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dc.contributor.author
Montes Rojas, Gabriel Victorio  
dc.date.available
2023-07-20T12:24:27Z  
dc.date.issued
2022-01  
dc.identifier.citation
Montes Rojas, Gabriel Victorio; Subgraph Network Random Effects Error Components Models: Specification and Testing; De Gruyter; Journal of Econometric Methods; 11; 1; 1-2022; 17-34  
dc.identifier.uri
http://hdl.handle.net/11336/204581  
dc.description.abstract
This paper develops a subgraph random effects error components model for network data linear regression where the unit of observation is the node. In particular, it allows for link and triangle specific components, which serve as a basal model for modeling network effects. It then evaluates the potential effects of ignoring network effects in the estimation of the coefficients' variance-covariance matrix. It also proposes consistent estimators of the variance components using quadratic forms and Lagrange Multiplier tests for evaluating the appropriate model of random components in networks. Monte Carlo simulations show that the tests have good performance in finite samples. It applies the proposed tests to the Call interbank market in Argentina.  
dc.format
application/pdf  
dc.language.iso
eng  
dc.publisher
De Gruyter  
dc.rights
info:eu-repo/semantics/restrictedAccess  
dc.rights.uri
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/  
dc.subject
CLUSTERS  
dc.subject
MOULTON FACTOR  
dc.subject
NETWORKS  
dc.subject.classification
Economía, Econometría  
dc.subject.classification
Economía y Negocios  
dc.subject.classification
CIENCIAS SOCIALES  
dc.title
Subgraph Network Random Effects Error Components Models: Specification and Testing  
dc.type
info:eu-repo/semantics/article  
dc.type
info:ar-repo/semantics/artículo  
dc.type
info:eu-repo/semantics/publishedVersion  
dc.date.updated
2023-07-07T23:00:51Z  
dc.identifier.eissn
2156-6674  
dc.journal.volume
11  
dc.journal.number
1  
dc.journal.pagination
17-34  
dc.journal.pais
Alemania  
dc.journal.ciudad
Berlín  
dc.description.fil
Fil: Montes Rojas, Gabriel Victorio. Consejo Nacional de Investigaciones Científicas y Técnicas. Oficina de Coordinación Administrativa Saavedra 15. Instituto Interdisciplinario de Economía Política de Buenos Aires. Universidad de Buenos Aires. Facultad de Ciencias Económicas. Instituto Interdisciplinario de Economía Política de Buenos Aires; Argentina  
dc.journal.title
Journal of Econometric Methods  
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/doi/http://dx.doi.org/10.1515/jem-2021-0001  
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/url/https://www.degruyter.com/document/doi/10.1515/jem-2021-0001/html