,:); end
xconstant=ones(N*T,1); [nobs K]=size(x);
info.lflag=0; % required for exact results info.model=1;
info.fe=0; % Do not print intercept and fixed effects; use info.fe=1 to turn on
results=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 estimates spat_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:T
t1=(t-1)*N+1;t2=t*N; wx(t1:t2,:)=W*x(t1:t2,:); end
xconstant=ones(N*T,1); [nobs K]=size(x);
info.lflag=0; % required for exact results info.model=2;
info.fe=0; % Do not print intercept and fixed effects; use info.fe=1 to
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turn on
% New routines to calculate effects estimates results=sar_panel_FE(y,[x wx],W,T,info);
vnames=strvcat('logcit','logp','logy','W*logp','W*logy'); % Print out coefficient estimates prt_spnew(results,vnames,1) % Print out effects estimates spat_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:T
t1=(t-1)*N+1;t2=t*N; wx(t1:t2,:)=W*x(t1:t2,:); end
xconstant=ones(N*T,1); [nobs K]=size(x); 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
results=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 estimates spat_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 model btemp=results.parm; varcov=results.cov; Rafg=zeros(K,2*K+2); for k=1:K
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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)
wald test spatial error
% 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)
LR test spatial lag
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)
LR test spatial error
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)
5、空间随机效应与时点固定效应模型
T=30;
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