IDEAS home Printed from https://ideas.repec.org/a/aea/jeclit/v37y1999i2p633-665.html
   My bibliography  Save this article

The Numerical Reliability of Econometric Software

Author

Listed:
  • 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.

Suggested Citation

  • H. D. Vinod & B. D. McCullough, 1999. "The Numerical Reliability of Econometric Software," Journal of Economic Literature, American Economic Association, vol. 37(2), pages 633-665, June.
  • Handle: RePEc:aea:jeclit:v:37:y:1999:i:2:p:633-665
    Note: DOI: 10.1257/jel.37.2.633
    as

    Download full text from publisher

    File URL: http://www.aeaweb.org/articles.php?doi=10.1257/jel.37.2.633
    Download Restriction: Access to full text is restricted to AEA members and institutional subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Silk, Julian, 1996. "Systems Estimation: A Comparison of SAS, SHAZAM and TSP," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(4), pages 437-450, July-Aug..
    2. Watson, Mark W, 1993. "Measures of Fit for Calibrated Models," Journal of Political Economy, University of Chicago Press, vol. 101(6), pages 1011-1041, December.
    3. 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.
    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. Kenneth L. Judd, 1998. "Numerical Methods in Economics," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262100711, January.
    6. Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119.
    7. 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 601-618, Nov.-Dec..
    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. Wampler, Roy H., 1980. "Test procedures and test problems for least squares algorithms," Journal of Econometrics, Elsevier, vol. 12(1), pages 3-22, January.
    Full references (including those not matched with items on IDEAS)

    More about this item

    JEL classification:

    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aea:jeclit:v:37:y:1999:i:2:p:633-665. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jane Voros) or (Michael P. Albert). General contact details of provider: http://edirc.repec.org/data/aeaaaea.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.