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The Numerical Reliability of Econometric Software

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  • H. D. Vinod
  • B. D. McCullough

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.

Suggested Citation

  • H. D. Vinod & B. D. McCullough, 1999. "The Numerical Reliability of Econometric Software," Journal of Economic Literature, American Economic Association, vol. 37(2), pages 633-665, June.
    • Handle: RePEc:aea:jeclit:v:37:y:1999:i:2:p:633-665
    Note: DOI: 10.1257/jel.37.2.633
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    References listed on IDEAS

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    JEL classification:

    • C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software

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