A Panel Data Model with Generalized Higher-Order Network Effects

Abstract

Many data situations require the consideration of network effects among the cross-sectional units of observation. In this chapter, the authors present a generalized panel model which accounts for two features: (i) network effects present through weighted dependent variables as regressors, exogenous variables, as well as the error components, and (ii) higher-order network effects due to ex ante unknown network decay functions or the presence of multiplex (multi-layer) networks among all of those. The authors outline the model, the basic assumptions, and present simulation results.

Citation

Baltagi, B.H., Ding, S. and Egger, P.H. (2022), "A Panel Data Model with Generalized Higher-Order Network Effects", Chudik, A., Hsiao, C. and Timmermann, A. (Ed.) Essays in Honor of M. Hashem Pesaran: Panel Modeling, Micro Applications, and Econometric Methodology (Advances in Econometrics, Vol. 43B), Emerald Publishing Limited, Leeds, pp. 9-35. https://doi.org/10.1108/S0731-90532021000043B002