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



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

sigma_u | .65647679

sigma_e | .58378825

rho | .55840665 (fraction of variance due to u_i)

. xttest0

Breusch and Pagan Lagrangian multiplier test for random effects:

rate[abipro,t] = Xb + u[abipro] + e[abipro,t]

Estimated results:

Var sd = sqrt(Var)
---------+-----------------------------
rate | 1.944719    1.394532

e | .3408087   .58378825

u | .4309618   .65647679

Test: Var(u) = 0

chi2(1) = 6620.14
Prob>chi2 = 0.0000

. xthaus

Hausman specification test

----Coefficients ----

|   Fixed   Random

rate | Effects   Effects    Difference

---------+-
cosrat |

12.09587

19.27733

-----7-.-1--8-1465

nbanks |

.0076926

.0094431

-.0017505

ann90 |

2.405859

2.358083

.0477767

ann91 |

2.349755

2.297686

.0520688

ann92 |

2.900835

2.855151

.0456835

ann93 |

.9376989

.8857715

.0519274

ann94 |

.2078109

.1722926

.0355183

ann95 |

1.061032

1.043054

.0179776

Test: Ho: difference in coefficients not systematic

chi2( 8) = (b-B)'[S^(-1)](b-B), S = (S_fe - S_re) = 80.62

Prob>chi2 = 0.0000

25



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