On the importance of verifying forecasting results

Addinsoft (2007). XLSTAT Online Help. http://www.xlstat.com/ Altman, 2004 Automatic Forecasting Systems (2007). Autobox User’s Guide. http://www.autobox.com/ Avriel, 2003 Bai, 2003, Computation and analysis of multiple structural change models, Journal of Applied Econometrics, 18, 1, 10.1002/jae.659 Berndt, 1974, Estimation and inference in nonlinear structural models, Annals of Social Measurement, 3, 653 Box, 1970 Cottrell, A., Lucchetti, R. (2008). Gretl User’s Guide. Online; retrieved March 3, 2008. http://ricardo.ecn.wfu.edu/pub//gretl/manual/PDF/gretl-guide.pdf Estima (2007). RATS Version 7 User’s Guide. http://www.estima.com/ Keeling, 2007, A comparative study of the reliability of nine statistical software packages, Computational Statistics and Data Analysis, 51, 3811, 10.1016/j.csda.2006.02.013 Knüsel, 1998, On the accuracy of statistical distributions in Microsoft Excel 97, Computational Statistics and Data Analysis, 26, 375, 10.1016/S0167-9473(97)81756-2 Knüsel, 2002, On the reliability of Microsoft Excel XP for statistical purposes, Computational Statistics and Data Analysis, 39, 109 Knüsel, 2005, On the accuracy of statistical distributions in Microsoft Excel 2003, Computational Statistics and Data Analysis, 48, 445, 10.1016/j.csda.2004.02.008 Küsters, 2006, Forecasting software: Past, present and future, International Journal of Forecasting, 22, 599, 10.1016/j.ijforecast.2006.03.004 Lovell, 1994, Econometric software accidents, Economic Journal, 104, 713, 10.2307/2234663 Marquardt, 1963, An algorithm for least-squares estimation of nonlinear parameters, SIAM Journal on Applied Mathematics, 33, 431, 10.1137/0111030 McCullough, 1998, Algorithm choice for (partial) autocorrelation functions, Journal of Economic and Social Measurement, 24, 265, 10.3233/JEM-1998-0151 McCullough, 1998, Assessing the reliability of statistical software: Part I, American Statistician, 52, 358 McCullough, 1999, Econometric software reliability: Eviews, LIMDEP, CHASM and TSP, Journal of Applied Econometrics, 14, 191, 10.1002/(SICI)1099-1255(199903/04)14:2<191::AID-JAE524>3.0.CO;2-K McCullough, 2000, Is it safe to assume that software is accurate?, International Journal of Forecasting, 16, 349, 10.1016/S0169-2070(00)00032-7 McCullough, 2004, Wilkinson’s tests and econometric software, Journal of Economic and Social Measurement, 29, 261, 10.3233/JEM-2004-0199 McCullough, 2008, Microsoft Excel’s ‘not the Wichmann–Hill’ random number generators, Computational Statistics and Data Analysis, 52, 4587, 10.1016/j.csda.2008.03.006 McCullough, 2008, On the accuracy of statistical procedures in Microsoft Excel 2007, Computational Statistics and Data Analysis, 52, 4570, 10.1016/j.csda.2008.03.004 McCullough, 1999, The numerical reliability of econometric software, Journal of Economic Literature, 37, 633, 10.1257/jel.37.2.633 McCullough, 2003, Verifying the solution from a nonlinear solver: a case study, The American Economic Review, 93, 873, 10.1257/000282803322157133 McCullough, 1999, On the accuracy of statistical procedures in Microsoft Excel 97, Computational Statistics and Data Analysis, 31, 27, 10.1016/S0167-9473(99)00004-3 McCullough, 2002, On the accuracy of statistical procedures in Microsoft Excel 2000 and Excel XP, Computational Statistics and Data Analysis, 40, 713, 10.1016/S0167-9473(02)00095-6 McCullough, 2005, On the accuracy of statistical procedures in Microsoft Excel 2003, Computational Statistics and Data Analysis, 49, 1244, 10.1016/j.csda.2004.06.016 McKenzie, 2007, EViews 5.1, Journal of Applied Econometrics, 22, 1145, 10.1002/jae.947 Mélard, 1984, Algorithm AS 197: A fast algorithm for the exact likelihood of autoregressive-moving average models, Applied Statistics, 33, 104, 10.2307/2347672 Newbold, 1994, Adventures with ARIMA software, International Journal of Forecasting, 10, 573, 10.1016/0169-2070(94)90025-6 Renfro, 2004, A compendium of existing econometric software packages, Journal of Economic and Social Measurement, 29, 359, 10.3233/JEM-2004-0225 Sanders, 2003, Forecasting software in practice: Use, satisfaction, and performance, Interfaces, 33, 90, 10.1287/inte.33.5.90.19251 Sawitzki, 1994, Testing numerical reliability of data analysis systems, Computational Statistics and Data Analysis, 18, 269, 10.1016/0167-9473(94)90176-7 Stokes, 2004, On the advantage of using two or more econometric software systems to solve the same problem, Journal of Economic and Social Measurement, 29, 307, 10.3233/JEM-2004-0203 Stokes, 2005, The sensitivity of econometric results to alternative implementations of least squares, Journal of Economic and Social Measurement, 30, 9, 10.3233/JEM-2005-0242 U.S. Census Bureau (2007). X-12-ARIMA Reference Manual. Online; retrieved March 3, 2008. http://www.census.gov/ts/x12a/v03/x12adocV03.pdf Wichmann, 1982, Algorithm AS 183: an efficient and portable pseudo-random number generator, Applied Statistics, 31, 188, 10.2307/2347988 Yalta, 2008, The accuracy of statistical distributions in Microsoft® Excel 2007, Computational Statistics and Data Analysis, 52, 4579, 10.1016/j.csda.2008.03.005 Yurkiewicz, 2003, Forecasting software survey, OR/MS Today, 30, 44 Zeileis, 2005, Validating multiple structural change models — A case study, Journal of Applied Econometrics, 20, 685, 10.1002/jae.856