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



| (1) Constant term only -14440.59456 .160323D+05 .0000000 |
| (2) Group effects only -13090.06861 .115537D+05 .2793479 |

| (3) X - variables only -10607.00559   .632610D+04  .6054141 |

| (4) X and group effects -6545.27672   .236180D+04  .8526843 |

|                                                                                                                                                                                                                                                                                                                                                   |

|                  Hypothesis Tests              |

| Likelihood Ratio Test         F Tests |

| Chi-squared d.f. Prob. F num. denom. Prob value |

| (2) vs (1) 2701.052 1306 .00000 2.059 1306 6937 .00000 |

| (3) vs (1) 7667.178   8   .00000 1579.565 8 8236 .00000 |

| (4) vs (1) 15790.636 1314 .00000 30.526 1314 6930 .00000 |

| (4) vs (2) 13089.584   8 .00000 3371.348 8 6930 .00000 |

| (4) vs (3) 8123.458 1306 .00000 8.907 1306 6930 .00000 |

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

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

: Current sample contains 8245 observations.:

+========================================================================+

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

| Random Effects Model: v(i,t) = e(i,t) + u(i) |

| Estimates: Var[e] = .340809D+00 |

| Var[u] = .444638D+00 |

|        Corr[v(i,t),v(i,s)] = .566095    |

| Lagrange Multiplier Test vs. Model (3) = 6620.14 |

| ( 1 df, prob value = .000000)            |

| Fixed vs. Random Effects (Hausman) = 69.77 |

| ( 8 df, prob value = .000000)           |

| Estd. Autocorrelation of e(i,t) .002718   |

| Reestimated using GLS coefficients:        |

| Estimates: Var[e] = .341339D+00 |

| Var[u] = .452900D+00 |

| Sum of Squares .638894D+04 |

| R-squared .601495D+00 |

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

Variable Coefficient Standard Error b/St.Er. P[|Z|>z] Mean of X

COSRAT 19.139    1.8129   10.557 .00000 .2759E-01

NBANKS .94458E-02  .10359E-02 9.119 .00000 25.55

ANN90

2.3591

.26680E-01

88.423

.00000

.1216

ANN91

2.2987

.26358E-01

87.213

.00000

.1300

ANN92

2.8561

.25209E-01

113.296

.00000

.1460

ANN93

.88679

.25796E-01

34.377

.00000

.1474

ANN94

.17299

.24449E-01

7.076

.00000

.1500

ANN95

1.0434

.23483E-01

44.434

.00000

.1544

Constant

3.9245

.56392E-01

69.594

.00000

STATA 6.0 OUTPUT

Fixed-effects (within) regression Number of obs = 8245
Group variable (i) : abipro        Number of groups =   1307

R-sq: within = 0.7956       Obs per group: min =    1

23



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