SIMULTANEOUS EQUATIONS MODELS WITH HIGHER-ORDER SPATIAL OR SOCIAL NETWORK INTERACTIONS
| dc.contributor.author | Drukker, David M. | |
| dc.contributor.author | Egger, Peter H. | |
| dc.contributor.author | Prucha, Ingmar R. | |
| dc.date.accessioned | 2023-09-18T18:00:42Z | |
| dc.date.available | 2023-09-18T18:00:42Z | |
| dc.date.issued | 2022-03-28 | |
| dc.description.abstract | This paper develops an estimation methodology for network data generated from a system of simultaneous equations, which allows for network interdependencies via spatial lags in the endogenous and exogenous variables, as well as in the disturbances. By allowing for higher-order spatial lags, our specification provides important flexibility in modeling network interactions. The estimation methodology builds, among others, on the two-step generalized method of moments estimation approach introduced in Kelejian and Prucha (1998, Journal of Real Estate Finance and Economics 17, 99–121; 1999, International Economic Review 40, 509–533; 2004, Journal of Econometrics 118, 27–50). The paper considers limited and full information estimators, and one- and two-step estimators, and establishes their asymptotic properties. In contrast to some of the earlier two-step estimation literature, our asymptotic results facilitate joint tests for the absence of all forms of network spillovers. | |
| dc.description.uri | https://doi.org/10.1017/S026646662200007X | |
| dc.identifier | https://doi.org/10.13016/dspace/zpxb-9olu | |
| dc.identifier.citation | Drukker, D., Egger, P., & Prucha, I. (2022). SIMULTANEOUS EQUATIONS MODELS WITH HIGHER-ORDER SPATIAL OR SOCIAL NETWORK INTERACTIONS. Econometric Theory, 1-48. | |
| dc.identifier.uri | http://hdl.handle.net/1903/30527 | |
| dc.language.iso | en_US | |
| dc.publisher | Cambridge University Press | |
| dc.relation.isAvailableAt | Digital Repository at the University of Maryland | en_us |
| dc.relation.isAvailableAt | Economics | en_us |
| dc.relation.isAvailableAt | College of Behavioral and Social Sciences | en_us |
| dc.relation.isAvailableAt | University of Maryland (College Park, MD) | en_us |
| dc.title | SIMULTANEOUS EQUATIONS MODELS WITH HIGHER-ORDER SPATIAL OR SOCIAL NETWORK INTERACTIONS | |
| dc.type | Article | |
| local.equitableAccessSubmission | No |