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.
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