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Journal of Economic Literature: Vol. 37 No. 2 (June 1999)

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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

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)

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C87: Econometric Software


Journal of Economic Literature


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