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Parametric and Semiparametric IV Estimation of Network Models with Selectivity

Tiziano Arduini (), Eleonora Patacchini and Edoardo Rainone
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Edoardo Rainone: Bank of Italy

No 1509, EIEF Working Papers Series from Einaudi Institute for Economics and Finance (EIEF)

Abstract: We propose parametric and semiparametric IV estimators for spatial autoregressive models with network data where the network structure is endogenous. We embed a dyadic network formation process in the control function approach as in Heckman and Robb (1985). In the semiparametric case, we use power series to approximate the correction terms. We establish the consistency and asymptotic normality for both parametric and semiparametric cases. We also investigate their finite sample properties via Monte Carlo simulation.

New Economics Papers: this item is included in nep-ecm
Date: 2015, Revised 2015-10
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