Econometric software: The first fifty years in perspective

Abstract

This paper introduces a special issue 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.

Should Economists Use Open Source Software for Doing Research?

“…Indeed, Yalta (2008) observes that the 33 page Excel 2007 product guide emphasized an overhauled user interface, better data integration, faster calculation performance, and "dramatic visual effects" without giving a word's consideration to numerical accuracy. Renfro (2004b) discusses the development costs and various expansion problems that provided in the past some incentive for econometric software vendors to "paper over the cracks and hope that no one steps there. "…”

“…13 It is important to point out that econometric software is really a cottage industry where almost all commercial programs are written and maintained by at most a handful of developers. See Renfro (2004b) for a detailed account of the market for econometric software. 14 The contributed R packages are available at the Comprehensive R Archive Network (CRAN), accessed on March 19, 2009. programming code is only available to a limited number of individuals namely company employees who are more likely to focus on bugs and enhancements that make commercial sense.…”

“…2 This is unlike the situation that existed when economists first used the programmable electronic computer about only 60 years ago. Renfro (2004b) discusses how it essentially took an entire day in the late 1940s to compute the regression parameters for a single equation. With the help of faster and more and more powerful computers, this process became a matter of less than an hour in the early 1960s and less than a minute in the 1980s.…”

“…There are comprehensive GUI driven programs as well as various add-ins, modules, and libraries; both commercial or noncommercial. SeeRenfro (2004b) for a discussion of the difficulty involved in defining and classifying econometric software.3 On the estimated value of Linux and its deployment on supercomputers, see http://www.linuxfoundation. org/publications/estimatnglinux.php and http://www.top500.org respectively.…”

Spatial econometrics in an age of CyberGIScience

“…Arguably, the first example of specialized software for econometric computing was the regression and matrix algebra packages written for the EDSAC. Mainframe computers became an economic research tool during the 1960s in support of the large-scale macroeconometric modeling (Renfro 2004b).…”