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.

中文翻译：

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具有交互效应的空间动态面板的IV估计：大样本理论及其在银行风险态度上的应用

本文开发了一种新的工具变量估计器，用于在大 N 和 T 渐近下具有交互效应的空间动态面板。对于这类模型，文献中可用的大多数方法都基于准最大似然估计。出于多种原因，这里提出的方法从理论和实践的角度来看都很有吸引力。首先，它在感兴趣的参数方面是线性的并且计算成本低。其次，IV 估计量没有渐近偏差。第三，只要有外部工具可用，该方法就可以适应内生回归因子。IV 估计量是一致的且渐近正态的，因为 N，T → ∞，使得 N/T → c，其中 0 <; c < ∞。我们研究了银行机构风险态度的决定因素。