A COMPARATIVE STUDY OF ALTERNATIVE ECONOMETRIC PACKAGES: AN APPLICATION TO ITALIAN DEPOSIT INTEREST RATES



TSP

θi


= 1

—


= 1

—


LIMDEP

STATA

Although the three estimators are asymptotically equivalent, they show different small-sample
properties.21

The three software packages have been used to estimate 5 possible model specifications adopting
both fixed and random effects. The execution times (on a Risk6000 990 platform) and program sizes are
compared in the following table:

Package

Execution

Time (sec.)

Lines
of

Code

TSP

5

30

LIMDEP

12

28

STATA

38

46

On the issue concerning the numerical differences of the random effects estimates, we have analyzed
the comparative efficiency of the small-sample properties of the three estimators. This task has been
accomplished by running a parametric bootstrap procedure starting from the OLS estimation residuals in
one selected specification22. The parametric bootstrap used in this exercise is not a bootstrap in the usual
sense of the word, it consists in the Monte Carlo exercise described in the following seven steps:

21 On this subject see Swamy and Arora (1972).

22 See Bellmann, Breitung and Wagner (1989).

12



More intriguing information

1. Perceived Market Risks and Strategic Risk Management of Food Manufactures: Empirical Results from the German Brewing Industry
2. Strategic monetary policy in a monetary union with non-atomistic wage setters
3. Optimal Private and Public Harvesting under Spatial and Temporal Interdependence
4. Spectral density bandwith choice and prewightening in the estimation of heteroskadasticity and autocorrelation consistent covariance matrices in panel data models
5. On the job rotation problem
6. Auctions in an outcome-based payment scheme to reward ecological services in agriculture – Conception, implementation and results
7. The name is absent
8. FASTER TRAINING IN NONLINEAR ICA USING MISEP
9. The name is absent
10. Wirkt eine Preisregulierung nur auf den Preis?: Anmerkungen zu den Wirkungen einer Preisregulierung auf das Werbevolumen
11. Evidence of coevolution in multi-objective evolutionary algorithms
12. A Bayesian approach to analyze regional elasticities
13. Industrial Cores and Peripheries in Brazil
14. References
15. The name is absent
16. A MARKOVIAN APPROXIMATED SOLUTION TO A PORTFOLIO MANAGEMENT PROBLEM
17. SOME ISSUES IN LAND TENURE, OWNERSHIP AND CONTROL IN DISPERSED VS. CONCENTRATED AGRICULTURE
18. The name is absent
19. Examining the Regional Aspect of Foreign Direct Investment to Developing Countries
20. Backpropagation Artificial Neural Network To Detect Hyperthermic Seizures In Rats