Subgraph Network Random Effects Error Components Models: Specification and Testing

Gabriel Montes-Rojas ()

No 2019-44, Documentos de trabajo del Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET) from Universidad de Buenos Aires, Facultad de Ciencias Económicas, Instituto Interdisciplinario de Economía Política IIEP (UBA-CONICET)

Abstract: This paper develops a subgraph network random effects error components for network data regression models. In particular, it allows for edge and triangle specific components, which serve as a basal model for modeling network effects. It then evaluates the potential effects of ignoring network effects in the estimation of the variance-covariance matrix. It also proposes consistent estimator of the variance components and Lagrange Multiplier tests for evaluating the appropriate model of random components in networks. Monte Carlo simulations show that the tests have good performance in finite samples. It applies the proposed tests to the Call interbank market in Argentina.

Keywords: Networks; Clusters; Moulton Factor (search for similar items in EconPapers)
JEL-codes: C12 C2 (search for similar items in EconPapers)
Date: 2019-05
New Economics Papers: this item is included in nep-ecm, nep-net and nep-ore
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Journal Article: Subgraph Network Random Effects Error Components Models: Specification and Testing (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:ake:iiepdt:201944

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