The Numerical Reliability of Econometric Software

Hrishikesh Vinod and B McCullough

Journal of Economic Literature, 1999, vol. 37, issue 2, 633-665

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.

JEL-codes: C87 (search for similar items in EconPapers)
Date: 1999
Note: DOI: 10.1257/jel.37.2.633
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Citations: View citations in EconPapers (67)

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