Testing Econometric Software

B McCullough

Chapter 28 in Palgrave Handbook of Econometrics, 2009, pp 1293-1320 from Palgrave Macmillan

Abstract: Abstract The first part of this chapter is a non-technical survey of the relatively sparse literature on testing the accuracy of econometric software. Accuracy is primarily assessed by taking a test problem, with known inputs and outputs, giving it to the software, and comparing the software’s output with the output of the test problem. We discuss the various types of tests (introductory, intermediate, and advanced) and the types of errors that these tests have uncovered. The reader is directed to specific resources for further information. The second part, which is technical, constructs a test problem (i.e., benchmark) for autoregressive moving average (ARMA) estimation. In 1994 it was reported in the literature that different packages give different answers to the same ARMA estimation problem. To date, this open problem has been unresolved. We provide benchmarks for conditional least squares and unconditional least squares ARMA estimation.

Keywords: Random Number Generator; Double Precision; Analytic Derivative; Numerical Derivative; Convergence Tolerance (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-230-24440-5_28

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DOI: 10.1057/9780230244405_28

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