勒沙杰空间计量MATLAB可做面板数据

空间计量的MATLAB在原来的jpl基础上可以做面板SDM

D=wk1read（‘DataOZBl.wk1‘11）; % read data
W1=wk1read（‘Wcex1.wk1‘）; %read first part of W
W2=wk1read（‘Wcex2.wk1‘）; %read second part of W
W3=[W1W2]; %combine these parts
[DA dim]=sortrows（D[91]）;
W=W3（dimdim）;
clear W1; clear W2; clear W3; clear D; % W12 3 and D are not used any more
W1=normw（W）; %normalize W routine of LeSage‘s website www.spatial-econometrics.com
lambda=eig（W1）; %eigenvalues
rmin=min（lambda）;
rmax=max（lambda）;
N=496; %number of spatial units
y=DA（:14）; % dependent variable
x=DA（:[1231012]）; % independent variables
const=ones（4961）;
dumb=DA（:9）;
duma=1-dumb;
x=[duma dumb x];
nvar=size（x2）;
% ols estimator 
results=ols（yx）; %routine from LeSage‘s website www.spatial-econometrics.com
vnames=char（‘ozb‘‘duma‘‘dumb‘‘inkomen‘‘rechts‘‘taxprice‘‘lihh‘‘wrdwon‘）; %names of variables
prt_reg（resultsvnames）; %routine from LeSage‘s website www.spatial-econometrics.com
% sar one regime programmed myself
n=length（y）;
Wy = W1*y;
AI = x‘*x;
b0 = AI\（x‘*y）;
bd = AI\（x‘*Wy）;
e0 = y - x*b0;
ed = Wy - x*bd;
epe0 = e0‘*e0;
eped = ed‘*ed;
epe0d = ed‘*e0;
options.Display=‘off‘;
options.MaxFunEvals=1000;
options.MaxIter=1000;
options.TolX=0.001;
options.TolFun=0.001;
rho = fminbnd（‘f_sarpaul‘rminrmaxoptionslambdaepe0epedepe0dn）;
results.beta = b0 - rho*bd; 
results.rho = rho; 
bhat = results.beta;
results.sige = （1/n）*（e0-rho*ed）‘*（e0-rho*ed）; 
sige = results.sige;
results.yhat = （eye（n） - rho*W1）\（x*results.beta）;
results.resid = y - results.yhat; 
parm = [results.beta
        results.rho
        results.sige];
bout= [results.beta
        results.rho];
results.lik = f2_sarpaul（parmyxW1lambda）;

% asymptotic t-stats based on information matrix
% （pp. 80-81 Anselin 1980）
B = eye（n） - rho*W1; 
BI = inv（B）; WB = W1*BI;
pterm = trace（WB*WB + WB*WB‘）;
xpx = zeros（nvar+2nvar+2）;               % bhatbhat
xpx（1:nvar1:nvar） = （1/sige）*（x‘*x）;     % bhatrho
xpx（1:nvarnvar+1） = （1/sige）*x‘*W1*BI*x*bhat;
xpx（nvar+11:nvar） = xpx（1:nvarnvar+1）‘; % rhorho
xpx（nvar+1nvar+1） = （1/sige）*bhat‘*x‘*BI‘*W1‘*W1*BI*x*bhat + pterm;
xpx（nvar+2nvar+2） = n/（2*sige*sige）;     %sigesige
xpx（nvar+1nvar+2） = （1/sige）*trace（WB）;  % rhosige
xpx（nvar+2nvar+1） = xpx（nvar+1nvar+2）;
xpxi = xpx\eye（size（xpx））;
tmp = diag（xpxi（1:nvar+11:nvar+1））;
bvec = [results.beta
        results.rho];
tmp = bvec./（sqrt（tmp））;
results.tstat = tmp;

ym = y - mean（y）;       % r-squared rbar-squared
rsqr1 = results.resid‘*results.resid;
rsqr2 = ym‘*ym;
results.rsqr = 1.0-rsqr1/rsqr2;   % r-squared
rsqr1 = rsqr1/（n-nvar）;
rsqr2 = rsqr2/（n-1.0）;
results.rbar = 1 - （rsqr1/rsqr2）; % rbar-squared

%print
fid=1;
vnames=char（‘ozb‘‘duma‘‘dumb‘‘inkomen‘‘rechts‘‘taxprice‘‘lihh‘‘wrdwon‘‘rho‘）; %names of variables
fprintf（fid‘\n‘）;
fprintf（fid‘sar\n‘）;
fprintf（fid‘Dependent Variable = %16s \n‘vnames（1:））;
fprintf（fid‘R-squared          = %9.4f   \n‘results.rsqr）;

 属性            大小     日期    时间   名称
----------- ---------  ---------- -----  ----
     目录           0  2012-08-03 17:14  Elhorst_Panel_Code\
     文件        7529  2011-05-30 15:21  Elhorst_Panel_Code\allersdumregime.m
     文件       28587  2011-01-14 15:54  Elhorst_Panel_Code\cigardemo.wk1
     文件      124885  2011-01-14 15:53  Elhorst_Panel_Code\cigarette.wk1
     文件       33615  2011-05-30 13:11  Elhorst_Panel_Code\cigarette_mat.mat
     文件        1122  2010-01-14 09:18  Elhorst_Panel_Code\demean.m
     文件       10496  2011-05-30 15:10  Elhorst_Panel_Code\demodynfeerror.m
     文件        5938  2012-06-01 16:52  Elhorst_Panel_Code\demoLM.m
     文件        5482  2011-05-30 15:14  Elhorst_Panel_Code\demoLMsarsem_panel.m
     文件       13771  2011-05-30 12:58  Elhorst_Panel_Code\demopanelscompare.m
     文件        1521  2011-05-30 15:19  Elhorst_Panel_Code\demoserialspat.m
     文件       13937  2012-06-14 13:39  Elhorst_Panel_Code\DemoYanMin.m
     文件        1234  2011-06-02 15:38  Elhorst_Panel_Code\Demo_panel_sarregime.m
     文件        3669  2011-09-06 20:39  Elhorst_Panel_Code\direct_indirect_effects_estimates.m
     文件        1111  2011-09-06 20:31  Elhorst_Panel_Code\f2_resar.m
     文件        1320  2010-01-14 09:18  Elhorst_Panel_Code\f2_respat.m
     文件         933  2010-01-14 09:18  Elhorst_Panel_Code\f2_sar2_panel.m
     文件        1832  2010-10-15 08:30  Elhorst_Panel_Code\f2_sarpanel.m
     文件         380  2010-04-26 06:11  Elhorst_Panel_Code\f2_sarpar2.m
     文件         319  2010-04-26 06:22  Elhorst_Panel_Code\f2_sarpaul.m
     文件        1881  2010-10-15 08:30  Elhorst_Panel_Code\f2_sempanel.m
     文件        1190  2010-01-14 09:18  Elhorst_Panel_Code\f2_serialspat.m
     文件         782  2010-01-14 09:18  Elhorst_Panel_Code\f_resar.m
     文件        1242  2010-01-14 09:18  Elhorst_Panel_Code\f_respat.m
     文件         847  2011-06-05 13:34  Elhorst_Panel_Code\f_sar2_panel.m
     文件        1915  2010-10-15 08:30  Elhorst_Panel_Code\f_sarpanel.m
     文件         275  2010-04-26 06:11  Elhorst_Panel_Code\f_sarpar2.m
     文件         196  2010-04-26 06:11  Elhorst_Panel_Code\f_sarpaul.m
     文件        1763  2010-10-15 08:30  Elhorst_Panel_Code\f_sempanel.m
     文件        1175  2010-01-14 09:18  Elhorst_Panel_Code\f_serialspat.m
     文件        1253  2010-01-14 09:18  Elhorst_Panel_Code\hessian.m
............此处省略32个文件信息