Xuening Zhu, Danyang Huang, Rui Pan, Hansheng Wang

【Abstract】

The rapid growth of social network platforms generates a large amount of social network data, where multivariate responses are frequently collected from users. To statistically model such type of data, the multivariate spatial autoregressive (MSAR) model is studied. To estimate the model, the quasi maximum likelihood estimator (QMLE) is obtained under certain technical conditions. However, it is found that the computational cost of QMLE is expensive. To fix this problem, a least squares estimator (LSE) is developed. The corresponding identification conditions and asymptotic properties are investigated. To gauge the finite sample performance of various estimators, a number of simulation studies are conducted. Lastly, a Sina Weibo dataset is analyzed for illustration purpose.

【Keywords】

least squares estimator, quasi maximum likelihood estimator, multivariate responses, social network, network autoregression