IV Estimation of Spatial Dynamic Panels with Interactive Effects: Large Sample Theory and an Application on Bank Attitude Toward Risk
IV Estimation of Spatial Dynamic Panels with Interactive Effects: Large Sample Theory and an Application on Bank Attitude Toward Risk
复制标题
DOI：
10.2139/ssrn.3642451
复制
发表时间：
2020-03
期刊：
影响因子：
--
通讯作者：
Guowei Cui;Vasilis Sarafidis;Takashi Yamagata
中科院分区：
文献类型：
--
作者：
Guowei Cui;Vasilis Sarafidis;Takashi Yamagata
本文在大N和大T渐近条件下，提出了一种新的空间动态面板交互效应的工具变量估计方法。对于这类模型，文献中的大多数方法都是基于准最大似然估计。这里提出的方法从理论和实践的角度来看都是有吸引力的，原因有很多。首先，它在感兴趣的参数中是线性的，并且计算成本低。其次，IV估计量是免费的渐近偏差。第三，只要有外部工具，这种方法就可以容纳内生回归因素。当N，T → ∞时，IV估计量是一致且渐进正态的，使得N/T → c，其中0 < c < ∞。本文研究了银行机构风险态度的决定因素。结果表明，多德-弗兰克法案引入的资本监管成功地影响了银行的行为。
This paper develops a new Instrumental Variables estimator for spatial, dynamic panels with interactive effects under large N and T asymptotics. For this class of models, most approaches available in the literature are based on quasi-maximum likelihood estimation. The approach put forward here is appealing from both a theoretical and a practical point of view for a number of reasons. Firstly, it is linear in the parameters of interest and computationally inexpensive. Secondly, the IV estimator is free from asymptotic bias. Thirdly, the approach can accommodate endogenous regressors, so long as external instruments are available. The IV estimator is consistent and asymptotically normal as N, T → ∞, such that N/T → c, where 0 < c < ∞. We study the determinants of risk attitude of banking institutions. The results show that the capital regulation introduced by the Dodd-Frank Act has succeeded in influencing banks’ behaviour.