六步学会用MATLAB做空间计量回归详细步骤

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toolbox——exlink——点击,启用宏

E:\\MATLAB\\toolbox\\exlink

然后，Excel中就出现MATLAB工具

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（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)

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（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toolbox文件夹

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5.设置路径：

6.输入程序，得出结果

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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/2*log(2*pi*sige)-1/(2*sige)*results.resid'*results.resid % The (robust)LM tests developed by Elhorst

LMsarsem_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）， 5

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); [nobs K]=size(x);

results=ols(y,[xconstant x]);

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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)LM tests developed by Elhorst

LMsarsem_panel(results,W,y,[xconstant x]); % (Robust) LM tests

2、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,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 changed

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prt_reg(results,vnames);

sfe=meanny-meannx*results.beta; % including the constant term yme = 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-squared including fixed effects sige=results.sige*((nobs-K)/nobs);

logliksfe=-nobs/2*log(2*pi*sige)-1/(2*sige)*results.resid'*results.resid

LMsarsem_panel(results,W,ywith,xwith); % (Robust) LM tests

3、时期固定OLS（time-period 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=2;

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[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 changed

prt_reg(results,vnames);

tfe=meanty-meantx*results.beta; % including the constant term yme = 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 effects sige=results.sige*((nobs-K)/nobs);

logliktfe=-nobs/2*log(2*pi*sige)-1/(2*sige)*results.resid'*results.resid

LMsarsem_panel(results,W,ywith,xwith); % (Robust) LM tests

4、空间与时间双固定模型 T=30; N=46;

W=normw(W1);

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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 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); rsqr1 = error'*error; rsqr2 = yme'*yme;

FE_rsqr2 = 1.0 - rsqr1/rsqr2 % r-squared including fixed effects

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sige=results.sige*((nobs-K)/nobs);

loglikstfe=-nobs/2*log(2*pi*sige)-1/(2*sige)*results.resid'*results.resid

LMsarsem_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: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],W,T,info); vnames=strvcat('logcit','intercept','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);

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

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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=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 estimates spat_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: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 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);

4、双固定效应（Spatial and time period fixed effects）

T=30;

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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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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);

[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_spnew(results,vnames,1)

spat_model=1;

direct_indirect_effects_estimates(results,W,spat_model); panel_effects_sdm(results,vnames,W)

wald test spatial lag

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)

wald test spatial error

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

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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_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 error

resultssem=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: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=sem_panel_FE(y,[xconstant x],W,T,info); vnames=strvcat('logcit','intercept','logp','logy'); prt_spnew(results,vnames,1)

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% Print out effects estimates spat_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: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=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 estimates spat_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: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 turn on

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results=sem_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);

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.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=sem_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);

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:T

t1=(t-1)*N+1;t2=t*N;

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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=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 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=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 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]);

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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 turn on

% New routines to calculate effects estimates results=sem_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=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 estimates spat_model=1;

direct_indirect_effects_estimates(results,W,spat_model);

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panel_effects_sdm(results,vnames,W)

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