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Details about Jurgen A. Doornik

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Homepage:http://www.doornik.com/
Workplace:Department of Economics, Oxford University, (more information at EDIRC)

Access statistics for papers by Jurgen A. Doornik.

Last updated 2016-02-25. Update your information in the RePEc Author Service.

Short-id: pdo59


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Working Papers

2014

  1. Statistical Model Selection with 'Big Data'
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads

2013

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

2012

  1. Mis-specification Testing: Non-Invariance of Expectations Models of Inflation
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads View citations (1)
    See also Journal Article in Econometric Reviews (2014)
  2. Model Selection in Equations with Many 'Small' Effects
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads View citations (2)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2011) Downloads View citations (2)

    See also Journal Article in Oxford Bulletin of Economics and Statistics (2013)

2010

  1. Evaluating Automatic Model Selection
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (3)
    See also Journal Article in Journal of Time Series Econometrics (2011)
  2. Testing the Invariance of Expectations Models of Inflation
    Memorandum, Oslo University, Department of Economics Downloads View citations (11)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2010) Downloads View citations (14)

2008

  1. Model Selection when there are Multiple Breaks
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (15)
    See also Journal Article in Journal of Econometrics (2012)

2005

  1. Outlier Detection in GARCH Models
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (22)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2005) Downloads View citations (6)

2004

  1. 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 Downloads
    Also in Working Paper, Norges Bank (2004) Downloads View citations (1)
  2. Parallel Computation in Econometrics: A Simplified Approach
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads

2003

  1. Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (9)
    See also Journal Article in Statistica Neerlandica (2004)
  2. Multimodality in the GARCH Regression Model
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (16)

2001

  1. 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 Downloads
  2. Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (9)
    See also Journal Article in Computational Statistics & Data Analysis (2003)
  3. 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) Downloads View citations (8)

2000

  1. Constructing Historical Euro-Zone Data
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (4)
    Also in Economics Working Papers, European University Institute (2000) View citations (13)

    See also Journal Article in Economic Journal (2001)
  2. 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

  1. Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (14)
    See also Journal Article in Journal of Applied Econometrics (2005)
  2. 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 (9)

1998

  1. Statistical Algorithms for Models in State Space Using SsfPack 2.2
    Discussion Paper, Tilburg University, Center for Economic Research Downloads View citations (9)
    See also Journal Article in Econometrics Journal (1999)

Undated

  1. An omnibus test for univariate and multivariate normalit
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (52)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2008)
  2. Beyer-Doornik-Hendry
    Instructional Stata datasets for econometrics, Boston College Department of Economics Downloads
  3. Computationally-intensive Econometrics using a Distributed Matrix-programming Language
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (7)
  4. Daily DJIA
    Instructional Stata datasets for econometrics, Boston College Department of Economics Downloads
  5. Iris
    Instructional Stata datasets for econometrics, Boston College Department of Economics Downloads

Journal Articles

2015

  1. Detecting Location Shifts during Model Selection by Step-Indicator Saturation
    Econometrics, 2015, 3, (2), 1-25 Downloads View citations (20)

2014

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

2013

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

2012

  1. Model selection when there are multiple breaks
    Journal of Econometrics, 2012, 169, (2), 239-246 Downloads View citations (42)
    See also Working Paper (2008)

2011

  1. Evaluating Automatic Model Selection
    Journal of Time Series Econometrics, 2011, 3, (1), 1-33 Downloads View citations (36)
    See also Working Paper (2010)

2010

  1. Wage Formation and Bargaining Power during the Great Depression
    Scandinavian Journal of Economics, 2010, 112, (1), 211-233 Downloads View citations (4)

2008

  1. An Omnibus Test for Univariate and Multivariate Normality
    Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 927-939 Downloads View citations (94)
    See also Working Paper
  2. Encompassing and Automatic Model Selection
    Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 915-925 Downloads View citations (23)
  3. Multimodality in GARCH regression models
    International Journal of Forecasting, 2008, 24, (3), 432-448 Downloads View citations (15)

2006

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

2005

  1. Distribution approximations for cointegration tests with stationary exogenous regressors
    Journal of Applied Econometrics, 2005, 20, (6), 797-810 Downloads View citations (5)
    See also Working Paper (1999)

2004

  1. Identifying, estimating and testing restricted cointegrated systems: An overview
    Statistica Neerlandica, 2004, 58, (4), 440-465 Downloads View citations (15)
    See also Working Paper (2003)
  2. Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (2), 1-25 Downloads View citations (21)

2003

  1. Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
    Computational Statistics & Data Analysis, 2003, 42, (3), 333-348 Downloads View citations (39)
    See also Working Paper (2001)
  2. The Influence of Var Dimensions on Estimator Biases: Comment
    Econometrica, 2003, 71, (1), 377-383 Downloads View citations (1)

2002

  1. Numerically stable cointegration analysis
    Computational Statistics & Data Analysis, 2002, 41, (1), 185-193 Downloads View citations (2)

2001

  1. Constructing Historical Euro-Zone Data
    Economic Journal, 2001, 111, (469), F102-21 Downloads View citations (84)
    See also Working Paper (2000)

2000

  1. Reconstructing Aggregate Euro-zone Data
    Journal of Common Market Studies, 2000, 38, (4), 613-624 Downloads View citations (24)

1999

  1. Erratum [Approximations to the Asymptotic Distribution of Cointegration Tests]
    Journal of Economic Surveys, 1999, 13, (2), i Downloads View citations (3)
  2. Statistical algorithms for models in state space using SsfPack 2.2
    Econometrics Journal, 1999, 2, (1), 107-160 View citations (172)
    See also Working Paper (1998)

1998

  1. APPROXIMATIONS TO THE ASYMPTOTIC DISTRIBUTIONS OF COINTEGRATION TESTS
    Journal of Economic Surveys, 1998, 12, (5), 573-593 Downloads View citations (60)
    Also in Journal of Economic Surveys, 1998, 12, (5), 573-93 (1998) Downloads View citations (133)
  2. Inference in Cointegrating Models: UK M1 Revisited
    Journal of Economic Surveys, 1998, 12, (5), 533-72 Downloads View citations (116)
    Also in Journal of Economic Surveys, 1998, 12, (5), 533-572 (1998) Downloads View citations (32)

1997

  1. The Implications for Econometric Modelling of Forecast Failure
    Scottish Journal of Political Economy, 1997, 44, (4), 437-61 Downloads View citations (47)

1994

  1. Modelling Linear Dynamic Econometric Systems
    Scottish Journal of Political Economy, 1994, 41, (1), 1-33 View citations (64)
 
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