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The Numerical Reliability of Econometric Software

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  • H. D. Vinod
  • B. D. McCullough

Abstract

Numerous examples show that some econometric software packages contain serious flaws, and that users cannot safely assume that their software is accurate. A brief survey of the fundamentals of computer arithmetic discusses the sources of numerical error and emphasizes that computer arithmetic is not at all like pencil-and-paper arithmetic. Both users and developers of econometrics software should first pay attention to accuracy, and only later consider user-friendliness. Details are provided for assessing the accuracy of basic estimation routines, statistical distributions, and random number generators. More accuracy benchmarks are needed, especially for specialized econometric procedures.

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File URL: http://www.aeaweb.org/articles.php?doi=10.1257/jel.37.2.633
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Bibliographic Info

Article provided by American Economic Association in its journal Journal of Economic Literature.

Volume (Year): 37 (1999)
Issue (Month): 2 (June)
Pages: 633-665

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Handle: RePEc:aea:jeclit:v:37:y:1999:i:2:p:633-665

Note: DOI: 10.1257/jel.37.2.633
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  1. James G. MacKinnon, 1995. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Working Papers 918, Queen's University, Department of Economics.
  2. Wampler, Roy H., 1980. "Test procedures and test problems for least squares algorithms," Journal of Econometrics, Elsevier, vol. 12(1), pages 3-22, January.
  3. David Letson & B.D. McCullough, 1998. "Better Confidence Intervals: The Double Bootstrap with No Pivot," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 80(3), pages 552-559.
  4. Kenneth L. Judd, 1998. "Numerical Methods in Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262100711, December.
  5. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119, September.
  6. Watson, Mark W, 1993. "Measures of Fit for Calibrated Models," Journal of Political Economy, University of Chicago Press, vol. 101(6), pages 1011-41, December.
  7. Silk, Julian, 1996. "Systems Estimation: A Comparison of SAS, SHAZAM and TSP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(4), pages 437-50, July-Aug..
  8. Vinod, H.D. & Shenton, L.R., 1996. "Exact Moments for Autor1egressive and Random walk Models for a Zero or Stationary Initial Value," Econometric Theory, Cambridge University Press, vol. 12(03), pages 481-499, August.
  9. Jeffrey K. MacKie-Mason, 1992. "Econometric Software: A User's View," Journal of Economic Perspectives, American Economic Association, vol. 6(4), pages 165-187, Fall.
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