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Re‐examining 50‐year‐old OLS estimates of the Klein–Goldberger model
Author(s) -
McCullough B. D.,
Renfro Charles G.,
Stokes Houston H.
Publication year - 2006
Publication title -
statistica neerlandica
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.52
H-Index - 39
eISSN - 1467-9574
pISSN - 0039-0402
DOI - 10.1111/j.1467-9574.2006.00322.x
Subject(s) - ordinary least squares , econometric model , econometrics , set (abstract data type) , mathematics , least squares function approximation , statistics , mathematical economics , computer science , programming language , estimator
This paper examines the ordinary least squares estimates of the Klein–Goldberger model by Fox ( Journal of Political Economy , 64 , 1956, 128). Because Klein and Goldberger published the data set with the model, it is possible to re‐examine Fox's results years later, and investigate the accuracy with which these estimates were calculated. The examination reported in this paper was conducted by making independent estimates using three different modern econometric software packages. This examination reveals that the Fox estimates for a number of the equations of this model are replicable, to the two or three digits reported by Fox. Fox's results for other equations cannot be replicated. Not all the reasons for this lack of replicability can be determined, but in several cases the computational methods used by Fox and his assistants have been found to be faulty by modern computational standards.