Palgrave Handbook of Econometrics: Applied Econometrics

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28 Testing Econometric Software B.D. McCullough Abstract The first part of this chapter is a non-technical survey of the relativ ...

1294 Testing Econometric Software is important because econometric software does not always produce accurate answers. Sometimes ...

B.D. McCullough 1295 Table 28.2 Multivariate GARCH results Package μc μf c 1 a 1 b 1 c 2 a 2 b 2 c 3 a 3 b 3 Package A 0.064 0.0 ...

1296 Testing Econometric Software package correctly reported that the problem has no solution. If you were to estimate a probit ...

B.D. McCullough 1297 represented as 0000, one is represented as 0001, two is represented as 0010, and three is represented as 00 ...

1298 Testing Econometric Software Table 28.3 Dataset NASTY.DAT LABEL$ X ZERO MISS BIG LITTLE HUGE TINY ROUND ONE 1 0. 99999991 0 ...

B.D. McCullough 1299 statistical computing, one of the primary tenets of which is this: do not program the formula from statisti ...

1300 Testing Econometric Software (2002), Kitchen, Drachenberg and Symanzik (2003), Teyssiere (2005), Keeling and Pavur (2004, 2 ...

B.D. McCullough 1301 βˆ=(X′X)−^1 X′ywill fail many of the linear regression tests. The reason is that computing the inverse of(X ...

1302 Testing Econometric Software likelihood problems and giving them not to the package’s nonlinear least squares solver, but i ...

B.D. McCullough 1303 passes that, then give it to Big Crush. If it passes that, then it is fit to use. There are too many good R ...

1304 Testing Econometric Software Generally speaking, econometric discussions of simulation simply assume a high- quality RNG th ...

B.D. McCullough 1305 28.5 Advanced tests Look at the table of contents of an advanced econometrics text, or the list of func- ti ...

1306 Testing Econometric Software least reliable method for such computation. The classic time series text by Priestley (1981) p ...

B.D. McCullough 1307 common method of achieving this level of accuracy is to use FORTRAN with a multiple precision pre-processor ...

1308 Testing Econometric Software of squares. In the case of CLS, the relevant quantity is: S∗(φ,θ)= ∑n t= 1 a^2 t(φ,θ|w∗,a∗,w), ...

B.D. McCullough 1309 In whatever way it is determined, the choice ofQ, the number of observations to backcast, will affect the f ...

1310 Testing Econometric Software can greatly affect the quality of the numerical derivatives. For example, in the days when sin ...

B.D. McCullough 1311 More sophisticated BJ models are much more difficult. Were it the case that the most estimated ARIMA model ...