Reproducible Econometric Simulations
Reproducibility of economic research has attracted considerable attention in recent years. So far, the discussion has focused mainly on reproducibility of empirical analyses. This paper addresses a further aspect of reproducibility, the reproducibility of computational experiments. More specifically, we contribute to the emerging literature on reproducibility in economics along three lines: (i) we document how simulations of various types are an integral part of publications in modern econometrics, (ii) we provide some general guidelines about how to set up reproducible simulation experiments, and, finally, (iii) we provide a case study from time series econometrics that illustrates the main issues arising in connection with reproducibility, emphasizing the use of modular tools.
(This abstract was borrowed from another version of this item.)
|Date of creation:||2010|
|Contact details of provider:|| Postal: Peter-Merian-Weg 6, Postfach, CH-4002 Basel|
Web page: http://wwz.unibas.ch
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Moon, Hyungsik Roger & Schorfheide, Frank, 2009. "Estimation with overidentifying inequality moment conditions," Journal of Econometrics, Elsevier, vol. 153(2), pages 136-154, December.
- Hansen, Bruce E., 1992.
"Testing for parameter instability in linear models,"
Journal of Policy Modeling,
Elsevier, vol. 14(4), pages 517-533, August.
- Tom Doan, "undated". "STABTEST: RATS procedure to perform Hansen's stability test for OLS," Statistical Software Components RTS00199, Boston College Department of Economics.
- Zeileis, Achim & Leisch, Friedrich & Hornik, Kurt & Kleiber, Christian, 2002.
"strucchange: An R Package for Testing for Structural Change in Linear Regression Models,"
Journal of Statistical Software,
Foundation for Open Access Statistics, vol. 7(i02), pages -.
- Zeileis, Achim & Leisch, Friedrich & Hornik, Kurt & Kleiber, Christian, 2001. "Strucchange: An R package for testing for structural change in linear regression models," Technical Reports 2001,26, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- B. D. McCullough & H. D. Vinod, 2003. "Verifying the Solution from a Nonlinear Solver: A Case Study," American Economic Review, American Economic Association, vol. 93(3), pages 873-892, June.
- Bruce E. Hansen, 1995.
"Approximate Asymptotic P-Values for Structural Change Tests,"
Boston College Working Papers in Economics
297., Boston College Department of Economics.
- Hansen, Bruce E, 1997. "Approximate Asymptotic P Values for Structural-Change Tests," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 60-67, January.
- Mackinnon, J.G. & Haug, A.A. & Michelis, L., 1996.
"Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration,"
96a09, Universite Aix-Marseille III.
- MacKinnon, James G & Haug, Alfred A & Michelis, Leo, 1999. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 563-577, Sept.-Oct.
- James G. MacKinnon & Alfred A. Haug & Leo Michelis, 1996. "Numerical Distribution Functions of Likelihood Ratio Tests for Cointegration," Working Papers 1996_07, York University, Department of Economics.
- Roger Koenker & Achim Zeileis, 2009. "On reproducible econometric research," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(5), pages 833-847.
When requesting a correction, please mention this item's handle: RePEc:bsl:wpaper:2010/12. 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: (WWZ)
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 references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link 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 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.