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The Accuracy of Econometric Software
Book chapter

The Accuracy of Econometric Software

B. D McCullough
Handbook of Computational Econometrics
21 Aug 2009
DOI: https://doi.org/10.1002/9780470748916.ch2

Abstract

agent‐based simulation methodology and ‘Santa Fe Stock Market’ (SFSM) econometric software accuracy entry‐level tests ‐ ‘Wilkinson's tests’ generalized autoregressive conditional heteroskedasticity (GARCH) model impulse response function ‐ Cholesky decomposition of covariance matrix inaccurate econometric results intermediate‐level tests simulation and econometrics statistical package SYSTAT and entry‐level tests ‘speed versus accuracy’ tradeoff
This chapter contains sections titled: Introduction Inaccurate econometric results Entry‐level tests Intermediate‐level tests Conclusions Acknowledgments References

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