Granger Centre Seminar: Andros Kourtellos (University of Cyprus)

Threshold spatial Durbin model

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.

Full paper (.pdf)