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

Authors: Barker, Terry | Dada, Wagner | Peterson, William

Article Type: Research Article

Abstract: The Cambridge Growth Project (CGP) 1960–1987 developed its own software packages for (1) single-equation then matrix-equation regression analysis and (2) matrix manipulation, then full dynamic non-linear model solution. The hardware used by the project was the successor to EDSAC, the …Titan computer, succeeded by an IBM mainframe, and one of the first personal computers, built by Acorn a local Cambridge company, which was replaced by the standard personal computer running under DOS. The development of the matrix approach to modelling stemmed from the emphasis on social accounting associated with the work of Richard Stone. The software was developed around the concept of the zero-, one-, two- or three-dimensional tensor (scalar, vector, matrix, or 3D tensor) a powerful way of organizing data that are both cross-section and time-series. The programs, written in FORTRAN, that were developed over the period 1973–1978 MREG and IDIOM are still in use today, although they have gone through many versions, they are able to manage much larger data sets, and they have become much faster in operation. Show more

DOI: 10.3233/JEM-2004-0217

Citation: Journal of Economic and Social Measurement, vol. 29, no. 1-3, pp. 173-182, 2004

Authors: Stokes, Houston H.

Article Type: Research Article

Abstract: It is common that the discovery or development of a statistical finding precedes its implementation, but in certain cases this is not true. The development of the Theil BLUS technique is a specific example of a two-way relationship between econometric …theory and software design. In particular, the fact that the sum of squares of the N-K BLUS residuals is equal to the sum of squares of the N OLS residuals was first observed experimentally and subsequently proved in theory. Show more

DOI: 10.3233/JEM-2004-0212

Citation: Journal of Economic and Social Measurement, vol. 29, no. 1-3, pp. 183-187, 2004

Authors: Nerlove, Marc

Article Type: Research Article

Abstract: The development of programming languages as a means of communicating with digital computers is surveyed with emphasis on those languages and characteristics of particular relevance to economists and statisticians. There are several different types of software: (1) True programming languages …which are used for many purposes in communicating with the machine, such as FORTRAN. (2) Software with greater specificity in purpose and function such as MATHEMATICA, GAUSS, MATLAB and MAPLE. (3) "Libraries" or collections of special purpose algorithms designed to be used within programs written in one of the major languages, e.g., the LINPACK, MINPACK, EISPAC, and IMSL libraries. (4) Collections of programs, sometimes called packages, linked together and designed for special purposes. These generally must be used within some of the languages one step removed from the basics. Examples include MATLAB Toolboxes. (5) Finally, there are programs which although made generally available cannot be used stand-alone in any sense. Show more

DOI: 10.3233/JEM-2004-0229

Citation: Journal of Economic and Social Measurement, vol. 29, no. 1-3, pp. 189-203, 2004

Authors: Stokes, Houston H.

Article Type: Research Article

Abstract: In the last 30 years, changes in operating systems, computer hardware, compiler technology and the needs of research in applied econometrics have all influenced econometric software development and the environment of statistical computing. The evolution of various representative software systems, …including B34S® developed by the author, are used to illustrate differences in software design and the interrelation of a number of factors that influenced these choices. A list of desired econometric software features, software design goals and econometric programming language characteristics are suggested. It is stressed that there is no one "ideal" software system that will work effectively in all situations. System integration of statistical software provides a means by which capability can be leveraged. Show more

DOI: 10.3233/JEM-2004-0215

Citation: Journal of Economic and Social Measurement, vol. 29, no. 1-3, pp. 205-259, 2004

Authors: McCullough, B.D.

Article Type: Research Article

Abstract: The Wilkinson Tests, entry-level tests for assessing the numerical accuracy of statistical computations, have been applied to statistical software packages. Some software developers, having failed these tests, have corrected deficiencies in subsequent versions. Thus these tests have had a meliorative …impact on the state of statistical software. These same tests are applied to several econometrics packages. Many deficiencies are noted. Show more

Keywords: numerical accuracy, software reliability

DOI: 10.3233/JEM-2004-0199

Citation: Journal of Economic and Social Measurement, vol. 29, no. 1-3, pp. 261-270, 2004

Authors: Bruno, Giuseppe | De Bonis, Riccardo

Article Type: Research Article

Abstract: This paper compares alternative econometric packages for the estimation of panel data. Concern has recently been expressed in the literature about the lack of attention paid to numerical accuracy in econometric software. We compare the numerical values of the estimates …of three of the most popular econometric packages featuring built-in panel data estimation algorithms: LIMDEP, STATA and TSP. The empirical application consists in looking at the determinants of bank interest rates on deposits in Italy using a data set with more than 10,000 observations. Different specifications have been estimated using fixed- and random-effects models. Fixed- effects estimates are equal in the three packages. By contrast, small differences appear for the random-effects estimators. We discuss the reasons for which the estimators differ and compare the relative efficiency of the random-effects algorithms provided by the three packages using a set of suitably designed Monte Carlo simulations. Show more

DOI: 10.3233/JEM-2004-0204

Citation: Journal of Economic and Social Measurement, vol. 29, no. 1-3, pp. 271-295, 2004

Authors: Greene, William

Article Type: Research Article

DOI: 10.3233/JEM-2004-0205

Citation: Journal of Economic and Social Measurement, vol. 29, no. 1-3, pp. 297-305, 2004

Authors: Stokes, Houston H.

Article Type: Research Article

Abstract: This paper illustrates the dangers of relying on just one software system to solve what appears to be a fairly routine probit model. It is shown that quite different results can be obtained using various well known software systems. In …this example, at a superficial level of analysis, the differences were traced to the default convergence tolerances that are built into the statistical software. At a deeper level of analysis, the effect of the convergence tolerance on the solution indicates that the maximum likelihood estimate does not exist due to a formerly undetected quasi-complete separation problem. Using a Multivariate Adaptive Regression Splines (MARS) model to relax the assumption of constant coefficients, further implications are drawn from this dataset. Show more

DOI: 10.3233/JEM-2004-0203

Citation: Journal of Economic and Social Measurement, vol. 29, no. 1-3, pp. 307-320, 2004

Authors: Herbert, Ric D.

Article Type: Research Article

Abstract: This paper examines the issue of modelling languages as software tools for the construction and analysis of economic models. Modelling languages are intermediate level software tools that fit between the conventional commercial programming languages (such as C++ and Java) and …the higher level applications packages (such as specific econometric packages). They try to blend the advantages of both the higher level and lower level tools. This paper examines these languages for use in the construction of economic models. Specifically, it examines the issue of whether such a language is the appropriate software tool for an economic modeller. It uses the modelling language MATLAB together with a number of illustrative examples to examine the use of these software tools with dynamic economic models. Show more

Keywords: programming languages, visual simulation, model construction

DOI: 10.3233/JEM-2004-0198

Citation: Journal of Economic and Social Measurement, vol. 29, no. 1-3, pp. 321-337, 2004

Authors: Harrison, Tim | Renfro, Charles G.

Article Type: Research Article

Abstract: This paper addresses the need for an efficient standard data exchange and transfer format for economic and social time series data that provides not only numeric observations but also sufficient documentation for users to be able easily to understand their …properties. The paper proposes that the goal in the development of such a standard should be to permit these data to be downloaded into a user's environment in such a way as to be immediately usable without the need for local editing. It is argued that to achieve this goal will require that data producers and distributors, as well as developers of econometric and statistical software packages, honor and support such a standard. A candidate standard is identified, the TSD format, originally developed in 1984 and used since by a number of organizations and econometric software packages. However, the argument is made that to support future needs in the modern Internet-based world it will be necessary to extend this format, in the process developing evolving data exchange protocols for both downloaded byte stream data, based upon XML, and file transfers, based upon some extension of the TSD format. Show more

DOI: 10.3233/JEM-2004-0231

Citation: Journal of Economic and Social Measurement, vol. 29, no. 1-3, pp. 339-358, 2004

Authors: Renfro, Charles G.

Article Type: Research Article

Abstract: This compendium of existing econometric software packages is intended to be a full census of all existing packages of this type that are publicly available and used by economists today. It is intended to provide the developer's view of each …package: in all but a few instances, the person providing each entry is the primary author or current principal developer of the package. These program descriptions generally provide both a development history and a statement of current capabilities. Most entries also include references to more detailed descriptions, including manuals and other publications, as well as providing a website URL. Show more

DOI: 10.3233/JEM-2004-0225

Citation: Journal of Economic and Social Measurement, vol. 29, no. 1-3, pp. 359-409, 2004