Two-Step Estimation of Endogenous and Exogenous Group Effects

REFERENCES

• Amemiya , T. ( 1985 ). Advanced Econometrics . Cambridge , MA : Harvard University Press .
   Google Scholar
• Andrews , D. W. K. ( 2005 ). Cross-section regression with common shocks . Econometrica 73 : 1551 – 1585 .
   Web of Science ®Google Scholar
• Baltagi , B. H. ( 1995 ). Econometric Analysis of Panel Data . New York : Wiley .
   Google Scholar
• Borjas , G. J. , Sueyoshi , G. T. ( 1994 ). A two-stage estimator for probit models with structural group effects . Journal of Econometrics 64 : 165 – 182 .
   Web of Science ®Google Scholar
• Brock , W. A. , Durlauf , S. N. ( 2001a ). Interactions-based models . In: Heckman , J. J. , Leamer , E. , eds. Handbook of Econometrics . Vol. 5 , Amsterdam : North-Holland .
   Google Scholar
• Brock , W. A. , Durlauf , S. N. ( 2001b ). Discrete choice with social interactions . Review of Economic Studies 68 : 235 – 260 .
   Web of Science ®Google Scholar
• Brock , W. A. , Durlauf , S. N. ( 2007 ). Identification of binary choice models with social interactions . Journal of Econometrics 140 : 52 – 75 .
   Web of Science ®Google Scholar
• Hsiao , C. (1986). Analysis of Panel Data. In: Econometric Society Monographs No. 11. New York : Cambridge University Press.
   Google Scholar
• Gallant , A. R. , Nychka , D. W. ( 1987 ). Seminonparametric maximum likelihood estimation . Econometrica 55 : 363 – 390 .
   Web of Science ®Google Scholar
• Greene , W. ( 2004 ). The behaviour of the maximum likelihood estimator of limited dependent variable models in the presence of fixed effects . Econometrics Journal 7 : 98 – 119 .
   Google Scholar
• Hall , B. ( 1978 ). A general framework for time series: cross section estimation . Annales de l'INSEE 30/31 : 177 – 202 .
   Google Scholar
• Hausman , J. A. , Taylor , W. E. ( 1981 ). Panel data and unobservable individual effects . Econometrica 49 : 1377 – 1398 .
   Web of Science ®Google Scholar
• Hahn , J. , Newey , W. ( 2004 ). Jackknife and analytical bias reduction for nonlinear panel models . Econometrica 72 : 1295 – 1319 .
   Web of Science ®Google Scholar
• Ichimura , H. ( 1993 ). Semiparametric least squares (sls) and weighted sls estimation of single-index models . Journal of Econometrics 58 : 71 – 120 .
   Web of Science ®Google Scholar
• Krauth , B. ( 2006 ). Simulation-based estimation of peer effects . Journal of Econometrics 133 : 243 – 271 .
   Google Scholar
• Lee , L. F. ( 1982 ). Some approaches to the correction of selectivity bias . The Review of Economic Studies XLIX : 355 – 372 .
   Google Scholar
• Li , J. , Lee , L. F. ( 2009 ). Binary choice under social interaction: an empirical study with and without subjective data of expectation . Journal of Applied Econometrics 24 : 257 – 281 .
   Web of Science ®Google Scholar
• Manski , C. F. ( 1991 ). Nonparametric estimation of expectations in the analysis of discrete choice under uncertainty . In: Barnett , W. , Powell , J. , Tauchen , G. , eds. Nonparametric and Semiparametric Methods in Econometrics and Statistics , New York : Cambridge U. Press , pp. 259 – 275 .
   Google Scholar
• ——— ( 1993 ). Identification of endogenous social effects: the reflection problem . Review of Economic Studies 60 : 531 – 542 .
   Web of Science ®Google Scholar
• Moffitt , R. A. ( 2001 ). Policy interventions, low-level equilibria, and social interactions . In: Durlauf , S. N. , Young , H. P. , eds. Social Dynamics . Cambridge : MIT Press .
   Google Scholar
• Newey , W. K. ( 1990 ). Efficient instrumental variables estimation of nonlinear models . Econometrica 58 : 809 – 837 .
   Web of Science ®Google Scholar
• Newey , W. K. , Powell , J. L. , Walker , J. R. ( 1990 ). Semiparametric estimation of selection models: some empirical results . American Economic Review Papers and Proceedings 80 : 324 – 328 .
   Web of Science ®Google Scholar
• Shang , Q. ( 2008 ). Endogenous neighborhood effects on welfare participation . Working paper, Department of Economics, State University of New York at Buffalo , NY .
   Google Scholar
• Soetevent , A. R. , Kooreman , P. ( 2007 ). A discrete-choice model with social interactions: with an application to high school teen behavior . Journal of Applied Econometrics 22 : 599 – 624 .
   Google Scholar
• Su , C-L. , Judd , K. L. ( 2008 ). Constrainted optimization approaches to estimation of structural models . Discussion Papers 1460, Northwestern University, Center for Mathematical Studies in Economics and Management Science .
   Google Scholar