Book chapter
Testing Econometric Software
Palgrave Handbook of Econometrics, pp 1293-1320
01 Jan 2009
Featured in Collection : UN Sustainable Development Goals @ Drexel
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.
Metrics
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1 citations in Scopus
Details
- Title
- Testing Econometric Software
- Creators
- B. D. McCullough
- Contributors
- T C Mills (Editor)K Patterson (Editor)
- Publication Details
- Palgrave Handbook of Econometrics, pp 1293-1320
- Publisher
- Springer Nature; BASINGSTOKE
- Number of pages
- 28
- Resource Type
- Book chapter
- Language
- English
- Academic Unit
- Decision Sciences (and Management Information Systems)
- Web of Science ID
- WOS:000283592900029
- Scopus ID
- 2-s2.0-77952420928
- Other Identifier
- 991019170576004721
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- Web of Science research areas
- Economics