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Social threshold regression
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DOI：10.1016/j.jeconom.2023.02.010.png)
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Abstract
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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.& COPY; 2023 Elsevier B.V. All rights reserved.
Keywords:
Social interactions
Social networks
Spatial autoregression
Threshold regression
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