Benchmarks and software standards: A case study of GARCH procedures

1 December 1998

journal article
Published by SAGE Publications in Journal of Economic and Social Measurement

Vol. 25 (2) , 59-71
https://doi.org/10.3233/jem-1999-0160

Abstract

This paper addresses the evaluation of nonlinear methods in econometric software, taking GARCH procedures as a case study. In particular, it analyzes seven widely used packages, utilizing a recently developed benchmark. Four of the packages are found

Keywords

PACKAGES
SEVEN
NONLINEAR
TAKING
ECONOMETRIC
SOFTWARE STANDARDS
STUDY OF GARCH
BENCHMARKS
PROCEDURES

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