The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Computational Methods in Econometrics

  • Vassilis A. Hajivassiliou
Reference work entry


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.


Bayesian inference Bootstrap Classical inference Computational methods Generalized least squares Generalized method of moments Importance sampling simulation Jackknife Least absolute deviations Maximum likelihood Numerical integration Optimal control Ordinary least squares Random effects models Simulation-based estimation Stone, J. R. N Markov chain Monte Carlo methods Parallel computation 

JEL Classification

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© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Vassilis A. Hajivassiliou
    • 1
  1. 1.