While I would assume that there are few actuaries who use the econometric
packages tested, the authors note (p. 651) that "we strongly caution any
economist who uses a spreadsheet package for econometric estimation to
benchmark the package first." Also, (p. 658) in a section on the inaccuracy
of statistical distributions in some of the packages, they note that "Even
more serious inaccuracies were revealed in the statistical distributions of
Excel 97."
[They refer to articles by Knusel: "On the accuracy of Statistical
Distributions in Microsoft Excel" Computational Statist. Data Analysis 26:3,
p. 375-77 (1998) and McCullough and Wilson "On the accuracy of statistical
procedures in Excel 97" Computational Statist. Data Analysis (1999
forthcoming).]
Many actuaries (including me) use Excel, together with @Risk for simulation.
We generally trust our results. I'm curious whether anyone has found errors
or problems with these programs, and, more specifically, what we should look
out for.
About 5 years ago, I found a problem with the then-current version of @Risk
for Excel on the Macintosh. I was simulating from a distribution of loss
development factors, so all the simulated numbers should have been between
about 1.0 and 1.2. About once or twice in a thousand simulations, though,
the distribution would pop up a weird number, like 14.000 -- always a whole
number, and certainly it appeared with more frequency than one would expect
from the statistical distribution. I contacted the software maker, and they
replicated my result, but I never found out whether they got to the bottom
of the matter.
Anyone else have any war stories?
Gary Blumsohn
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