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Fixed-effect regressions on network data

Author

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  • Koen Jochmans

    (Institute for Fiscal Studies and University of Cambridge)

  • Martin Weidner

    (Institute for Fiscal Studies and University College London)

Abstract

This paper studies inference on fixed eff ects in a linear regression model estimated from network data. We derive bounds on the variance of the fixed-e ffect estimator that uncover the importance of the smallest non-zero eigenvalue of the (normalized) Laplacian of the network and of the degree structure of the network. The eigenvalue is a measure of connectivity, with smaller values indicating less-connected networks. These bounds yield conditions for consistent estimation and convergence rates, and allow to evaluate the accuracy of first-order approximations to the variance of the fixed-eff ect estimator. Supplement for CWP32/16

Suggested Citation

  • Koen Jochmans & Martin Weidner, 2016. "Fixed-effect regressions on network data," CeMMAP working papers CWP32/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  • Handle: RePEc:ifs:cemmap:32/16
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    Cited by:

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    4. Vanessa Alviarez & Keith Head & Thierry Mayer, 2020. "Global Giants and Local Stars: How Changes in Brand Ownership Affect Competition," Working Papers wp2020_2009, CEMFI.
    5. Stephane Bonhomme & Angela Denis, 2024. "Estimating Heterogeneous Effects: Applications to Labor Economics," Papers 2404.01495, arXiv.org.
    6. repec:hal:wpspec:info:hdl:2441/6q707l4svn8k3bt630nhgdqgdu is not listed on IDEAS
    7. Faia, Ester & Ottaviano, Gianmarco & Spinella, Saverio, 2022. "Robot Adoption, Worker-Firm Sorting and Wage Inequality: Evidence from Administrative Panel Data," CEPR Discussion Papers 17451, C.E.P.R. Discussion Papers.
    8. Ajay Bhaskarabhatla & Luis Cabral & Deepak Hegde & Thomas Peeters, 2021. "Are Inventors or Firms the Engines of Innovation?," Management Science, INFORMS, vol. 67(6), pages 3899-3920, June.
    9. Patrick Kline & Raffaele Saggio & Mikkel Sølvsten, 2020. "Leave‐Out Estimation of Variance Components," Econometrica, Econometric Society, vol. 88(5), pages 1859-1898, September.
    10. repec:hal:spmain:info:hdl:2441/6q707l4svn8k3bt630nhgdqgdu is not listed on IDEAS
    11. Stéphane Bonhomme & Kerstin Holzheu & Thibaut Lamadon & Elena Manresa & Magne Mogstad & Bradley Setzler, 2023. "How Much Should We Trust Estimates of Firm Effects and Worker Sorting?," Journal of Labor Economics, University of Chicago Press, vol. 41(2), pages 291-322.
    12. van Ours, Jan C. & Peeters, Thomas, 2022. "International Assortative Matching in the European Labor Market," CEPR Discussion Papers 17630, C.E.P.R. Discussion Papers.
    13. Thibaut Lamadon & Elena Manresa & Stephane Bonhomme, 2016. "Discretizing Unobserved Heterogeneity," 2016 Meeting Papers 1536, Society for Economic Dynamics.
    14. repec:spo:wpecon:info:hdl:2441/6q707l4svn8k3bt630nhgdqgdu is not listed on IDEAS
    15. Arthur Lewbel & Samuel Norris & Krishna Pendakur & Xi Qu, 2022. "Consumption peer effects and utility needs in India," Quantitative Economics, Econometric Society, vol. 13(3), pages 1257-1295, July.
    16. Halvarsson, Daniel & Lark, Olga & Gustavsson Tingvall, Patrik, 2022. "Foreign Ownership and Transferring of Gender Norms," Working Paper Series 1433, Research Institute of Industrial Economics.
    17. Halvarsson, Daniel & Lark, Olga & Gustavsson Tingvall, Patrik, 2022. "Foreign Ownership and Transferring of Gender Norms," Working Papers 2022:6, Lund University, Department of Economics.
    18. Esteves, Rui & Geisler Mesevage, Gabriel, 2019. "Social Networks in Economic History: Opportunities and Challenges," Explorations in Economic History, Elsevier, vol. 74(C).
    19. Philippe CHONÉ & Lionel WILNER, 2019. "Competition on Unobserved Attributes: The Case of the Hospital Industry," Working Papers 2019-21, Center for Research in Economics and Statistics.
    20. Kramarz, Francis & Martin, Julien & Mejean, Isabelle, 2020. "Volatility in the small and in the large: The lack of diversification in international trade," Journal of International Economics, Elsevier, vol. 122(C).
    21. Michael P. Leung, 2023. "Network Cluster‐Robust Inference," Econometrica, Econometric Society, vol. 91(2), pages 641-667, March.
    22. Junhui Cai & Dan Yang & Wu Zhu & Haipeng Shen & Linda Zhao, 2021. "Network regression and supervised centrality estimation," Papers 2111.12921, arXiv.org.
    23. repec:spo:wpmain:info:hdl:2441/6q707l4svn8k3bt630nhgdqgdu is not listed on IDEAS
    24. Jochmans, K., 2019. "Heteroskedasticity-Robust Inference in Linear Regression Models," Cambridge Working Papers in Economics 1957, Faculty of Economics, University of Cambridge.
    25. Bartanen, Brendan & Husain, Aliza N., 2022. "Connected networks in principal value-added models," Economics of Education Review, Elsevier, vol. 90(C).

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    More about this item

    Keywords

    fixed effects; graph; Laplacian; network data; variance bound;
    All these keywords.

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis

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