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



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