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Refined GMM estimators for simultaneous equations models with network interactions

Author

Listed:
  • Peter H. Egger

    (ETH Zurich)

  • Ingmar R. Prucha

    (University of Maryland)

Abstract

The paper proposes a refinement of the generalized spatial two-stage and three-stage least squares estimators for simultaneous systems of equations with network interdependence, recently introduced in Drukker (Econom Theory 1-48, 2022). Specifically, we propose a refined weighting of the moment conditions underlying those estimators. Monte Carlo simulations document that the refined weighting potentially achieves non-trivial reductions in the root mean-squared errors for the network parameters of interest.

Suggested Citation

  • Peter H. Egger & Ingmar R. Prucha, 2023. "Refined GMM estimators for simultaneous equations models with network interactions," Empirical Economics, Springer, vol. 64(6), pages 2535-2542, June.
    • Handle: RePEc:spr:empeco:v:64:y:2023:i:6:d:10.1007_s00181-023-02408-8
    DOI: 10.1007/s00181-023-02408-8
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    References listed on IDEAS

    as
    1. Yang, Kai & Lee, Lung-fei, 2019. "Identification and estimation of spatial dynamic panel simultaneous equations models," Regional Science and Urban Economics, Elsevier, vol. 76(C), pages 32-46.
    2. Kelejian, Harry H. & Prucha, Ingmar R., 2004. "Estimation of simultaneous systems of spatially interrelated cross sectional equations," Journal of Econometrics, Elsevier, vol. 118(1-2), pages 27-50.
    3. Badi H. Baltagi & Ying Deng, 2015. "EC3SLS Estimator for a Simultaneous System of Spatial Autoregressive Equations with Random Effects," Econometric Reviews, Taylor & Francis Journals, vol. 34(6-10), pages 659-694, December.
    4. Xiaodong Liu, 2020. "GMM identification and estimation of peer effects in a system of simultaneous equations," Journal of Spatial Econometrics, Springer, vol. 1(1), pages 1-27, December.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Cliff-Ord spatial model; Two-stage least squares estimation; Three-stage least squares estimation; Generalized method of moments estimation;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
    • C36 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Instrumental Variables (IV) Estimation

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