六步学会用做空间计量回归详细步骤

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

（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=*((nobs-K)/nobs);

loglikols=-nobs/2*log(2*pi*sige)-1/(2*sige)*'*

% 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：

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=*((nobs-K)/nobs);

loglikols=-nobs/2*log(2*pi*sige)-1/(2*sige)*'*

% 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

prt_reg(results,vnames);

sfe=meanny-meannx*; % including the constant term

yme = y - mean(y);

et=ones(T,1);

error=y-kron(et,sfe)-x*;

rsqr1 = error'*error;

rsqr2 = yme'*yme;

FE_rsqr2 = - rsqr1/rsqr2 % r-squared including fixed effects sige=*((nobs-K)/nobs);

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

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);

x=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 changed

prt_reg(results,vnames);

tfe=meanty-meantx*; % including the constant term

yme = y - mean(y);

en=ones(N,1);

error=y-kron(tfe,en)-x*;

rsqr1 = error'*error;

rsqr2 = yme'*yme;

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

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

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

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);

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)*;

sfe=meanny-meannx*(en,intercept);

tfe=meanty-meantx*(et,intercept);

yme = y - mean(y);

ent=ones(N*T,1);

error=y-kron(tfe,en)-kron(et,sfe)-x*(ent,intercept);

rsqr1 = error'*error;

rsqr2 = yme'*yme;

FE_rsqr2 = - rsqr1/rsqr2 % r-squared including fixed effects sige=*((nobs-K)/nobs);

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

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);

=0;

=0;

=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

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);

=0;

=1;

=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);

=0; % required for exact results

=2;

=0; % Do not print intercept and fixed effects; use =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）

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);

=0; % required for exact results

=3;

=0; % Do not print intercept and fixed effects; use =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）

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);

=0;

=0;

=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)

% 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);

=0; % required for exact results

=1;

=0; % Do not print intercept and fixed effects; use =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]);

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);

=0; % required for exact results

=2;

=0; % Do not print intercept and fixed effects; use =1 to 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]);

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);

=0;

=0; % required for exact results

=3;

=0; % Do not print intercept and fixed effects; use =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=;

varcov=;

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