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Refined GMM estimators for simultaneous equations models with network interactions

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The paper proposes a refinement of the generalized spatial two-stage and three-stage least squares estimators for simultaneous systems of equations with network interdependence, recently introduced in Drukker (Econom Theory 1-48,… Click to show full abstract

The paper proposes a refinement of the generalized spatial two-stage and three-stage least squares estimators for simultaneous systems of equations with network interdependence, recently introduced in Drukker (Econom Theory 1-48, 2022). Specifically, we propose a refined weighting of the moment conditions underlying those estimators. Monte Carlo simulations document that the refined weighting potentially achieves non-trivial reductions in the root mean-squared errors for the network parameters of interest.

Keywords: network; simultaneous equations; estimators simultaneous; refined gmm; equations models; gmm estimators

Journal Title: Empirical Economics
Year Published: 2023

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