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Social threshold regression

Author

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  • Konstantinidi, Antri
  • Kourtellos, Andros
  • Sun, Yiguo

Abstract

This paper develops a threshold social interaction model which introduces group-specific endogenous effects as well as contextual effects into a conventional spatial Durbin model. We propose a two-step GMM estimator for the threshold and regression parameters, derive asymptotic theory, and provide bootstrap inference. Finally, we assess the performance of our methods using a Monte Carlo simulation and provide an empirical application on the role of peer effects on student academic achievement using Add Health data.

Suggested Citation

  • Konstantinidi, Antri & Kourtellos, Andros & Sun, Yiguo, 2023. "Social threshold regression," Journal of Econometrics, Elsevier, vol. 235(2), pages 2057-2081.
    • Handle: RePEc:eee:econom:v:235:y:2023:i:2:p:2057-2081
    DOI: 10.1016/j.jeconom.2023.02.010
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    References listed on IDEAS

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    More about this item

    Keywords

    Social interactions; Social networks; Spatial autoregression; Threshold regression;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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