Details about Jurgen A. Doornik

Access statistics for papers by Jurgen A. Doornik.

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Short-id: pdo59

Working Papers

2014

1. Statistical Model Selection with 'Big Data'
   Economics Series Working Papers, University of Oxford, Department of Economics View citations (1)
   See also Journal Article in Cogent Economics & Finance (2015)

2013

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

2012

3. 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 in Econometric Reviews (2014)
4. 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 in Oxford Bulletin of Economics and Statistics (2013)

2010

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

2008

7. Model Selection when there are Multiple Breaks
   Economics Series Working Papers, University of Oxford, Department of Economics View citations (16)
   See also Journal Article in Journal of Econometrics (2012)

2005

8. Outlier Detection in GARCH Models
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (8)
   Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2005) View citations (24)

2004

9. 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
   Also in Working Paper, Norges Bank (2004) View citations (1)
10. Parallel Computation in Econometrics: A Simplified Approach
    Economics Papers, Economics Group, Nuffield College, University of Oxford

2003

11. Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (9)
    See also Journal Article in Statistica Neerlandica (2004)
12. Multimodality in the GARCH Regression Model
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (16)
    See also Journal Article in International Journal of Forecasting (2008)

2001

13. 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
14. 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 in Computational Statistics & Data Analysis (2003)
15. 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 (9)

2000

16. Constructing Historical Euro-Zone Data
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (5)
    Also in Economics Working Papers, European University Institute (2000) View citations (14)
    See also Journal Article in Economic Journal (2001)
17. 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

18. Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (14)
    See also Journal Article in Journal of Applied Econometrics (2005)
19. 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 (11)

1998

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

Undated

21. An omnibus test for univariate and multivariate normalit
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (50)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2008)
22. Beyer-Doornik-Hendry
    Instructional Stata datasets for econometrics, Boston College Department of Economics
23. Computationally-intensive Econometrics using a Distributed Matrix-programming Language
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (4)
24. Daily DJIA
    Instructional Stata datasets for econometrics, Boston College Department of Economics
25. Iris
    Instructional Stata datasets for econometrics, Boston College Department of Economics

Journal Articles

2018

1. Accelerated Estimation of Switching Algorithms: The Cointegrated VAR Model and Other Applications
   Scandinavian Journal of Statistics, 2018, 45, (2), 283-300

2017

2. 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
3. Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions
   Econometrics, 2017, 5, (2), 1-20 View citations (4)

2016

4. An Example of Instability: Discussion of the Paper by Søren Johansen and Bent Nielsen
   Scandinavian Journal of Statistics, 2016, 43, (2), 357-359
5. 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 (1)

2015

6. Detecting Location Shifts during Model Selection by Step-Indicator Saturation
   Econometrics, 2015, 3, (2), 1-25 View citations (38)
7. Statistical model selection with “Big Data”
   Cogent Economics & Finance, 2015, 3, (1), 1045216 View citations (4)
   See also Working Paper (2014)

2014

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

2013

9. A Markov-switching model with component structure for US GNP
   Economics Letters, 2013, 118, (2), 265-268 View citations (7)
10. Model Selection in Equations with Many ‘Small’ Effects
    Oxford Bulletin of Economics and Statistics, 2013, 75, (1), 6-22 View citations (2)
    See also Working Paper (2012)

2012

11. Model selection when there are multiple breaks
    Journal of Econometrics, 2012, 169, (2), 239-246 View citations (52)
    See also Working Paper (2008)

2011

12. Evaluating Automatic Model Selection
    Journal of Time Series Econometrics, 2011, 3, (1), 1-33 View citations (49)
    See also Working Paper (2010)

2010

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

2008

14. An Omnibus Test for Univariate and Multivariate Normality*
    Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 927-939 View citations (138)
    See also Working Paper
15. Encompassing and Automatic Model Selection*
    Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 915-925 View citations (28)
16. Multimodality in GARCH regression models
    International Journal of Forecasting, 2008, 24, (3), 432-448 View citations (20)
    See also Working Paper (2003)

2006

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

2005

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

2004

19. Identifying, estimating and testing restricted cointegrated systems: An overview
    Statistica Neerlandica, 2004, 58, (4), 440-465 View citations (24)
    See also Working Paper (2003)
20. Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (2), 1-25 View citations (21)

2003

21. Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
    Computational Statistics & Data Analysis, 2003, 42, (3), 333-348 View citations (50)
    See also Working Paper (2001)
22. The Influence of Var Dimensions on Estimator Biases: Comment
    Econometrica, 2003, 71, (1), 377-383 View citations (1)

2002

23. Numerically stable cointegration analysis
    Computational Statistics & Data Analysis, 2002, 41, (1), 185-193 View citations (4)

2001

24. Constructing Historical Euro-Zone Data
    Economic Journal, 2001, 111, (469), F102-21 View citations (93)
    See also Working Paper (2000)

2000

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

1999

26. Erratum [Approximations to the Asymptotic Distribution of Cointegration Tests]
    Journal of Economic Surveys, 1999, 13, (2), i View citations (5)
27. Statistical algorithms for models in state space using SsfPack 2.2
    Econometrics Journal, 1999, 2, (1), 107-160 View citations (191)
    See also Working Paper (1998)

1998

28. APPROXIMATIONS TO THE ASYMPTOTIC DISTRIBUTIONS OF COINTEGRATION TESTS
    Journal of Economic Surveys, 1998, 12, (5), 573-593 View citations (76)
    Also in Journal of Economic Surveys, 1998, 12, (5), 573-93 (1998) View citations (149)
29. Inference in Cointegrating Models: UK M1 Revisited
    Journal of Economic Surveys, 1998, 12, (5), 533-572 View citations (47)
    Also in Journal of Economic Surveys, 1998, 12, (5), 533-72 (1998) View citations (131)

1997

30. The Implications for Econometric Modelling of Forecast Failure
    Scottish Journal of Political Economy, 1997, 44, (4), 437-61 View citations (54)

1994

31. Modelling Linear Dynamic Econometric Systems
    Scottish Journal of Political Economy, 1994, 41, (1), 1-33 View citations (71)