Semiparametrically Efficient Estimation of Linear Regression Models with Spillovers

Debarsy, Nicolas; Verardi, Vincenzo; Vermandele, Catherine

Type de document :

Pré-publication ou Document de travail

URL permanente :

http://hdl.handle.net/20.500.12210/124204

Titre :

Semiparametrically Efficient Estimation of Linear Regression Models with Spillovers

Auteur(s) :

Debarsy, Nicolas [Auteur]

Lille économie management - UMR 9221 [LEM]
Verardi, Vincenzo [Auteur]
Vermandele, Catherine [Auteur]

Mot(s)-clé(s) en anglais :

Spillovers
Efficiency
Local Asymptotic Normality
Semiparametric estimation

Discipline(s) HAL :

Économie et finance quantitative [q-fin]
Statistiques [stat]/Méthodologie [stat.ME]

Résumé en anglais : [en]

Linear regression models with spillover effects generally cannot be estimated using ordinary least squares given the simultaneity that results from interactions among individuals. Instead, they are fitted using two-stage ...
Lire la suite >Linear regression models with spillover effects generally cannot be estimated using ordinary least squares given the simultaneity that results from interactions among individuals. Instead, they are fitted using two-stage least squares (Kelejian and Prucha, 1998; Bramoullé et al., 2009), generalized method of moments (Liu et al., 2010), (quasi-) maximum likelihood typically under the normality assumption (Lee, 2004) or adaptive estimation (Robinson, 2010). In this article, we propose a semiparametrically efficient estimator, based on the Local Asymptotic Normality theory of Le Cam (1960) and on the work of Hallin et al. (2006, 2008) on residuals ranks-and-signs, that only requires strong unimodality of errors' distribution as a distributional assumption. Monte Carlo simulations show that the suggested estimator performs well in comparison to competing estimators. A trade regression from Behrens et al. ( 2012) is used to illustrate how empirical findings might greatly change when the Gaussian distribution is not imposed.Lire moins >

Langue :

Anglais

Collections :

Lille Économie Management (LEM) - UMR 9221

Source :

Harvested from HAL

Date de dépôt :

2025-02-22T03:04:26Z

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