AUTOREG: A Computer Program Library for Dynamic Econometric Models With Autoregressive Errors

David F. Hendry and Frank Srba

in Econometrics: Alchemy or Science?

Published in print October 2000 | ISBN: 9780198293545
Published online November 2003 | e-ISBN: 9780191596391 | DOI:
 AUTOREG: A Computer Program Library for Dynamic Econometric Models With Autoregressive Errors

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Keeping econometrics operational with suitable computer programs that implement new methods and approaches is essential. The evolution of AUTOREG follows the methodological developments, from unfriendly, mainframe batch programs focused on optimal estimation to interactive, menu‐driven modelling which facilitates both teaching and research in time‐series econometrics, exploiting powerful graphics (PcGive). The approach always rigorously tested model specifications, then tests were included for mis‐specification, gradually leading to ‘model building’procedures: throughout, Monte Carlo simulation programs evaluated the new methods in finite samples. Four central issues are considered: discovery, namely, finding a suitable model specification; estimation, based on solving the score equations; numerical optimization for maximizing the likelihood function; and statistical analyses of the properties of estimators.

Keywords: AUTOREG; estimator generating equation; full information maximum likelihood; mis‐specification testing; model discovery; Monte Carlo simulation; numerical optimization; simultaneous systems; statistical approximations

Chapter.  8429 words. 

Subjects: Econometrics and Mathematical Economics

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