Correcting for productivity growth misspecification: A local likelihood estimation in global banking
提出一种灵活的总要素生产率函数形式，通过局部似然非参数方法处理设定错误、内生性和异方差性，并在全球银行数据中测度生产率，发现技术促进生产率，而不良贷款、风险承担和资本增加有相反影响。
Abstract Decomposing firm productivity has been challenging for some time. We propose a flexible functional form for total factor productivity that treats misspecification and endogeneity. The model also treats heteroscedasticity. Our productivity measure nests both the input distance function and output distance function. We provide details of a novel Local Likelihood estimation, a non‐parametric technique, to estimate productivity which also has excellent finite‐sample properties. In an empirical application, we measure bank productivity at the global level. Results show that productivity is correctly identified, and the flexibility of our methodology allows to estimate the impact of equity and nonperforming loans on bank productivity. Technology has positively contributed to productivity. However, nonperforming loans, bank risk‐taking and raising capital have had the opposite effect.