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分享空间-时间双固定效应SDM模型(xsmle估计法): 果果1106 2015-6-27 14:43; %xsmle stata：xsmle fits (balanced) Spatial Panel data models via maximum likelihood (ML) %In xsmle the spatial weighting matrix can be：a Stata matrix；a spmat object %spmat objects are created by spmat %spmat import name of the object using path to file spatwmat using "F:/statadata/Wn2.dta", name(wn2) //comparing SDM fixed effects model vs. SDM random effects model . //Spatial Durbin model (SDM) xsmle lnexpp lnpgdpc dgr dgrz first1 lnpopden laborp lninfra, wmat(wn2) model(sdm) fe type(ind) nsim(500) nolog Warning: All regressors will be spatially lagged SDM with spatial fixed-effects Number of obs = 1686 Group variable: CityCode Number of groups = 281 Time variable: year Panel length = 6 R-sq: within = 0.8648 between = 0.1678 overall = 0.3059 Mean of fixed-effects = -1.8485 Log-likelihood = 1462.5623 ------------------------------------------------------------------------------ lnexpp | Coef. Std. Err. z P|z| -------------+---------------------------------------------------------------- Main | lnpgdpc | .1671756 .0191272 8.74 0.000 .129687 .2046643 dgr | .0252816 .0429193 0.59 0.556 -.0588386 .1094018 dgrz | .2545596 .0153482 16.59 0.000 .2244777 .2846415 first1 | -.903587 .1933228 -4.67 0.000 -1.282493 -.5246813 lnpopden | .0180757 .0119581 1.51 0.131 -.0053618 .0415132 laborp | .8438726 .1118795 7.54 0.000 .6245929 1.063152 lninfra | -.0073995 .0079206 -0.93 0.350 -.0229236 .0081246 -------------+---------------------------------------------------------------- Wx | lnpgdpc | .2430878 .0284291 8.55 0.000 .1873677 .2988078 dgr | -.332967 .0684115 -4.87 0.000 -.467051 -.1988829 dgrz | -.2734868 .0357028 -7.66 0.000 -.343463 -.2035106 first1 | 1.11846 .3699733 3.02 0.003 .3933261 1.843595 lnpopden | .0019958 .0209306 0.10 0.924 -.0390274 .043019 laborp | .2472988 .1797011 1.38 0.169 -.1049089 .5995066 lninfra | .0310102 .0127791 2.43 0.015 .0059637 .0560567 -------------+---------------------------------------------------------------- Spatial | rho | .6798629 .0161451 42.11 0.000 .6482191 .7115067 -------------+---------------------------------------------------------------- Variance | sigma2_e | .0089031 .0003182 27.98 0.000 .0082795 .0095267 -------------+---------------------------------------------------------------- Direct | lnpgdpc | .2718713 .018645 14.58 0.000 .2353277 .3084149 dgr | -.0679988 .047515 -1.43 0.152 -.1611264 .0251289 dgrz | .2255017 .0198053 11.39 0.000 .186684 .2643193 first1 | -.7648855 .2254382 -3.39 0.001 -1.206736 -.3230347 lnpopden | .0228154 .0161052 1.42 0.157 -.0087502 .0543811 laborp | 1.084936 .1265966 8.57 0.000 .836811 1.33306 lninfra | .0003234 .0087014 0.04 0.970 -.016731 .0173779 -------------+---------------------------------------------------------------- Indirect | lnpgdpc | 1.007843 .0509691 19.77 0.000 .9079452 1.10774 dgr | -.8927964 .1693957 -5.27 0.000 -1.224806 -.560787 dgrz | -.2827233 .1040205 -2.72 0.007 -.4865998 -.0788468 first1 | 1.397562 1.030402 1.36 0.175 -.6219881 3.417112 lnpopden | .0411931 .0636435 0.65 0.517 -.0835458 .1659321 laborp | 2.320656 .5015215 4.63 0.000 1.337692 3.30362 lninfra | .0710943 .0329147 2.16 0.031 .0065827 .135606 -------------+---------------------------------------------------------------- Total | lnpgdpc | 1.279714 .0567957 22.53 0.000 1.168397 1.391032 dgr | -.9607952 .1946422 -4.94 0.000 -1.342287 -.5793035 dgrz | -.0572216 .118917 -0.48 0.630 -.2902946 .1758514 first1 | .6326767 1.171146 0.54 0.589 -1.662728 2.928081 lnpopden | .0640086 .0762822 0.84 0.401 -.0855018 .2135189 laborp | 3.405592 .5717875 5.96 0.000 2.284909 4.526275 lninfra | .0714178 .0375299 1.90 0.057 -.0021394 .144975 ------------------------------------------------------------------------------ . estimates store sdm_fe . estat ic ----------------------------------------------------------------------------- Model | Obs ll(null) ll(model) df AIC BIC -------------+--------------------------------------------------------------- sdm_fe | 1686 . 1462.562 16 -2893.125 -2806.243 ----------------------------------------------------------------------------- Note: N=Obs used in calculating BIC; see BIC note . //Tests . *Test for SAR . test lnpgdpc = dgr= lninfra= first1= lnpopden= laborp= dgrz=0 ( 1) lnpgdpc - dgr = 0 ( 2) lnpgdpc - lninfra = 0 ( 3) lnpgdpc - first1 = 0 ( 4) lnpgdpc - lnpopden = 0 ( 5) lnpgdpc - laborp = 0 ( 6) lnpgdpc - dgrz = 0 ( 7) lnpgdpc = 0 chi2( 7) = 139.16 Prob chi2 = 0.0000 . *Test for SEM . testnl ( lnpgdpc=- rho* lnpgdpc) ( dgr=- rho* dgr) ( lninfra=- rho* lninfra) ( first1= - rho* first1) ( lnpopden= - rho* lnpopden) ( laborp= - rho* laborp)( dgrz= - rho* dgrz) (1) lnpgdpc = - rho* lnpgdpc (2) dgr = - rho* dgr (3) lninfra = - rho* lninfra (4) first1 = - rho* first1 (5) lnpopden = - rho* lnpopden (6) laborp = - rho* laborp (7) dgrz = - rho* dgrz chi2(7) = 339.82 Prob chi2 = 0.0000 . //SDM random effects model . xsmle lnexpp lnpgdpc dgr dgrz first1 lnpopden laborp lninfra, wmat(wn2) model(sdm) re type(ind) nsim(500) nolog Warning: Option type(ind) will be ignored Warning: All regressors will be spatially lagged SDM with random-effects Number of obs = 1686 Group variable: CityCode Number of groups = 281 Time variable: year Panel length = 6 R-sq: within = 0.8574 between = 0.3729 overall = 0.5004 Log-likelihood = 674.8832 ------------------------------------------------------------------------------ lnexpp | Coef. Std. Err. z P|z| -------------+---------------------------------------------------------------- Main | lnpgdpc | .1070521 .0207239 5.17 0.000 .0664341 .1476702 dgr | -.0896578 .0470484 -1.91 0.057 -.181871 .0025554 dgrz | .3600937 .0175765 20.49 0.000 .3256444 .3945429 first1 | -.4262281 .1931161 -2.21 0.027 -.8047287 -.0477274 lnpopden | .0013151 .0119946 0.11 0.913 -.022194 .0248241 laborp | .4856321 .1134487 4.28 0.000 .2632767 .7079874 lninfra | -.0305836 .0086951 -3.52 0.000 -.0476256 -.0135415 _cons | -1.69664 .2646159 -6.41 0.000 -2.215278 -1.178003 -------------+---------------------------------------------------------------- Wx | lnpgdpc | .3222525 .0301836 10.68 0.000 .2630939 .3814112 dgr | -.3820827 .070008 -5.46 0.000 -.5192958 -.2448696 dgrz | -.4022179 .0365547 -11.00 0.000 -.4738638 -.3305721 first1 | .9830603 .3513119 2.80 0.005 .2945015 1.671619 lnpopden | -.0036171 .0193945 -0.19 0.852 -.0416296 .0343954 laborp | .3692307 .1806137 2.04 0.041 .0152343 .7232272 lninfra | .0473643 .0139078 3.41 0.001 .0201055 .074623 -------------+---------------------------------------------------------------- Spatial | rho | .6738826 .0161689 41.68 0.000 .6421922 .7055729 -------------+---------------------------------------------------------------- Variance | lgt_theta | -1.951982 .0690152 -28.28 0.000 -2.087249 -1.816715 sigma_e | .0113515 .0004662 24.35 0.000 .0104378 .0122653 -------------+---------------------------------------------------------------- Direct | lnpgdpc | .2208365 .0204253 10.81 0.000 .1808036 .2608694 dgr | -.2176959 .0507104 -4.29 0.000 -.3170866 -.1183053 dgrz | .3146066 .0214078 14.70 0.000 .2726481 .356565 first1 | -.2292273 .2213207 -1.04 0.300 -.6630078 .2045533 lnpopden | .0011018 .0145043 0.08 0.939 -.027326 .0295296 laborp | .6805521 .1334165 5.10 0.000 .4190605 .9420437 lninfra | -.0227076 .0096476 -2.35 0.019 -.0416166 -.0037987 -------------+---------------------------------------------------------------- Indirect | lnpgdpc | 1.099643 .0544311 20.20 0.000 .9929603 1.206326 dgr | -1.230505 .1685836 -7.30 0.000 -1.560923 -.9000876 dgrz | -.4425805 .1036157 -4.27 0.000 -.6456636 -.2394974 first1 | 1.961458 .9059355 2.17 0.030 .1858567 3.737058 lnpopden | -.0061222 .0548197 -0.11 0.911 -.1135669 .1013226 laborp | 1.894018 .4761788 3.98 0.000 .9607245 2.827311 lninfra | .0729289 .0367813 1.98 0.047 .0008389 .1450189 -------------+---------------------------------------------------------------- Total | lnpgdpc | 1.32048 .0612287 21.57 0.000 1.200474 1.440486 dgr | -1.448201 .1934671 -7.49 0.000 -1.82739 -1.069013 dgrz | -.1279739 .1188468 -1.08 0.282 -.3609094 .1049616 first1 | 1.73223 1.044557 1.66 0.097 -.315063 3.779524 lnpopden | -.0050204 .0642112 -0.08 0.938 -.130872 .1208312 laborp | 2.57457 .5579255 4.61 0.000 1.481056 3.668084 lninfra | .0502213 .0421863 1.19 0.234 -.0324623 .1329048 ------------------------------------------------------------------------------ . estimates store sdm_re . //hausman Test . hausman sdm_fe sdm_re, eq(1:1 2:2 3:3) ---- Coefficients ---- | (b) (B) (b-B) sqrt(diag(V_b-V_B)) | sdm_fe sdm_re Difference S.E. -------------+---------------------------------------------------------------- comp1 | lnpgdpc | .1671756 .1070521 .0601235 . dgr | .0252816 -.0896578 .1149394 . dgrz | .2545596 .3600937 -.1055341 . first1 | -.903587 -.4262281 -.477359 .0089375 lnpopden | .0180757 .0013151 .0167606 . laborp | .8438726 .4856321 .3582406 . lninfra | -.0073995 -.0305836 .0231841 . -------------+---------------------------------------------------------------- comp2 | lnpgdpc | .2430878 .3222525 -.0791648 . dgr | -.332967 -.3820827 .0491157 . dgrz | -.2734868 -.4022179 .1287312 . first1 | 1.11846 .9830603 .1354002 .1160179 lnpopden | .0019958 -.0036171 .0056129 .0078705 laborp | .2472988 .3692307 -.1219319 . lninfra | .0310102 .0473643 -.0163541 . -------------+---------------------------------------------------------------- comp3 | rho | .6798629 .6738826 .0059804 . ------------------------------------------------------------------------------ b = consistent under Ho and Ha; obtained from xsmle B = inconsistent under Ha, efficient under Ho; obtained from xsmle Test: Ho: difference in coefficients not systematic chi2(15) = (b-B)' (b-B) = -146.31 chi20 == model fitted on these data fails to meet the asymptotic assumptions of the Hausman test; see suest for a generalized test . . //Spatial lag model (SAR) . xsmle lnexpp lnpgdpc dgr dgrz first1 lnpopden laborp lninfra, wmat(wn2) model(sar) fe type(ind) nsim(500) Iteration 0: Log-likelihood = 770.958 (not concave) Iteration 1: Log-likelihood = 951.68872 Iteration 2: Log-likelihood = 1281.0608 Iteration 3: Log-likelihood = 1379.4627 Iteration 4: Log-likelihood = 1391.5202 Iteration 5: Log-likelihood = 1391.6463 Iteration 6: Log-likelihood = 1391.6464 Iteration 7: Log-likelihood = 1391.6464 SAR with spatial fixed-effects Number of obs = 1686 Group variable: CityCode Number of groups = 281 Time variable: year Panel length = 6 R-sq: within = 0.8461 between = 0.1200 overall = 0.2104 Mean of fixed-effects = -1.0607 Log-likelihood = 1391.6464 ------------------------------------------------------------------------------ lnexpp | Coef. Std. Err. z P|z| -------------+---------------------------------------------------------------- Main | lnpgdpc | .2576706 .0168393 15.30 0.000 .2246663 .2906749 dgr | -.0373947 .0397086 -0.94 0.346 -.1152221 .0404327 dgrz | .2336492 .0154149 15.16 0.000 .2034366 .2638618 first1 | -.9793462 .1921217 -5.10 0.000 -1.355898 -.6027945 lnpopden | .0192558 .0121587 1.58 0.113 -.0045748 .0430865 laborp | .9611653 .1072448 8.96 0.000 .7509694 1.171361 lninfra | .0086207 .0074428 1.16 0.247 -.005967 .0232084 -------------+---------------------------------------------------------------- Spatial | rho | .7510296 .0113452 66.20 0.000 .7287935 .7732657 -------------+---------------------------------------------------------------- Variance | sigma2_e | .0092268 .0003282 28.11 0.000 .0085835 .0098701 -------------+---------------------------------------------------------------- Direct | lnpgdpc | .3327816 .0184388 18.05 0.000 .2966422 .368921 dgr | -.0482181 .0514041 -0.94 0.348 -.1489682 .0525321 dgrz | .3031549 .0196538 15.42 0.000 .2646343 .3416756 first1 | -1.277769 .2425213 -5.27 0.000 -1.753102 -.8024362 lnpopden | .0255271 .0159514 1.60 0.110 -.005737 .0567913 laborp | 1.242593 .1363655 9.11 0.000 .9753212 1.509864 lninfra | .0115092 .0093862 1.23 0.220 -.0068874 .0299057 -------------+---------------------------------------------------------------- Indirect | lnpgdpc | .6990482 .0351337 19.90 0.000 .6301875 .767909 dgr | -.1002887 .1071142 -0.94 0.349 -.3102287 .1096514 dgrz | .6383302 .0585965 10.89 0.000 .5234832 .7531772 first1 | -2.689608 .5351879 -5.03 0.000 -3.738556 -1.640659 lnpopden | .0538922 .0340686 1.58 0.114 -.012881 .1206654 laborp | 2.612247 .2998485 8.71 0.000 2.024555 3.19994 lninfra | .0240109 .0195828 1.23 0.220 -.0143707 .0623925 -------------+---------------------------------------------------------------- Total | lnpgdpc | 1.03183 .0487864 21.15 0.000 .9362103 1.127449 dgr | -.1485067 .1584433 -0.94 0.349 -.4590498 .1620363 dgrz | .9414851 .076456 12.31 0.000 .7916341 1.091336 first1 | -3.967377 .772924 -5.13 0.000 -5.48228 -2.452474 lnpopden | .0794194 .0499794 1.59 0.112 -.0185386 .1773773 laborp | 3.85484 .4279806 9.01 0.000 3.016013 4.693666 lninfra | .0355201 .0289509 1.23 0.220 -.0212227 .0922628 ------------------------------------------------------------------------------ . estimates store sar_fe . //Spatial error model (SEM) . xsmle lnexpp lnpgdpc dgr dgrz first1 lnpopden laborp lninfra, emat(wn2) model(sem) fe type(ind) Iteration 0: Log-likelihood = 581.76118 Iteration 1: Log-likelihood = 951.30528 Iteration 2: Log-likelihood = 1028.2614 Iteration 3: Log-likelihood = 1224.9928 Iteration 4: Log-likelihood = 1240.0051 Iteration 5: Log-likelihood = 1240.1872 Iteration 6: Log-likelihood = 1240.1872 SEM with spatial fixed-effects Number of obs = 1686 Group variable: CityCode Number of groups = 281 Time variable: year Panel length = 6 R-sq: within = 0.4766 between = 0.3336 overall = 0.3139 Mean of fixed-effects = 6.5609 Log-likelihood = 1240.1872 ------------------------------------------------------------------------------ lnexpp | Coef. Std. Err. z P|z| -------------+---------------------------------------------------------------- Main | lnpgdpc | .1388676 .019581 7.09 0.000 .1004895 .1772456 dgr | .0542958 .043315 1.25 0.210 -.0306 .1391915 dgrz | .2595741 .0150128 17.29 0.000 .2301496 .2889987 first1 | -1.046402 .1904831 -5.49 0.000 -1.419742 -.6730618 lnpopden | .0174811 .0109345 1.60 0.110 -.0039501 .0389123 laborp | .7644792 .1115861 6.85 0.000 .5457743 .983184 lninfra | -.0035097 .0079907 -0.44 0.660 -.0191711 .0121517 -------------+---------------------------------------------------------------- Spatial | lambda | .8912944 .0065199 136.70 0.000 .8785157 .9040732 -------------+---------------------------------------------------------------- Variance | sigma2_e | .0093776 .0003413 27.47 0.000 .0087086 .0100466 ------------------------------------------------------------------------------ . estimates store sem_fe . //LR Tests . lrtest sem_fe sdm_fe Likelihood-ratio test LR chi2(7) = 444.75 (Assumption: sem_fe nested in sdm_fe) Prob chi2 = 0.0000 . lrtest sar_fe sdm_fe Likelihood-ratio test LR chi2(7) = 141.83 (Assumption: sar_fe nested in sdm_fe) Prob chi2 = 0.0000 .; 个人分类: workingpaper|23 次阅读|0 个评论