arXiv 25 Apr 2023 · Econometrics
arXiv:2304.12554 · PDF · DOI · OpenAlex · Extracted main text
We propose a rate optimal estimator for the linear regression model on network data with interacted (unobservable) individual effects. The estimator achieves a faster rate of convergence $N$ compared to the standard estimators' $\sqrt{N}$ rate and is efficient in cases that we discuss. We observe that the individual effects alter the eigenvalue distribution of the data's matrix representation in significant and distinctive ways. We subsequently offer a correction for the ordinary least squares' objective function to attenuate the statistical noise that arises due to the individual effects, and in some cases, completely eliminate it. The new estimator is asymptotically normal and we provide a valid estimator for its asymptotic covariance matrix. While this paper only considers models accounting for first-order interactions between individual effects, our estimation procedure is naturally extendable to higher-order interactions and more general specifications of the error terms.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Z. Füredi and J. Komlós (1981) The eigenvalues of random symmetric matrices | 0.874 | 5 | 2 | 100% |
| 2 | Jeffrey M Wooldridge (2010) Econometric Analysis of Cross Section and Panel Data, volume 1 of MIT Press Books | 0.737 | 3 | 2 | 100% |
| 3 | James R. Bunch, Christopher P. Nielsen, and Danny C. Sorensen (1978) Rank-one modification of the symmetric eigenproblem | 0.644 | 2 | 2 | 100% |
| 4 | Konrad Menzel (2021) Bootstrap with cluster-dependence in two or more dimensions | 0.644 | 2 | 2 | 100% |
| 5 | John M. Abowd, Francis Kramarz, and David N. Margolis (1999) High wage workers and high wage firms | 0.585 | 3 | 1 | 100% |
| 6 | Stéphane Bonhomme, Thibaut Lamadon, and Elena Manresa (2019) A distributional framework for matched employer employee data | 0.511 | 2 | 1 | 100% |
| 7 | Florent Benaych-Georges and Antti Knowles Lectures on the local semicircle law for wigner matrices, 2016 | 0.511 | 2 | 1 | 100% |
| 8 | C. Kirabo Jackson, Jonah E. Rockoff, and Douglas O. Staiger (2014) Teacher effects and teacher-related policies | 0.511 | 2 | 1 | 100% |
| 9 | James E. Anderson and Eric van Wincoop (2003) Gravity with gravitas: A solution to the border puzzle | 0.405 | 1 | 1 | 100% |
| 10 | Stéphane Bonhomme and Elena Manresa (2015) Grouped patterns of heterogeneity in panel data | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 22 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Extremal Quantiles under Two-Way Clustering | 0.405 | 1 | 1 |