Social threshold regression

Antri Konstantinidi, Andros Kourtellos and Yiguo Sun

Journal of Econometrics, 2023, vol. 235, issue 2, 2057-2081

Abstract: This paper develops a threshold social interaction model which introduces group-specific endogenous effects as well as contextual effects into a conventional spatial Durbin model. We propose a two-step GMM estimator for the threshold and regression parameters, derive asymptotic theory, and provide bootstrap inference. Finally, we assess the performance of our methods using a Monte Carlo simulation and provide an empirical application on the role of peer effects on student academic achievement using Add Health data.

Keywords: Social interactions; Social networks; Spatial autoregression; Threshold regression (search for similar items in EconPapers)
JEL-codes: C13 C21 C49 C51 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:235:y:2023:i:2:p:2057-2081

DOI: 10.1016/j.jeconom.2023.02.010

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