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Two-Step Estimation of Incomplete Information Social Interaction Models With Sample Selection

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  • Tadao Hoshino

Abstract

This article considers linear social interaction models under incomplete information that allow for missing outcome data due to sample selection. For model estimation, assuming that each individual forms his/her belief about the other members’ outcomes based on rational expectations, we propose a two-step series nonlinear least squares estimator. Both the consistency and asymptotic normality of the estimator are established. As an empirical illustration, we apply the proposed model and method to National Longitudinal Study of Adolescent Health (Add Health) data to examine the impacts of friendship interactions on adolescents’ academic achievements. We provide empirical evidence that the interaction effects are important determinants of grade point average and that controlling for sample selection bias has certain impacts on the estimation results. Supplementary materials for this article are available online.

Suggested Citation

  • Tadao Hoshino, 2019. "Two-Step Estimation of Incomplete Information Social Interaction Models With Sample Selection," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(4), pages 598-612, October.
    • Handle: RePEc:taf:jnlbes:v:37:y:2019:i:4:p:598-612
    DOI: 10.1080/07350015.2017.1394861
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    Cited by:

    1. William C. Horrace & Hyunseok Jung & Shane Sanders, 2022. "Network Competition and Team Chemistry in the NBA," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(1), pages 35-49, January.
    2. Rabovič, Renata & Čížek, Pavel, 2023. "Estimation of spatial sample selection models: A partial maximum likelihood approach," Journal of Econometrics, Elsevier, vol. 232(1), pages 214-243.
    3. Sadat Reza & Puneet Manchanda & Juin-Kuan Chong, 2021. "Identification and Estimation of Endogenous Peer Effects Using Partial Network Data from Multiple Reference Groups," Management Science, INFORMS, vol. 67(8), pages 5070-5105, August.

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