Consistent two-stage estimation in heterogeneous network autoregressive model

Jiayang Zhao, Jie Liu and Yuting Su

Statistics & Probability Letters, 2024, vol. 212, issue C

Abstract: Obtaining consistent estimates of network effects in the heterogeneous network autoregressive model presents significant challenges. These challenges arise from the large number of target parameters, potential endogeneity, and non-identifiability issues. To overcome these challenges, we reformulate the model into a higher-order version. Our proposed two-stage estimation procedure first reduces parameter complexity by screening out nodes with negligible network effects. Then, we employ the ordinary least squares method and the instrumental variables technique for effective post-screening estimation. We further investigate the consistency and asymptotic normality of the estimators under appropriate assumptions and explore the cases of heteroscedasticity. The finite sample performance of the two-stage method is evaluated by simulation studies and an empirical analysis.

Keywords: Heterogeneity; Instrumental variables; Network autoregressive model; Ordinary least squares; Screening (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715224001160
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:212:y:2024:i:c:s0167715224001160

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2024.110147

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().