Affiliations: [a] Research Department, Banca d'Italia, Via Nazionale
91, I-00184 Rome, Italy. Tel.: +39 06 47924164, +39 06 47922335; Fax: +39 06
4747820, +39 06 47923611; E-mail: {bruno.giuseppe,
debonis.riccardo}@insedia.interbusiness.it | 601 West 113th Street, #12G, New York, NY 10025, USA. E-mail:
cgrenfro@modler.com
Correspondence:
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Corresponding author
Abstract: This paper compares alternative econometric packages for the estimation of panel
data. Concern has recently been expressed in the literature about the lack of
attention paid to numerical accuracy in econometric software. We compare the
numerical values of the estimates of three of the most popular econometric
packages featuring built-in panel data estimation algorithms: LIMDEP, STATA and
TSP. The empirical application consists in looking at the determinants of bank
interest rates on deposits in Italy using a data set with more than 10,000
observations. Different specifications have been estimated using fixed- and
random-effects models. Fixed- effects estimates are equal in the three packages.
By contrast, small differences appear for the random-effects estimators. We
discuss the reasons for which the estimators differ and compare the relative
efficiency of the random-effects algorithms provided by the three packages using
a set of suitably designed Monte Carlo simulations.
