A0261
Title: Recovering latent linkage structures and spillover effects with structural breaks in panel data models
Authors: Wendun Wang - Erasmus University Rotterdam (Netherlands) [presenting]
Abstract: The aim is to capture time-varying spillover effects in a panel data setting. We consider panel models where the outcome of a unit not only depends on its own characteristics and also the characteristics of other units (spillover effects). The effect of own characteristics can be unit-specific or homogeneous (common effects). We allow the linkage structure, i.e., which units interact with which, to be latent, and the structure and the spillover effects may both change at an unknown breakpoint. To estimate the breakpoint, spillover and common effects, we solve a penalized least squares optimization and employ double machine learning procedures to improve the convergence and inference. We establish the super consistency of the breakpoint estimator and provide asymptotic properties of estimated spillover and common effects. We illustrate the theory via simulated and empirical data.
