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Nonlinear factor models for network and panel data
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Chen, Mingli, Fernandez-Val, Ivan and Weidner, Martin (2021) Nonlinear factor models for network and panel data. Journal of Econometrics, 220 (2). pp. 296-324. doi:10.1016/j.jeconom.2020.04.004 ISSN 0304-4076.
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WRAP-nonlinear-factor-models-network-panel-data-Chen-2020.pdf - Accepted Version - Requires a PDF viewer. Available under License Creative Commons Attribution Non-commercial No Derivatives 4.0. Download (1048Kb) | Preview |
Official URL: https://doi.org/10.1016/j.jeconom.2020.04.004
Abstract
Factor structures or interactive effects are convenient devices to incorporate latent variables in panel data models. We consider fixed effect estimation of nonlinear panel single-index models with factor structures in the unobservables, which include logit, probit, ordered probit and Poisson specifications. We establish that fixed effect estimators of model parameters and average partial effects have normal distributions when the two dimensions of the panel grow large, but might suffer from incidental parameter bias. We also show how models with factor structures can be applied to capture important features of network data such as reciprocity, degree heterogeneity, homophily in latent variables, and clustering. We illustrate this applicability with an empirical example to the estimation of a gravity equation of international trade between countries using a Poisson model with multiple factors.
Item Type: | Journal Article | |||||||||||||||
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Subjects: | Q Science > QB Astronomy T Technology > T Technology (General) T Technology > TK Electrical engineering. Electronics Nuclear engineering |
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Divisions: | Faculty of Social Sciences > Economics | |||||||||||||||
Library of Congress Subject Headings (LCSH): | Computer networks, Electronic data processing, Gravity | |||||||||||||||
Journal or Publication Title: | Journal of Econometrics | |||||||||||||||
Publisher: | Elsevier BV * North-Holland | |||||||||||||||
ISSN: | 0304-4076 | |||||||||||||||
Official Date: | February 2021 | |||||||||||||||
Dates: |
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Volume: | 220 | |||||||||||||||
Number: | 2 | |||||||||||||||
Page Range: | pp. 296-324 | |||||||||||||||
DOI: | 10.1016/j.jeconom.2020.04.004 | |||||||||||||||
Status: | Peer Reviewed | |||||||||||||||
Publication Status: | Published | |||||||||||||||
Access rights to Published version: | Restricted or Subscription Access | |||||||||||||||
Date of first compliant deposit: | 25 February 2020 | |||||||||||||||
Date of first compliant Open Access: | 22 May 2022 | |||||||||||||||
RIOXX Funder/Project Grant: |
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