Contents
Variant Special Cases ............................................................141
Disturbance Properties Tests . ................................................145
Provisions forUser-ConstructedTests..........................................147
5 The Failure of Assumptions ...................................................151
Heteroscedasticity ...............................................................154
Disturbance Properties . . . . . . ....................................................160
Specification Tests: Functional Form, Nonlinearity, and Simultaneity .......165
Structural Stability Tests . . . . ....................................................166
Omitted Variables, Linear Restrictions and Related Tests . . . ..................173
6 Cointegration and Alternative Specifications ...............................177
UnitRootTests ..................................................................180
EvaluatingCointegration........................................................207
Encompassing and Non-Nested Specifications Tests ..........................209
Chapter Appendix ...............................................................212
GrunfeldData.................................................................212
Greene Data . . . . ...............................................................221
7 Several Historical Considerations ............................................231
Changes in Regression Displays 1969–2007 . . .................................233
MODLER Regression Output 1969–1970. . .................................235
TSP Regression Output 1978–2007. .........................................241
PcGive Regression Output 1985–2007 . .....................................247
Data Management Issues . . . . ....................................................252
8 The Implications of the Findings .............................................265
Appendix A Version Information for the Surveyed
Econometric Software Packages ..............................................271
Appendix B Grunfeld’s Investment Theory: Time Series
Data on General Electric and Westinghouse (Theil, 1971,
Table 7.1, p. 296)................................................................273
Appendix C U.S. Quarterly Macroeconomic Data Originally Used
by Cecchetti & Rich (Greene, 2008; Cecchetti & Rich, 2001) ..............275
References ...........................................................................283
Index .................................................................................305Introduction ........................................................................ 1
1 Econometric Computation .................................................... 19
The Foundations of Computational Econometrics . . . .......................... 28
Towards the Evaluation of Econometric Software . . . .......................... 37
The Discovery of Econometric Software . . . ................................. 38
The Computer as a Computational Medium. . . . . . . .......................... 44
The Computer as an Imperfect Computational Device . . . .................. 47
Errors in Data as a Computational Circumstance . .......................... 51
2 Econometric Software: Characteristics, Users, and Developers .......... 55
Developmental Characteristics of Econometric Software . . . .................. 57
The Early History of Econometric Computation . . .......................... 58
The Takeoff Period of Econometric Software Development . . . . ........... 60
The Adoption of the Microcomputer . . . ..................................... 66
The Characteristics of Econometric Software . ................................. 68
Aspects of the Evolution of Software Features . . . . .......................... 72
TheDevelopment of theHuman Interface................................... 75
Directives Versus Constructive Commands . . . ................................. 80
Developers,Users, andUse ..................................................... 86
Use andUsers................................................................. 87
Econometric Software Developers . . ......................................... 94
3 Econometric Diagnostic Tests ................................................. 97
Diagnostic Tests: A Division of Responsibilities . . . . ..........................105
RealismVersus Instrumentalism................................................111
Specific Survey Characteristics . ................................................117
4 The Basic Statistics .............................................................123
TheHistoricalDisplay ofOLSRegressionResults............................126
SurveyResults:TheCoreStatistics ............................................135
TheCore Statistics:The FirstGroup ...........................................138
Known Special Cases............................................................140
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