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Keeping econometrics operational with suitable computer programs that implement new methods and approaches is essential. The evolution of AUTOREG follows the methodological developments, from unfriendly, mainframe batch programs focused on optimal estimation to interactive, menu‐driven modelling which facilitates both teaching and research in time‐series econometrics, exploiting powerful graphics (PcGive). The approach always rigorously tested model specifications, then tests were included for mis‐specification, gradually leading to ‘model building’procedures: throughout, Monte Carlo simulation programs evaluated the new methods in finite samples. Four central issues are considered: discovery, namely, finding a suitable model specification; estimation, based on solving the score equations; numerical optimization for maximizing the likelihood function; and statistical analyses of the properties of estimators.

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