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GMM identification and estimation of peer effects in a system of simultaneous equations

Xiaodong Liu

Journal of Spatial Econometrics, 2020, vol. 1, issue 1, 1-27

Abstract: Abstract This paper considers the identification and estimation of network models with agents interacting in multiple activities. We establish the model identification using both linear and quadratic moment conditions. The quadratic moment conditions exploit the correlation of individual decisions within and across different activities, and provide an additional channel to identify peer effects. Combining linear and quadratic moment conditions, we propose a general GMM framework for the estimation of simultaneous equations network models. The GMM estimator improves the asymptotic efficiency of the existing IV-based linear estimators in the literature. Simulation experiments show that the GMM estimator performs well in finite samples.

Keywords: Social networks; Quadratic moment conditions; Efficiency; Many-instrument bias (search for similar items in EconPapers)
JEL-codes: C31 C36 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s43071-020-0001-4

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Journal of Spatial Econometrics is currently edited by Giuseppe Arbia, Lung Fei Lee and James LeSage

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