Identification Methods for Social Interactions Models with Unknown Networks
ISBN: 978-1-83867-576-9, eISBN: 978-1-83867-575-2
Publication date: 19 October 2020
Abstract
This chapter develops a set of two-step identification methods for social interactions models with unknown networks, and discusses how the proposed methods are connected to the identification methods for models with known networks. The first step uses linear regression to identify the reduced forms. The second step decomposes the reduced forms to identify the primitive parameters. The proposed methods use panel data to identify networks. Two cases are considered: the sample exogenous vectors span Rn (long panels), and the sample exogenous vectors span a proper subspace of Rn (short panels). For the short panel case, in order to solve the sample covariance matrices’ non-invertibility problem, this chapter proposes to represent the sample vectors with respect to a basis of a lower-dimensional space so that we have fewer regression coefficients in the first step. This allows us to identify some reduced form submatrices, which provide equations for identifying the primitive parameters.
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Acknowledgements
Acknowledgments
I thank Steven N. Durlauf, Yannis M. Ioannides, Xiaodong Liu, and Ping Yu for their support. I thank for the comments from the participants in the 34th Australasian Economic Theory Workshop, the 12th International Symposium on Econometric Theory and Applications and 26th New Zealand Econometric Study Group, the 15th International Workshop on Spatial Econometrics and Statistics, the 2017 Asian Meeting of the Econometric Society, the 11th World Conference of the Spatial Econometrics Association, the 2nd International Conference on Econometrics and Statistics, the Econometric Workshop at the Chinese University of Hong Kong, and the Advances in Econometrics Conference, and the seminars in the Academia Sinica and the Shanghai University of Finance and Economics. I acknowledge the financial supports from the Research Grants Council of Hong Kong (Early Career Scheme 799713, General Research Fund 17509716) and the Ministry of Science and Technology of Taiwan (MOST108-2410-H-002-250-MY2).
Citation
Kwok, H.H. (2020), "Identification Methods for Social Interactions Models with Unknown Networks", de Paula, Á., Tamer, E. and Voia, M.-C. (Ed.) The Econometrics of Networks (Advances in Econometrics, Vol. 42), Emerald Publishing Limited, Leeds, pp. 27-59. https://doi.org/10.1108/S0731-905320200000042007
Publisher
:Emerald Publishing Limited
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