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Testing Econometric Software

In: Palgrave Handbook of Econometrics

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  • B. D. McCullough

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.

Suggested Citation

  • B. D. McCullough, 2009. "Testing Econometric Software," Palgrave Macmillan Books, in: Terence C. Mills & Kerry Patterson (ed.), Palgrave Handbook of Econometrics, chapter 28, pages 1293-1320, Palgrave Macmillan.
    • Handle: RePEc:pal:palchp:978-0-230-24440-5_28
    DOI: 10.1057/9780230244405_28
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    Cited by:

    1. A. Yalta & A. Yalta, 2010. "Should Economists Use Open Source Software for Doing Research?," Computational Economics, Springer;Society for Computational Economics, vol. 35(4), pages 371-394, April.

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