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

ANN94 .2078109186 .0251020549 8.278641708 [.000]

ANN95 1.061031859 .0235980764 44.96264182 [.000]

Variance Components (random effects) Estimates:

VWITH (variance of Uit) = .34081

VBET (variance of Ai) = .42730
(computed from small sample formula)
THETA (0=WITHIN, 1=TOTAL) = .10229
(evaluated at TMAX = 7)

Dependent variable: RATE

Mean of dep. var. = 6.008486356

Std. dev. of dep. var. = 1.394531738

Sum of squared residuals = 6387.212931

Variance of residuals = .7755236682

Std. error of regression = .8806382164

R-squared = .6016887144

Adjusted R-squared = .6013018166

LM het. test = 98.56427090 [.000]

Durbin-Watson = .5944021688 [.000,.000]

Estimated Standard

Variable Coefficient Error t-statistic P-value

COSRAT 19.31537278 1.802406350 10.71643627 [.000]

NBANKS .9442362215E-02 .1018982787E-02 9.266459000 [.000]

C 3.920533084 .0558821081 70.15721522 [.000]

Hausman test of H0:RE vs. FE: CHISQ(8) = 72.034, P-value = [.0000]

Limdep Version 7.0 OUTPUT

+=======================================================================+
: LIMDEP Estimation Results

: Sample was reset SAMPLE 1-7165,7243-8322$:

: Current sample contains 8245 observations.:

+-----------------------------------------------------------------------+

| OLS Without Group Dummy Variables |

| Ordinary least squares regression Weighting variable = ONE |

| Dependent variable is RATE Mean = 6.00849, S.D. = 1.3945 |

| Model size: Observations = 8245, Parameters = 9, Deg.Fr.= 8236 |
| Residuals: Sum of squares = 6326.1039, Std.Dev. = .87642 |

| Fit: R-squared = .60541, Adjusted R-squared = .60503 |

| Model test: F[ 8, 8236] = 1579.56, Prob value = .00000 |