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  3. Journal of Economic Literature
  4. June 1999
  5. The Numerical Reliability of Econometric Software

The Numerical Reliability of Econometric Software

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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.

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

JEL Classification

  • C87 Econometric Software