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Reproducible Econometric Simulations

  • Christian Kleiber


  • Achim Zeileis

    (University of Basel)

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.

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Paper provided by Faculty of Business and Economics - University of Basel in its series Working papers with number 2010/12.

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Date of creation: 2010
Date of revision:
Handle: RePEc:bsl:wpaper:2010/12
Contact details of provider: Postal: Peter-Merian-Weg 6, Postfach, CH-4002 Basel
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  1. 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.
  2. Bruce E. Hansen, 1995. "Approximate Asymptotic P-Values for Structural Change Tests," Boston College Working Papers in Economics 297., Boston College Department of Economics.
  3. 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 563-77, Sept.-Oct.
  4. Roger Koenker & Achim Zeileis, 2009. "On reproducible econometric research," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(5), pages 833-847.
  5. Moon, Hyungsik Roger & Schorfheide, Frank, 2009. "Estimation with overidentifying inequality moment conditions," Journal of Econometrics, Elsevier, vol. 153(2), pages 136-154, December.
  6. 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.
  7. Hansen, Bruce E., 1992. "Testing for parameter instability in linear models," Journal of Policy Modeling, Elsevier, vol. 14(4), pages 517-533, August.
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