LMsarsem_panel.rar_lmsarsem_panel_最大似然法_空间面板

function LMsarsem_panel(results,W,y,x) % PURPOSE: Computes (robust) LM tests for spatial lag and spatial error % model of a panel data model % ------------------------------------------------------------------------- % Usage: LM=LMsarsem_panel(results,W) % where: results = a structure returned by a spatial panel regression % W = spatial weights matrix (standardized) % y = dependent variable vector % x = independent variables matrix % ------------------------------------------------------------------------- % RETURNS: print of lm tests and probabilities % ------------------------------------------------------------------------- % Note: probabilitities smaller than 0.05 point to signifance of spatial % lag or spatial error % ------------------------------------------------------------------------- % Written by: J.Paul Elhorst summer 2008 % University of Groningen % Department of Economics % 9700AV Groningen % the Netherlands % [email protected] % % REFERENCE: % Elhorst JP (2009) Spatial Panel Data Models. In Fischer MM, Getis A (Eds.) % Handbook of Applied Spatial Analysis, Ch. C.2. Springer: Berlin Heidelberg New York. % tr=trace((W'+W)*W); [N junk]=size(W); [nobs junk]=size(x); T=nobs/N; beta=results.beta; res=results.resid; sige=res'*res/nobs; WXB2=0;EWE=0;EWY=0; for t=1:T t1=(t-1)*N+1;t2=t*N; WXB=W*x(t1:t2,:)*beta; M=eye(N)-x(t1:t2,:)*inv(x(t1:t2,:)'*x(t1:t2,:))*x(t1:t2,:)'; WXB2=WXB2+WXB'*M*WXB; EWE=EWE+res(t1:t2,1)'*W*res(t1:t2,1); EWY=EWY+res(t1:t2,1)'*W*y(t1:t2,1); end Ttr=T*tr; J=(WXB2+Ttr*sige)/sige; LMerror=(EWE/sige)^2/Ttr; LMlag=(EWY/sige)^2/J; robustLMerror=((EWE-(Ttr/J)*EWY)/sige)^2/(Ttr*(1-Ttr/J)); robustLMlag=((EWY-EWE)/sige)^2/(J-Ttr); fprintf(1,'LM test no spatial lag, probability = %9.4f,%9.3f \n',LMlag,1-chis_prb(LMlag,1)); fprintf(1,'robust LM test no spatial lag, probability = %9.4f,%9.3f \n',robustLMlag,1-chis_prb(robustLMlag,1)); fprintf(1,'LM test no spatial error, probability = %9.4f,%9.3f \n',LMerror,1-chis_prb(LMerror,1)); fprintf(1,'robust LM test no spatial error, probability = %9.4f,%9.3f \n',robustLMerror,1-chis_prb(robustLMerror,1));