Journal of Economic and Social Measurement - Volume 29, issue 1-3

Authors: Renfro, Charles G.

Article Type: Other

DOI: 10.3233/JEM-2004-0224

Citation: Journal of Economic and Social Measurement, vol. 29, no. 1-3, pp. 1-7, 2004

Authors: Renfro, Charles G.

Article Type: Research Article

Abstract: This paper introduces a special volume 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. Show more

DOI: 10.3233/JEM-2004-0226

Citation: Journal of Economic and Social Measurement, vol. 29, no. 1-3, pp. 9-107, 2004

Authors: Renfro, Charles G.

Article Type: Other

DOI: 10.3233/JEM-2004-0233

Citation: Journal of Economic and Social Measurement, vol. 29, no. 1-3, pp. 111-114, 2004

Authors: Goldberger, Arthur S.

Article Type: Research Article

Abstract: The electronic computer was first created in the 1940s, but was expensive to purchase and slow to spread. Throughout the 1950s and even into the earlier 1960s, electromechanical desk calculators were generally the only means whereby economists could compute regression …parameters or solve econometric models. Some of the trials and tribulations of econometric computing by hand are described in this brief memoir of the context in which the Klein-Goldberger model was developed and used. Show more

DOI: 10.3233/JEM-2004-0213

Citation: Journal of Economic and Social Measurement, vol. 29, no. 1-3, pp. 115-117, 2004

Authors: Slater, Lucy Joan

Article Type: Research Article

Abstract: Economists were among the earliest users of the programmable electronic computer, when it was made available for general use in the early 1950s. The first operating programmable electronic computer was the EDSAC, developed at Cambridge University. This memoir describes the …context of the development of the first econometric software package, a regression program developed by the author, working together with M.J. Farrell, as well as a number of other aspects of the early computing environment at the Department of Applied Economics at Cambridge. Show more

DOI: 10.3233/JEM-2004-0214

Citation: Journal of Economic and Social Measurement, vol. 29, no. 1-3, pp. 119-122, 2004

Authors: Holt, Charles C.

Article Type: Research Article

Abstract: This brief memoir describes the context of the original development of the well-known Holt-Winters exponentially weighted average forecast methodology, both in terms of its concepts and its first computer implementation in 1960. The original motivation for the development of the …methodology by Holt was the widespread need for a feasible technique that could be applied to the forecasting of sales on a product by product basis. Once introduced, the method has come to be widely applied as a practical technique. The Holt-Winters methodology also played an important part in stimulating the work of J.F. Muth on what came to be called rational expectations. Notwithstanding this implact, the methodology's theoretical basis has not before now been described in the literature, however as a result of the development of this memoir for this special issue of the Journal of Economic and Social Measurement on the history and evaluation of econometric software, by arrangement the original theory paper will now be published in a forthcoming issue of the International Journal of Forecasting. Show more

DOI: 10.3233/JEM-2004-0211

Citation: Journal of Economic and Social Measurement, vol. 29, no. 1-3, pp. 123-125, 2004

Authors: Phillips, Peter C.B. | Hall, Viv B.

Article Type: Research Article

Abstract: Over the period 1964–1970, graduate students of Rex Bergstrom at the University of Auckland in New Zealand developed econometric computer programs to conduct estimation and inference for dynamic linear models, dynamic simultaneous equation models and systems of linear stochastic differential …equations. Linear and nonlinear multiple equation regression programs were written in Fortran; and simulation experiments and empirical applications were performed on two small IBM mainframe computers. Show more

DOI: 10.3233/JEM-2004-0216

Citation: Journal of Economic and Social Measurement, vol. 29, no. 1-3, pp. 127-133, 2004

Authors: Schink, George R.

Article Type: Research Article

Abstract: This paper describes the development of algorithms to solve large-scale macroeconometric models. The bulk of this paper was written in 1970 when the problem of finding solutions for these large-scale models was still an issue. During the 1960s, large powerful …(for that time period) computers became available for use by economists who proceeded to use this powerful new tool to develop and apply econometric software to the problem of estimating large-scale macroeconometric models such as the Wharton Quarterly Model and the Brookings Model. Having succeeded in estimating these models, the next problem was to find a way to solve them either in the context of simulation experiments or forecasting exercises. During the late 1960s, the author investigated the problem of solving these large-scale models and found several acceptable methods which are presented in this paper. Show more

DOI: 10.3233/JEM-2004-0227

Citation: Journal of Economic and Social Measurement, vol. 29, no. 1-3, pp. 135-143, 2004

Authors: Renfro, Charles G.

Article Type: Research Article

Abstract: This article considers certain salient aspects of the development of software specifically created in order to support the construction, maintenance and use of macroeconometric models. As a type, the individual packages are commonly classified as econometric modeling languages. This nomenclature …reflects that the command structures used to operate this software are language-like in many of their characteristics, particularly in the case of those commands employed to express a model's relationships, state variable transformations, and perform other essentially mathematical or statistical operations. The focus of this article is both the evolution of language structure, as an expression of the process of creating and using econometric models, and the concomitant increased degree of functional integration that has accompanied it. Show more

DOI: 10.3233/JEM-2004-0228

Citation: Journal of Economic and Social Measurement, vol. 29, no. 1-3, pp. 145-166, 2004

Authors: McCracken, Michael C. | May, Keith

Article Type: Research Article

Abstract: The SIMSYS simulation system was first developed at the Economic Council of Canada in 1970/71 to support its development of the large-scale CANDIDE econometric model. The size of the model raised many concerns, particularly about the "correctness" of the model …implementation, equation ordering and run-time performance. This article describes the modeling language and coding scheme used in SIMSYS to address these issues. Show more

DOI: 10.3233/JEM-2004-0230

Citation: Journal of Economic and Social Measurement, vol. 29, no. 1-3, pp. 167-171, 2004