Normative considerations in the development of a software package for econometric estimation

Renfro, Charles G.

doi:10.3233/jem-1997-23403

Cited by 13 publications

(16 citation statements)

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“…Only certain individual developers have ventured into print to any significant degree [19,63,64,113,115,160,163,202,203,208,209,225,230,244]. Furthermore, although the user guides and reference manuals commonly provided with individual programs often provide some aspects of their history, these accounts tend to be presented selectively, ordinarily without technical details.…”

Section: The Existing Characteristics Of Econometric Softwarementioning

confidence: 99%

Econometric Software

Renfro¹

2009

Handbook of Computational Econometrics

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Section: The Existing Characteristics Of Econometric Softwarementioning

confidence: 99%

Econometric Software

Renfro¹

2009

Handbook of Computational Econometrics

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“…A comparison between the accuracy of single precision (real*4) and double precision (real*8) calculation in imposing the restriction E(e, x i ) = 0 will be illustrated using two representative data sets. One is the GE equation of the famous Grunfeld [16] data, discussed by Theil [24] and recently used as the basis for a number of benchmarks of various regression diagnostic tests by Renfro [17], which involves two variables on the right plus the constant. This problem appears to have minimal The logically equivalent command if(x.eq.0.0d+00)write(6,*)'x is in fact 0.0' will not work properly.…”

Section: Testing Residual Orthogonality With the Right-hand-side Varimentioning

confidence: 99%

A benchmark-free approach to access the accuracy of an OLS model calculation in an econometrically uncertain world

Stokes

2008

JEM

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Although it is possible to test the calculation accuracy of a software system's implementation of OLS using sample datasets that have been extensively studied and have benchmarked answers, this approach will not help access the calculation accuracy of a user's model for which such answers are not available. Since in theory estimated residuals of an OLS model are required to be orthogonal to the right-hand-side variables, this paper investigates the impact of changes in data precision and calculation method on the software's success in achieving this goal. In attempting estimation of an OLS model the investigator must make two critical decisions. The first decision is the precision of the data used in the calculation, both how it was loaded and whether its precision was subsequently increased for the actual calculation. The second and related decision is the calculation method. To investigate these tradeoffs, two rather simple and well known data sets that do not exhibit extreme multicollinearity are used to illustrate the data precision / calculation method accuracy tradeoff.

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“…The work at the Brookings Institution in the 1960s incorporated several related themes, ranging from the creation of databases by James Craig [79]-based upon programming by Mark Eisner and later partially utilizing the NBER database created by Charlotte Boschan and others [31,276], to the creation of software to condense Input-Output tables by McCarthy and Renfro [212], to the early development of econometric modeling packages such as MODLER [274,281,283] and PLANETS [32,33]. The first task to which MODLER was applied, and which initially caused its creation, was the estimation of the approximately 200 equation "condensed" Brookings model [115,116].…”

Section: The Beginningsmentioning

confidence: 99%

“…The increasing separation between users and developers of econometric software, as these two roles become more distinct, carries with it a number of implications. In addition to insuring that packages are numerically reliable, there is in particular both a need for this software to be readily useable [52,283] and the requirement to consider the implications of the way in which econometric techniques are implemented [227]. Some years ago, Kenneth Berk pointed out that although statistical "software should [have] the features to do readily what needs to be done," that in fact there is a "tendency for the user to do what is readily available in the software," that "…packages have enormous influence over…analysis, especially over [that of] the less sophisticated users" [25].…”

Section: Introductionmentioning

confidence: 99%

Econometric software: The first fifty years in perspective

Renfro

2004

JEM

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This paper introduces a special issue of the Journal of Economic and Social Measurement on the development and evaluation of computer software for econometric applications. It describes at least certain aspects of the history of the development of this software during the past approximately 50 years, beginning with the first use of the programmable electronic computer by economists in the early 1950s. It considers the various types of software developed, ranging from packages that permit the user to select from a particular set of options, to those that form essentially an econometric modeling language, to those that offer econometric programming capabilities, potentially allowing the individual specification of the characteristics and properties of the operations performed. This paper provides a relatively extensive list of references and is supplemented by a separate compendium of existing econometric software packages.

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Normative considerations in the development of a software package for econometric estimation

Cited by 13 publications

References 0 publications

Econometric Software

Econometric Software

A benchmark-free approach to access the accuracy of an OLS model calculation in an econometrically uncertain world

Econometric software: The first fifty years in perspective

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