Refined GMM estimators for simultaneous equations models with network interactions

Peter Egger and Ingmar Prucha

Empirical Economics, 2023, vol. 64, issue 6, No 4, 2535-2542

Abstract: 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.

Keywords: Cliff-Ord spatial model; Two-stage least squares estimation; Three-stage least squares estimation; Generalized method of moments estimation (search for similar items in EconPapers)
JEL-codes: C21 C31 C36 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s00181-023-02408-8

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