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% PURPOSE: An example of using the fixed effects spatial panel estimation
% and spatial autocorrelation tests toolbox
%---------------------------------------------------
% Written by N. Debarsy* and C. Ertur**
% * University of Namur
% Centre de recherches en Economie R間ionale et Politique Economique (CERPE)
% Rempart de la vierge, 8
% 5000 Namur, Belgium
% nicolas.debarsy@fundp.ac.be
%** Universit�d'Orl閍ns
% UFR Droit-Economie-Gestion
% Laboratoire d'Economie d'Orl閍ns - UMR 6221 CNRS
% Domaine Universitaire
% Rue de Blois - BP 6739
% 45067 ORLEANS Cedex 2, France
% cem.ertur@univ-orleans.fr
% REFERENCE :
% Debarsy N, C. Ertur (2009), Testing for spatial autocorrelation in a fixed effects
% panel data model, Document de recherche du LEO, 2009-12.
% --------------------------------------------------------------------
clear all;
% Creation of data
N=81;
T=8;
x=randn(N*T,3);
b=[1;2;3];
In=eye(N);
It=eye(T);
v=randn(N*T,1);
rho=0.7;
lam=-0.5;
% Loading the spatial weight matrix
load mat81q;
W=mat81q;
clear mat81q;
A=In-rho*W;
B=In-lam*W;
Ai=inv(A);
Bi=inv(B);
% Creation of the individual fixed effects
mu=-50+100*rand(N,1);
mu=kron(ones(T,1),mu);
%Generation of the DGP
y=kron(It,Ai)*(x*b+mu)+kron(It,Ai*Bi)*v;
%Use of the tests
%Joint LM test
res=lm_f_joint(y,x,W,W,N);
prt(res)
% LM test for spatially autocorrelated errors
res1=lm_f_err(y,x,W,N);
prt(res1)
% LM test for a SAR specification
res2=lm_f_sar(y,x,W,N);
prt(res2)
% LM test for SAR specification when spatially autocorrelated errors are
% already accounted for
res3=lm_f_err_c(y,x,W,W,N);
prt(res3)
% LM test for spatially autocorrelated errors when a SAR specification is
% already accounted for
res4=lm_f_sar_c(y,x,W,W,N);
prt(res4)
%Joint LR test
res5=lr_f_joint(y,x,W,W,N);
prt(res5)
% LR test for spatially autocorrelated errors
res6=lr_f_err(y,x,W,N);
prt(res6)
% LR test for a SAR specification
res7=lr_f_sar(y,x,W,N);
prt(res7)
% LR test for SAR specification when spatially autocorrelated errors are
% already accounted for
res8=lr_f_err_c(y,x,W,W,N);
prt(res8)
% LR test for spatially autocorrelated errors when a SAR specification is
% already accounted for
res9=lr_f_sar_c(y,x,W,W,N);
prt(res9)
% Estimation of fixed effects spatial panel data models
% Variables names
vnames=strvcat('dependent','x1','x2','x3');
info.lflag=0;
% Fixed effects SEM panel data estimation
res10=sem_panel_FE_LY(y,x,W,N,info);
prt(res10,vnames);
% Fixed effects SAR panel data estimation
res11=sar_panel_FE_LY(y,x,W,N,info);
prt(res11,vnames);
% Fixed effects SARAR panel data estimation
res12=sarar_panel_FE_LY(y,x,W,W,N,info);
prt(res12,vnames);
报错信息：
??? Undefined command/function 'ols'.
Error in ==> lm_f_joint at 63
fe=ols(y,x);
Error in ==> demo at 56
res=lm_f_joint(y,x,W,W,N);