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Journal of Economic Literature: Vol. 37 No. 2 (June 1999)
JEL Volume. 37, Issue 2 | 
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JEL Indexes (Members Only)The Numerical Reliability of Econometric Software
Article Citation
McCullough, B. D., and
H. D. Vinod. 1999. "The Numerical Reliability of Econometric Software."
Journal of Economic Literature,
37(2): 633-665.
DOI: 10.1257/jel.37.2.633
DOI: 10.1257/jel.37.2.633
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.
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Authors
McCullough, B. D. (Federal Communications Commission)
Vinod, H. D. (Fordham U)
Vinod, H. D. (Fordham U)
JEL Classifications
C87: Econometric Software
