Two-Step Estimation of Endogenous and Exogenous Group Effects
提出两步法识别和估计Manski及Brock-Durlauf离散选择模型中的内生和外生社会互动，利用大群体先估计含群体固定效应的Probit模型，再用工具变量法估计群体效应，计算简单且适用于多重均衡。
In this article, we propose a two-step method to identify and estimate endogenous and exogenous social interactions in the Manski (1993 ——— ( 1993 ). Identification of endogenous social effects: the reflection problem . Review of Economic Studies 60 : 531 – 542 .[Crossref], [Web of Science ®] , [Google Scholar]) and Brock and Durlauf's (2001a 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 .[Crossref] , [Google Scholar],b) discrete choice model with unobserved group variables. Taking advantage of social groups with large group sizes, we first estimate a probit model with group fixed-effects, and then use the instrumental variables method to estimate endogenous and exogenous group effects via the group fixed-effect estimates. Our method is computationally simple. The method is applicable not only to the case of single equilibrium but also the multiple equilibria case without the need to specify an (arbitrary) equilibrium selection mechanism. The article provides a Monte Carlo study on the finite sample performance of such estimators.