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



local regr1 "herfin cosrat ann90 ann91 ann92 ann93 ann94 ann95"

local regr2 "herfin cosrat nbanks ann90 ann91 ann92 ann93 ann94 ann95"

local regr3 "cosrat nbanks ann90 ann91 ann92 ann93 ann94 ann95"

local regr4 "share3 cosrat ann90 ann91 ann92 ann93 ann94 ann95"

local regr5 "share3 cosrat nbanks ann90 ann91 ann92 ann93 ann94 ann95"

xtreg rate 'regr3', fe i(abipro)

xtreg rate 'regr3', re i(abipro) th

xttest0

xthaus

The above program listings show only the first of the 5 estimation commands. The following tables also
show the output containing the results of the first estimation:

TSP Version 4.4 OUTPUT

EXECUTION

Current sample: 1 to 7165, 7243 to 8322

PANEL DATA ESTIMATION

Unbalanced data: NI= 1307, TMIN= 1 TMAX= 7, NOB= 8245

WITHIN (fixed effects) Estimates:

Dependent variable: RATE

Mean of dep. var. = 6.008486356

Std. dev. of dep. var. = 1.394531738

Sum of squared residuals = 2361.804409

Variance of residuals = .3408087170

Std. error of regression = .5837882467

R-squared = .8526842637

Adjusted R-squared = .8247516696
LM het. test = 21.98008642 [.000]

Durbin-Watson = 1.606400250 [.000,.000]

Estimated Standard

Variable Coefficient Error t-statistic P-value

COSRAT 12.09587104   2.207111014   5.480408988   [.000]

NBANKS .7692621677E-02 .3997860076E-02 1.924184822   [.054]

ANN90

2.405859480

.0278008801

86.53896821

[.000]

ANN91

2.349755038

.0273895121

85.79032101

[.000]

ANN92

2.900834885

.0261248276

111.0374749

[.000]

ANN93

.9376989611

.0270357743

34.68363625

[.000]

20



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