The Numerical Reliability of Econometric Software

Journal of Economic Literature

Volumn 37, Issue 2, 1999, Pages 633-665

  McCullough, B D ^a   Vinod, H D ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0000066781     PISSN: 00220515     EISSN: None     Source Type: Journal    
DOI: 10.1257/jel.37.2.633     Document Type: Article

References (52)

1. Abramowitz, Milton and Irene A. Stegun. 1972. Handbook of Mathematical Functions. 9th printing. NY: Dover.
2. Anderson, Richard G. and William G. Dewald. 1994. "Scientific Standards in Applied Economics a Decade After the Journal of Money, Credit and Banking Project," Fed. Res. Bank St. Louis Rev., 76, pp. 79-83.
3. Bablok, B. 1988. Numerische Berechnung nichtzentraler Statist.her verteilungen. Diploma thesis, Dept. Statistics, U. Munich.
4. Bankhofer, Udo and Andreas Hilbert. 1997. "Statistical Software for Windows: A Market Survey," Statist. Pap., 38, pp. 393-407.
5. Bard, Jonathan. 1974. Nonlinear Parameter Estimation. NY: Academic Press.
6. Beaton, Albert E.; Donald B. Rubin, and John L. Barone. 1976. "The Acceptability of Regression Solutions: Another Look at Computational Accuracy," J. Amer. Statist. Assoc., 71:353, pp. 158-68.
7. Bernhard, G.; M. Herbold, and W. Meyers. 1988. "Investigation on the Reliability of Some Elementary Nonparametric Methods in Statistical Analysis Systems," Statist. Software Newsletter, 14, pp. 19-26.
8. Berndt, Ernst. 1990. The Practice of Econometrics. Reading, MA: Addison-Wesley.
9. Boisvert, R.; R. Pozo, K. Remington, R. Barrett, and J. Dongarra. 1997. "Matrix Market: A Web Resource for Test Matrix Collections," in The Quality of Numerical Software: Assessment and Enhancement. Ronald Boisvert, ed. London: Chapman and Hall, pp. 125-37. (http://math.nist.gov/MatrixMarket)
10. Bollserlev, Tim and Eric Ghysels. 1996. "Periodic Autoregressive Conditional Heteroscedasticity," J. Bus. Econ. Statist., 14:2, pp. 139-51.
11. Box, George E. P. and Gwilym Jenkins. 1976. Time Series Analysis: Forecasting and Control. San Francisco: Holden-Day.
12. Brown, Barry W. 1998. DCDFLIB v1.1 (Double Precision Cumulative Distribution Function LIBrary) (ftp://odin.mdacc.tmc.edu/pub/source).
13. Brown, Barry W. and Lawrence B. Levy. 1994. "Certification of Algorithm 708: Significant Digit Computation of the Incomplete Beta," ACM Transactions on Math. Software, 20:3, pp. 393-97.
14. Campbell, John Y. and N. Gregory Mankiw. 1987. "Are Output Fluctuations Transitory?" Quart. J. Econ., 102, pp. 857-80.
15. Calzolari, Giorgio and Lorenzo Panattoni. 1988. "Alternative Estimators of FIML Covariance Matrix: A Monte Carlo Study," Econometrica, 56:3, pp. 701-14.
16. Chaitin-Chatelin, Francoise and Valérie Frayssé. 1996. Lectures on Finite Precision Computations. Philadelphia: SIAM.
17. Coveyou, R. and R. MacPherson. 1967. "Fourier Analysis of Uniform Random Number Generators," J. ACM, 14:1, pp. 100-19.
18. Dahlquist, Germund and Ake Björck. 1974. Numerical Methods. New York: Prentice-Hall.
19. Davidson, Russell and James G. MacKinnon. 1993. Estimation and Inference in Econometrics. New York: Oxford.
20. Demmel, James. 1981. "Effects of Underflow on Solving Linear Systems," manuscript, Computer Science Div., U. C. Berkeley.
21. _. 1984. "Underflow and the Reliability of Numerical Software," SIAM J. Sci. Statist. Computing, 5:4, pp. 887-919.
22. Dennis, J. E. and Robert B. Schnabel. 1996. Numerical Methods for Unconstrained Optimization. Philadelphia: SIAM Press.
23. Dewald, William G.; Jerry G. Thursby, and Richard G. Anderson. 1986. "Replication in Empirical Economics: The Journal of Money, Credit and Banking Project," Amer. Econ. Rev., 76:4, pp. 587-603.
24. Dongarra, J. J. and G. W. Stewart. 1984. "LIN-PACK - Package for Solving Linear Systems," in Sources and Development of Mathematical Software. W. Cowell, ed. NY: Prentice-Hall, pp. 20-48.
25. Dudewicz, E. and T. Ralley. 1981. The Handbook of Random Number Generation and Testing with TESTRAND Computer Code. Columbus, OH: American Sciences Press.
26. Dwyer, Jerry and K. B. Williams. 1996. "Testing Random Number Generators," C/C++ Users J., June, pp. 39-48.
27. Eddy, W. F.; S. E. Howe, B. F. Ryan, R. F. Teitel, and F. Young. 1991. The Future of Statistical Software: Proceedings of a Forum. Wash., DC: Nat. Academy Press.
28. Elliott, Alan C.; Joan S. Reisch, and Nancy P. Campbell. 1989. "Benchmark Data Sets for Evaluating Microcomputer Statistical Programs," Collegiate Microcomputer, 7:4, pp. 289-99.
29. Feigenbaum, Susan and David M. Levy. 1993. "The Market for (Ir)Reproducible Econometrics," Soc. Epistemology, 7:3, pp. 243-44.
30. _. 1994. "The Self-Enforcement Mechanism in Science," manuscript, presented at the AEA meetings, Boston.
31. Fiorentini, Gabriele; Giorgio Calzolari, and Lorenzo Panattoni. 1996. "Analytic Derivatives and the Computation of GARCH Estimates," J. Appl. Econometrics, 11:4, pp. 399-417.
32. Ford, B. and J. Rice. 1994. "Rationale for the IFIP Working Conference: The Quality of Numerical Software: Assessment and Enhancement," IFIP-WG2.5 doc., Raleigh.
33. Forsythe, George E. 1970. "Pitfalls in Computation, or Why a Math Book Isn't Enough," Amer. Math. Monthly, 77, pp. 931-56.
34. Fox, L. 1971. "How To Get Meaningless Answers in Scientific Computation (and What To Do about It)," IMA Bul., 7:10, pp. 296-302.
35. Francis, Ivor. 1981. Statistical Software: A Comparative Review. NY: North-Holland.
36. _. 1983. "A Survey of Statistical Software," Computational Statist., 1:1, pp. 17-27.
37. Francis, Ivor; Richard M. Heiberger, and Paul F. Velleman. 1975. "Criteria and Considerations in the Evaluation of Statistical Software," Amer. Statistician, 29:1, pp. 52-56.
38. Gentle, James E. 1998. Numerical Linear Algebra with Applications in Statistics. NY: Springer.
39. _. 1998a. Random Number Generation and Monte Carlo Methods. NY: Springer.
40. Geweke, John. 1996. "Monte Carlo Simulation and Numerical Integration," in Handbook of Computational Economics, vol. 1. Hans M. Amman, David A. Kendrick, and John Rust, eds. Amsterdam: North-Holland, pp. 731-800.
41. Geweke, John and Michael Keane. 1997. "An Empirical Analysis of Income Dynamics Among Men in the PSID," Staff Rep. 233, Fed. Res. Bank Minneapolis.
42. Goldberg, David. 1991. "What Every Computer Scientist Should Know About Floating-Point Arithmetic," ACM Computing Surveys, 23:1, pp. 5-48.
43. Goldberg, I. B. 1967. "27 Bits Are Not Enough for 8-Digit Accuracy," Communications of the ACM, 10:2, pp. 105-106.
44. Gourieroux, Christian and Alain Montfort. 1996. Simulation Based Methods in Econometrics. NY: Oxford U. Press.
45. Greene, William H. 1997. Econometric Analysis, 3e. NY: MacMillan.
46. Hall, Bronwyn. 1993. "The Stock Market's Valuation of Research and Development Investment During the 1980s," Amer. Econ. Rev., 83:2, pp. 259-64.
47. Hamilton, James D. 1997. "Measuring the Liquidity Effect," Amer. Econ. Rev., 87:1, pp. 80-97.
48. Hammarling, Sven. 1985. "The Singular Value Decomposition in Multivariate Statist.," ACM Special Interest Group on Numerical Math., 20, pp. 2-25.
49. Higham, Nicholas J. 1991. "Algorithm 694: A Collection of Test Matrices in MATLAB," ACM Transactions on Math. Software, 17:3, pp. 289-305.
50. _. 1995. "The Test Matrix Toolbox for MATLAB v3.0," Numerical Analysis Rep. 276, U. Manchester, England. (http://www.ma.man.ac.uk/ ~higham/testmat.html).
51. _. 1996. Accuracy and Stability of Numerical Algorithms. Philadelphia: SIAM.
52. IBM. 1968. System/360 Scientific Subroutine Package, Version III, Programmer's Manual. White Plains, NY.