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Computational methods in econometrics

Hajivassiliou, Vassilis (2018) Computational methods in econometrics. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan. ISBN 9781349951888

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Identification Number: 10.1057/978-1-349-95189-5_2725


The computational properties of an econometric method are fundamental determinants of its importance and practical usefulness, in conjunction with the method’s statistical properties. Computational methods in econometrics are advanced through successfully combining ideas and methods in econometric theory, computer science, numerical analysis, and applied mathematics. The leading classes of computational methods particularly useful for econometrics are matrix computation, numerical optimization, sorting, numerical approximation and integration, and computer simulation. A computational approach that holds considerable promise for econometrics is parallel computation, either on a single computer with multiple processors, or on separate computers networked in an intranet or over the internet.

Item Type: Book Section
Official URL:
Additional Information: © 2018 The Author
Divisions: Economics
Subjects: H Social Sciences > HB Economic Theory
JEL classification: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods: General > C15 - Statistical Simulation Methods; Monte Carlo Methods; Bootstrap Methods
Date Deposited: 13 Dec 2019 00:51
Last Modified: 24 Sep 2021 23:05

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