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摘要翻译：
本文探讨了一个具有横截面相互作用的面板数据模型的估计，该模型在确定横截面单元之间的连接网络的方法和控制未观察到的异质性方面都是灵活的。假设网络上存在不同的信息源，这些信息源可以用多个权重矩阵的形式表示。这些矩阵可以反映观察到的链接、连通性的不同度量、分组或其他网络结构，矩阵的数量可能随着样本量的增加而增加。提出了一种惩罚拟极大似然估计方法，通过将无关权矩阵的系数缩至零来降低网络的误规格风险。此外，在估计中控制未观察到的因素提供了一种保护，防止可能由未观察到的异质性引起的错误说明。在每个参数的真值随总参数数的增加而保持不变的框架下，导出了估计量的渐近性质。蒙特卡罗模拟用于评估有限样本的性能，并在一个实证应用中应用该方法研究网络溢出在决定各国增长率中的流行程度。
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英文标题：
《Shrinkage Estimation of Network Spillovers with Factor Structured Errors》
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作者：
Ayden Higgins and Federico Martellosio
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最新提交年份：
2021
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分类信息：
一级分类：Economics 经济学
二级分类：Econometrics 计量经济学
分类描述：Econometric Theory, Micro-Econometrics, Macro-Econometrics, Empirical Content of Economic Relations discovered via New Methods, Methodological Aspects of the Application of Statistical Inference to Economic Data.
计量经济学理论，微观计量经济学，宏观计量经济学，通过新方法发现的经济关系的实证内容，统计推论应用于经济数据的方法论方面。
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英文摘要：
This paper explores the estimation of a panel data model with cross-sectional interaction that is flexible both in its approach to specifying the network of connections between cross-sectional units, and in controlling for unobserved heterogeneity. It is assumed that there are different sources of information available on a network, which can be represented in the form of multiple weights matrices. These matrices may reflect observed links, different measures of connectivity, groupings or other network structures, and the number of matrices may be increasing with sample size. A penalised quasi-maximum likelihood estimator is proposed which aims to alleviate the risk of network misspecification by shrinking the coefficients of irrelevant weights matrices to exactly zero. Moreover, controlling for unobserved factors in estimation provides a safeguard against the misspecification that might arise from unobserved heterogeneity. The asymptotic properties of the estimator are derived in a framework where the true value of each parameter remains fixed as the total number of parameters increases. A Monte Carlo simulation is used to assess finite sample performance, and in an empirical application the method is applied to study the prevalence of network spillovers in determining growth rates across countries.
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PDF链接：
https://arxiv.org/pdf/1909.02823
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