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| 文件名: 权重矩阵和变量矩阵.txt | |
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我在用matlab做空间面板时,遇到几个问题,具体的操作如下:
权重矩阵(W1)和变量矩阵(A)在附件里 LM检验的命令为: T=9; % number of time periods N=55; % number of regions % row-normalize W W=normw(W1); % function of LeSage y=A(:,[1]); % column number in the data matrix that corresponds to the dependent variable x=A(:,[2:11]); % column numbers in the data matrix that correspond to the independent variables xconstant=ones(N*T,1); [nobs K]=size(x); % --------------------------------------------------------------------------------------- % ols estimation results=ols(y,[xconstant x]); vnames=strvcat('crste','PGDP','MIDU','EDU','PIN','PEX','PJIJIAN','CHENGZHEN','SZGX','TREAT','EFFECT'); 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 LMsarsem_panel(results,W,y,[xconstant x]); % (Robust) LM tests % ---------------------------------------------------------------------------------------- % spatial fixed effects + (robust) LM tests for spatial lag and spatial error model % fixed effects, within estimator % demeaning of the y and x variables model=1; [ywith,xwith,meanny,meannx,meanty,meantx]=demean(y,x,N,T,model); results=ols(ywith,xwith); vnames=strvcat('crste','PGDP','MIDU','EDU','PIN','PEX','PJIJIAN','CHENGZHEN','SZGX','TREAT','EFFECT'); % should be changed if x is changed prt_reg(results,vnames); FE=meanny-meannx*results.beta; % including the constant term yme = y - mean(y); ee=ones(T,1); error=y-kron(ee,FE)-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); loglikfe=-nobs/2*log(2*pi*sige)-1/(2*sige)*results.resid'*results.resid LMsarsem_panel(results,W,ywith,xwith); % (Robust) LM tests % ---------------------------------------------------------------------------------------- % spatial and time period fixed effects + (robust) LM tests for spatial lag and spatial error model % fixed effects, within estimator % demeaning of the y and x variables model=3; [ywith,xwith,meanny,meannx,meanty,meantx]=demean(y,x,N,T,model); results=ols(ywith,xwith); vnames=strvcat('crste','PGDP','MIDU','EDU','PIN','PEX','PJIJIAN','CHENGZHEN','SZGX','TREAT','EFFECT'); % should be changed if x is changed prt_reg(results,vnames); LMsarsem_panel(results,W,ywith,xwith); % (Robust) LM tests 结果为: Wrong # of variable names in prt_reg -- check vnames argument will use generic variable names Ordinary Least-squares Estimates R-squared = 0.5555 Rbar-squared = 0.5463 sigma^2 = 0.0200 Durbin-Watson= 1.7191 Nobs, Nvars = 495, 11 *************************************************************** Variable Coefficient t-statistic t-probability variable 1 0.671015 4.589867 0.000006 variable 2 0.074995 2.970968 0.003116 variable 3 0.109128 7.962159 0.000000 variable 4 0.673918 1.384733 0.166772 variable 5 -0.092080 -4.879901 0.000001 variable 6 -0.204196 -10.168544 0.000000 variable 7 0.013275 1.112598 0.266433 variable 8 0.076925 0.949029 0.343079 variable 9 0.038177 1.291779 0.197050 variable 10 0.155732 3.955480 0.000088 variable 11 -0.010064 -0.271933 0.785789 loglikols = 270.9526 Warning: Matrix is singular to working precision. Warning: Matrix is singular to working precision. Warning: Matrix is singular to working precision. Warning: Matrix is singular to working precision. Warning: Matrix is close to singular or badly scaled. Results may be inaccurate. RCOND =4.047746e-35. Warning: Matrix is close to singular or badly scaled. Results may be inaccurate. RCOND =6.423347e-36. Warning: Matrix is singular to working precision. Warning: Matrix is singular to working precision. Warning: Matrix is close to singular or badly scaled. Results may be inaccurate. RCOND =9.370064e-36. LM test no spatial lag, probability = NaN, NaN robust LM test no spatial lag, probability = NaN, NaN LM test no spatial error, probability = 80.5333, 0.0000 robust LM test no spatial error, probability = NaN, NaN Warning: Matrix is singular to working precision. Ordinary Least-squares Estimates Dependent Variable = crste R-squared = NaN Rbar-squared = NaN sigma^2 = NaN Durbin-Watson= NaN Nobs, Nvars = 495, 10 *************************************************************** Error using betainc X must be in the interval [0,1]. Error in tdis_prb (line 35) tmp = 1.0 - 0.5*betainc(x2,0.5*n,0.5); Error in prt_reg (line 364) tout = tdis_prb(results.tstat,nobs-nvar); % find t-stat probabilities Error in SHS_LMtest (line 26) prt_reg(results,vnames); 本人是初学,还请哪位大虾指点一下,不胜感激! |
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