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The Numerical Reliability of Econometric Software

  • H. D. Vinod
  • B. D. McCullough

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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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. Mark W. Watson, 1991. "Measures of Fit for Calibrated Models," NBER Technical Working Papers 0102, National Bureau of Economic Research, Inc.
  2. 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.
  3. Wampler, Roy H., 1980. "Test procedures and test problems for least squares algorithms," Journal of Econometrics, Elsevier, vol. 12(1), pages 3-22, January.
  4. 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.
  5. MacKinnon, James G, 1996. "Numerical Distribution Functions for Unit Root and Cointegration Tests," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 601-18, Nov.-Dec..
  6. Kenneth L. Judd, 1998. "Numerical Methods in Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262100711, June.
  7. 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.
  8. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119, July.
  9. 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..
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