Object-oriented econometrics: Matrix programming in C++ using GCC and newmat

✍ Scribed by Dirk Eddelbüttel

• Publisher: John Wiley and Sons
• Year: 1996
• Tongue: English
• Weight: 765 KB
• Volume: 11
• Category: Article
• ISSN: 0883-7252
• DOI: 10.1002/(sici)1099-1255(199603)11:2<199::aid-jae395>3.0.co;2-p

✦ Synopsis

Object-oriented programming using C++ offers features that can be as beneficial for econometricians as they are for other programmers. This review considers the standard programming paradigm and then discusses object-oriented programming, in particular the C++ language. Both GCC, a C++ compiler available free of charge from the GNU Project, and the newmat matrix class library are reviewed. An example of a simple econometric program in C++ that uses newmat is included.

1 . INTRODUCTION AND OVERVIEW

Econometricians frequently write computer programs. This article reviews the possibilities offered by a C++ compiler together with an appropriate matrix class. The C++ compiler that we review here is GCC and the matrix class that we have chosen is newmat. Both are available at no charge on the Internet.

Over the years, an extensive literature has developed on approaches to programming in general, on object-oriented programming in particular, and on the C++ language. Within this review, however, space constraints prevent us from covering more than only the surface of the most important aspects of object-oriented and C++ programming, but we provide pointers for further information.

In order actually to use a programming language, an implementation of either a compiler or an interpreter is needed. C and C++ are languages that are compiled from human-readable source into computer-readable object code and then linked into an executable program. Among C++ compilers the GCC compiler from the GNU Project plays a prominent role because of its distribution policy: it is available free of charge on the Internet. It certainly is the most frequently used compiler in academic and research environments.

Newmat, a matrix class for C++ developed by Robert B. Davies will also be discussed in this review. Newmat provides various matrix types: regular,