Details about Jurgen A. Doornik

Access statistics for papers by Jurgen A. Doornik.

Last updated 2024-09-06. Update your information in the RePEc Author Service.

Short-id: pdo59

Working Papers

2020

1. Modelling Non-stationary 'Big Data'
   Economics Series Working Papers, University of Oxford, Department of Economics
   See also Journal Article Modelling non-stationary ‘Big Data’, International Journal of Forecasting, Elsevier (2021) View citations (2) (2021)
2. Robust Discovery of Regression Models
   Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (3)
   See also Journal Article Robust Discovery of Regression Models, Econometrics and Statistics, Elsevier (2023) View citations (3) (2023)
3. Short-term forecasting of the Coronavirus Pandemic - 2020-04-27
   Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (7)

2019

4. Some forecasting principles from the M4 competition
   Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (3)

2018

5. Selecting a Model for Forecasting
   Economics Series Working Papers, University of Oxford, Department of Economics View citations (2)
   See also Journal Article Selecting a Model for Forecasting, Econometrics, MDPI (2021) View citations (1) (2021)

2017

6. Accelerated Estimation of Switching Algorithms: The Cointegrated VAR Model and Other Applications
   Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (3)
   See also Journal Article Accelerated Estimation of Switching Algorithms: The Cointegrated VAR Model and Other Applications, Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics (2018) (2018)

2014

7. Statistical Model Selection with 'Big Data'
   Economics Series Working Papers, University of Oxford, Department of Economics View citations (1)
   See also Journal Article Statistical model selection with “Big Data”, Cogent Economics & Finance, Taylor & Francis Journals (2015) View citations (17) (2015)

2013

8. Step-indicator Saturation
   Economics Series Working Papers, University of Oxford, Department of Economics View citations (26)

2012

9. Mis-specification Testing: Non-Invariance of Expectations Models of Inflation
   Working Paper series, Rimini Centre for Economic Analysis View citations (1)
   See also Journal Article Misspecification Testing: Non-Invariance of Expectations Models of Inflation, Econometric Reviews, Taylor & Francis Journals (2014) View citations (12) (2014)
10. Model Selection in Equations with Many 'Small' Effects
    Working Paper series, Rimini Centre for Economic Analysis View citations (2)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2011) View citations (2)
    See also Journal Article Model Selection in Equations with Many ‘Small’ Effects, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2013) View citations (4) (2013)

2010

11. Evaluating Automatic Model Selection
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (5)
    See also Journal Article Evaluating Automatic Model Selection, Journal of Time Series Econometrics, De Gruyter (2011) View citations (79) (2011)
12. Testing the Invariance of Expectations Models of Inflation
    Memorandum, Oslo University, Department of Economics View citations (13)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2010) View citations (15)

2008

13. Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (12)
14. Model Selection when there are Multiple Breaks
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (20)
    See also Journal Article Model selection when there are multiple breaks, Journal of Econometrics, Elsevier (2012) View citations (76) (2012)

2005

15. Outlier Detection in GARCH Models
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (30)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2005) View citations (23)

2004

16. A European-type wage equation from an American-style labor market: Evidence from a panel of Norwegian manufacturing industries in the 1930s
    Working Paper, Norges Bank View citations (1)
    Also in Working Paper, Norges Bank (2004) View citations (2)
17. Parallel Computation in Econometrics: A Simplified Approach
    Economics Papers, Economics Group, Nuffield College, University of Oxford

2003

18. Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (12)
    See also Journal Article Identifying, estimating and testing restricted cointegrated systems: An overview, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (2004) View citations (37) (2004)
19. Multimodality in the GARCH Regression Model
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (17)
    See also Journal Article Multimodality in GARCH regression models, International Journal of Forecasting, Elsevier (2008) View citations (20) (2008)

2001

20. A Wage Curve for the Interwar Labour Market: Evidence from a Panel of Norwegian Manufacturing Industries
    Working Paper Series, Department of Economics, Norwegian University of Science and Technology
21. Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (10)
    See also Journal Article Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models, Computational Statistics & Data Analysis, Elsevier (2003) View citations (62) (2003)
22. Multimodality and the GARCH Likelihood
    Computing in Economics and Finance 2001, Society for Computational Economics View citations (1)
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (10)

2000

23. Constructing Historical Euro-Zone Data
    Economics Working Papers, European University Institute View citations (17)
    See also Journal Article Constructing Historical Euro-Zone Data, Economic Journal, Royal Economic Society (2001) View citations (107) (2001)
24. Wage Behaviour During the Interwar Years: Are there any Puzzles left? Evidence from a Panel of Norwegian Manufacturing Industries
    Working Papers, Norwegian School of Economics and Business Administration-

1999

25. Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (14)
    See also Journal Article Distribution approximations for cointegration tests with stationary exogenous regressors, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2005) View citations (8) (2005)
26. Inference and Forecasting for Fractional Autoregressive Integrated Moving Average Models, with an application to US and UK inflation
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (21)

1998

27. Statistical Algorithms for Models in State Space Using SsfPack 2.2
    Discussion Paper, Tilburg University, Center for Economic Research View citations (11)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1998) View citations (1)
    See also Journal Article Statistical algorithms for models in state space using SsfPack 2.2, Econometrics Journal, Royal Economic Society (1999) View citations (260) (1999)

Undated

28. An omnibus test for univariate and multivariate normalit
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (47)
    See also Journal Article An Omnibus Test for Univariate and Multivariate Normality*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2008) View citations (286) (2008)
29. Beyer-Doornik-Hendry
    Instructional Stata datasets for econometrics, Boston College Department of Economics
30. Computationally-intensive Econometrics using a Distributed Matrix-programming Language
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (4)
31. Daily DJIA
    Instructional Stata datasets for econometrics, Boston College Department of Economics
32. Iris
    Instructional Stata datasets for econometrics, Boston College Department of Economics

Journal Articles

2024

1. Forecasting the UK top 1% income share in a shifting world
   Economica, 2024, 91, (363), 1047-1074 View citations (1)
2. Improving models and forecasts after equilibrium-mean shifts
   International Journal of Forecasting, 2024, 40, (3), 1085-1100

2023

3. Robust Discovery of Regression Models
   Econometrics and Statistics, 2023, 26, (C), 31-51 View citations (3)
   See also Working Paper Robust Discovery of Regression Models, Economics Papers (2020) View citations (3) (2020)

2022

4. Short-term forecasting of the coronavirus pandemic
   International Journal of Forecasting, 2022, 38, (2), 453-466 View citations (8)

2021

5. Forecasting Facing Economic Shifts, Climate Change and Evolving Pandemics
   Econometrics, 2021, 10, (1), 1-21
6. Forecasting Principles from Experience with Forecasting Competitions
   Forecasting, 2021, 3, (1), 1-28 View citations (9)
7. Modeling and forecasting the COVID‐19 pandemic time‐series data
   Social Science Quarterly, 2021, 102, (5), 2070-2087 View citations (1)
8. Modelling non-stationary ‘Big Data’
   International Journal of Forecasting, 2021, 37, (4), 1556-1575 View citations (2)
   See also Working Paper Modelling Non-stationary 'Big Data', Economics Series Working Papers (2020) (2020)
9. Selecting a Model for Forecasting
   Econometrics, 2021, 9, (3), 1-35 View citations (1)
   See also Working Paper Selecting a Model for Forecasting, Economics Series Working Papers (2018) View citations (2) (2018)
10. THE VALUE OF ROBUST STATISTICAL FORECASTS IN THE COVID-19 PANDEMIC
    National Institute Economic Review, 2021, 256, 19-43 View citations (6)

2020

11. Card forecasts for M4
    International Journal of Forecasting, 2020, 36, (1), 129-134 View citations (17)

2018

12. Accelerated Estimation of Switching Algorithms: The Cointegrated VAR Model and Other Applications
    Scandinavian Journal of Statistics, 2018, 45, (2), 283-300
    See also Working Paper Accelerated Estimation of Switching Algorithms: The Cointegrated VAR Model and Other Applications, Economics Papers (2017) View citations (3) (2017)

2017

13. Formula I(1) and I(2): Race Tracks for Likelihood Maximization Algorithms of I(1) and I(2) Cointegrated VAR Models
    Econometrics, 2017, 5, (4), 1-30
14. Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions
    Econometrics, 2017, 5, (2), 1-20 View citations (5)

2016

15. An Example of Instability: Discussion of the Paper by Søren Johansen and Bent Nielsen
    Scandinavian Journal of Statistics, 2016, 43, (2), 357-359 View citations (6)
16. Outliers and Model Selection: Discussion of the Paper by Søren Johansen and Bent Nielsen
    Scandinavian Journal of Statistics, 2016, 43, (2), 360-365 View citations (3)

2015

17. Detecting Location Shifts during Model Selection by Step-Indicator Saturation
    Econometrics, 2015, 3, (2), 1-25 View citations (96)
18. Statistical model selection with “Big Data”
    Cogent Economics & Finance, 2015, 3, (1), 1045216 View citations (17)
    See also Working Paper Statistical Model Selection with 'Big Data', Economics Series Working Papers (2014) View citations (1) (2014)

2014

19. Misspecification Testing: Non-Invariance of Expectations Models of Inflation
    Econometric Reviews, 2014, 33, (5-6), 553-574 View citations (12)
    See also Working Paper Mis-specification Testing: Non-Invariance of Expectations Models of Inflation, Working Paper series (2012) View citations (1) (2012)

2013

20. A Markov-switching model with component structure for US GNP
    Economics Letters, 2013, 118, (2), 265-268 View citations (15)
21. Model Selection in Equations with Many ‘Small’ Effects
    Oxford Bulletin of Economics and Statistics, 2013, 75, (1), 6-22 View citations (4)
    See also Working Paper Model Selection in Equations with Many 'Small' Effects, Working Paper series (2012) View citations (2) (2012)

2012

22. Model selection when there are multiple breaks
    Journal of Econometrics, 2012, 169, (2), 239-246 View citations (76)
    See also Working Paper Model Selection when there are Multiple Breaks, Economics Series Working Papers (2008) View citations (20) (2008)

2011

23. Evaluating Automatic Model Selection
    Journal of Time Series Econometrics, 2011, 3, (1), 33 View citations (79)
    See also Working Paper Evaluating Automatic Model Selection, Economics Series Working Papers (2010) View citations (5) (2010)

2010

24. Wage Formation and Bargaining Power during the Great Depression*
    Scandinavian Journal of Economics, 2010, 112, (1), 211-233 View citations (5)

2008

25. An Omnibus Test for Univariate and Multivariate Normality*
    Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 927-939 View citations (286)
    See also Working Paper An omnibus test for univariate and multivariate normalit, Economics Papers View citations (47)
26. Encompassing and Automatic Model Selection*
    Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 915-925 View citations (47)
27. Multimodality in GARCH regression models
    International Journal of Forecasting, 2008, 24, (3), 432-448 View citations (20)
    See also Working Paper Multimodality in the GARCH Regression Model, Economics Papers (2003) View citations (17) (2003)

2006

28. Econometric software development: past, present and future
    Statistica Neerlandica, 2006, 60, (2), 206-224 View citations (4)

2005

29. Distribution approximations for cointegration tests with stationary exogenous regressors
    Journal of Applied Econometrics, 2005, 20, (6), 797-810 View citations (8)
    See also Working Paper Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors, Tinbergen Institute Discussion Papers (1999) View citations (14) (1999)

2004

30. Identifying, estimating and testing restricted cointegrated systems: An overview
    Statistica Neerlandica, 2004, 58, (4), 440-465 View citations (37)
    See also Working Paper Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview, Economics Papers (2003) View citations (12) (2003)
31. Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (2), 25 View citations (47)

2003

32. Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
    Computational Statistics & Data Analysis, 2003, 42, (3), 333-348 View citations (62)
    See also Working Paper Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models, Economics Papers (2001) View citations (10) (2001)
33. The Influence of Var Dimensions on Estimator Biases: Comment
    Econometrica, 2003, 71, (1), 377-383 View citations (3)

2002

34. Numerically stable cointegration analysis
    Computational Statistics & Data Analysis, 2002, 41, (1), 185-193 View citations (10)

2001

35. Constructing Historical Euro-Zone Data
    Economic Journal, 2001, 111, (469), F102-21 View citations (107)
    See also Working Paper Constructing Historical Euro-Zone Data, Economics Working Papers (2000) View citations (17) (2000)

2000

36. Reconstructing Aggregate Euro‐zone Data
    Journal of Common Market Studies, 2000, 38, (4), 613-624 View citations (25)

1999

37. Statistical algorithms for models in state space using SsfPack 2.2
    Econometrics Journal, 1999, 2, (1), 107-160 View citations (260)
    See also Working Paper Statistical Algorithms for Models in State Space Using SsfPack 2.2, Discussion Paper (1998) View citations (11) (1998)

1998

38. APPROXIMATIONS TO THE ASYMPTOTIC DISTRIBUTIONS OF COINTEGRATION TESTS
    Journal of Economic Surveys, 1998, 12, (5), 573-593 View citations (144)
39. Inference in Cointegrating Models: UK M1 Revisited
    Journal of Economic Surveys, 1998, 12, (5), 533-572 View citations (96)

1997

40. The Implications for Econometric Modelling of Forecast Failure
    Scottish Journal of Political Economy, 1997, 44, (4), 437-461 View citations (47)

1994

41. Modelling Linear Dynamic Econometric Systems
    Scottish Journal of Political Economy, 1994, 41, (1), 1-33 View citations (75)