1328 Trends in Applied Econometrics Software Development 1985–2008
update (in the beginning of its life) or because it is interesting, important and acces-
sible enough to include in a comparison. JSTOR provides extensive bibliographical
information on archivedJAEarticles in database entries like “Reviewed work(s),”
but so far, this information is inaccurate and incomplete for theJAEreviews, so
the numbers in Table 29.2 are based on the full text of the 92 articles.
I also checked the latest update and version number to make the table interesting
as a reference for the state of relevant software in June 2008. I was first surprised
to find recent updates for most of the packages. This may have been caused by the
introduction of Windows Vista and Excel 2007, which made updating necessary for
users who are not able to choose between operating systems. Table 29.2 also shows
the current software companies and main author names. This entry is not relevant
for the modern freely downloadable “team” software and these are therefore miss-
ing. The last column gives the country code of the workplace of the company and
main authors. Most companies and software developers work in the US; some are
in the UK, and nearly all others are in Canada and mainland Europe. None are in
South America and Asia, although econometrics is now a well established field of
(social) science in those continents. Irregular updates of internet links to the pack-
ages will be provided on the Econometric Software links of theEconometrics Journal.
The popular econometrics package Eviews (formerly Micro-TSP) has been dis-
cussed most often. LIMDEP, SHAZAM, PcGive and Microfit received most attention
in the twentieth century. Gretl is the latest general econometrics package to appear
on theJAEpages, and S-PLUS-FinMetrics is the latest time series econometrics
package that has been reviewed. Three reviewed econometrics packages have been
discontinued, or at least I could no longer trace them on the internet: ESP, PERM
and SIMPC. All other packages have been updated since the first review. I have
included three unreviewed packages in the list. TSM for GAUSS was mentioned
in the code archive. Dynare, by Michel Juillard, is widely used in modern applied
macroeconomics. Juillard (1996) is often cited. The 2008 version is available as a
stand-alone program, but also in the form of GAUSS, MATLAB and Scilab packages.
JMulti is a teaching package for multivariate time series analysis (see Lütkepohl and
Krätzig, 2004); it previously required GAUSS to run. Markus Krätzig developed a
graphical user interface (GUI), JStatCom (see also Table 29.3, and Krätzig, 2006).
Using this GUI and GRTE (the GAUSS RunTime Engine), JMulti is now also available
as a free stand-alone package.
Table 29.3 shows the corresponding review counts of programs and two packages
for Bayesian econometrics (Micro-EBA and BACC), specific panel data economet-
rics (Frontier, DPD and ExPEnd), the econometric programming language Ox, and
other packages used for scientific word processing, mathematics and computer
science. I added the DPD package for dynamic panel data analysis. This code, by
Manuel Arellano and Stephen Bond, has been instrumental for the breakthrough of
dynamic panel data econometrics, catering for large unbalanced panels as encoun-
tered in practical applications. The fundamental article, Arellano and Bond (1991),
has the exceptional econometrics citation scores of 900+ in the ISI Web of Knowl-
edge and 4,000+ in Google Scholar. Their procedures have now been implemented
in most econometric packages, both in the original time series-oriented packages