Details about Jurgen A. Doornik
Access statistics for papers by Jurgen A. Doornik.
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Short-id: pdo59
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Working Papers
2018
- Selecting a Model for Forecasting
Economics Series Working Papers, University of Oxford, Department of Economics 
2014
- Statistical Model Selection with 'Big Data'
Economics Series Working Papers, University of Oxford, Department of Economics View citations (1)
2013
- Step-indicator Saturation
Economics Series Working Papers, University of Oxford, Department of Economics View citations (26)
2012
- 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)
- 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
- 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)
- Testing the Invariance of Expectations Models of Inflation
Memorandum, Oslo University, Department of Economics View citations (11)
Also in Economics Series Working Papers, University of Oxford, Department of Economics (2010) View citations (14)
2008
- Model Selection when there are Multiple Breaks
Economics Series Working Papers, University of Oxford, Department of Economics View citations (17)
See also Journal Article in Journal of Econometrics (2012)
2005
- Outlier Detection in GARCH Models
Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (24)
Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2005) View citations (8)
2004
- 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)
- Parallel Computation in Econometrics: A Simplified Approach
Economics Papers, Economics Group, Nuffield College, University of Oxford
2003
- Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview
Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (11)
See also Journal Article in Statistica Neerlandica (2004)
- 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
- 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
- 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)
- 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
- 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)
- 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
- 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)
- 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
- 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
- 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)
- Beyer-Doornik-Hendry
Instructional Stata datasets for econometrics, Boston College Department of Economics
- Computationally-intensive Econometrics using a Distributed Matrix-programming Language
Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (4)
- Daily DJIA
Instructional Stata datasets for econometrics, Boston College Department of Economics
- Iris
Instructional Stata datasets for econometrics, Boston College Department of Economics
Journal Articles
2018
- Accelerated Estimation of Switching Algorithms: The Cointegrated VAR Model and Other Applications
Scandinavian Journal of Statistics, 2018, 45, (2), 283-300
2017
- 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
- Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions
Econometrics, 2017, 5, (2), 1-20 View citations (4)
2016
- 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 (3)
- 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 (2)
2015
- Detecting Location Shifts during Model Selection by Step-Indicator Saturation
Econometrics, 2015, 3, (2), 1-25 View citations (44)
- Statistical model selection with “Big Dataâ€
Cogent Economics & Finance, 2015, 3, (1), 1045216 View citations (4)
2014
- Misspecification Testing: Non-Invariance of Expectations Models of Inflation
Econometric Reviews, 2014, 33, (5-6), 553-574 View citations (6)
See also Working Paper (2012)
2013
- A Markov-switching model with component structure for US GNP
Economics Letters, 2013, 118, (2), 265-268 View citations (7)
- 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
- Model selection when there are multiple breaks
Journal of Econometrics, 2012, 169, (2), 239-246 View citations (56)
See also Working Paper (2008)
2011
- Evaluating Automatic Model Selection
Journal of Time Series Econometrics, 2011, 3, (1), 1-33 View citations (50)
See also Working Paper (2010)
2010
- Wage Formation and Bargaining Power during the Great Depression*
Scandinavian Journal of Economics, 2010, 112, (1), 211-233 View citations (5)
2008
- An Omnibus Test for Univariate and Multivariate Normality*
Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 927-939 View citations (143)
See also Working Paper
- Encompassing and Automatic Model Selection*
Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 915-925 View citations (28)
- Multimodality in GARCH regression models
International Journal of Forecasting, 2008, 24, (3), 432-448 View citations (20)
See also Working Paper (2003)
2006
- Econometric software development: past, present and future
Statistica Neerlandica, 2006, 60, (2), 206-224 View citations (4)
2005
- Distribution approximations for cointegration tests with stationary exogenous regressors
Journal of Applied Econometrics, 2005, 20, (6), 797-810 View citations (7)
See also Working Paper (1999)
2004
- Identifying, estimating and testing restricted cointegrated systems: An overview
Statistica Neerlandica, 2004, 58, (4), 440-465 View citations (24)
See also Working Paper (2003)
- 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
- 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)
- The Influence of Var Dimensions on Estimator Biases: Comment
Econometrica, 2003, 71, (1), 377-383 View citations (1)
2002
- Numerically stable cointegration analysis
Computational Statistics & Data Analysis, 2002, 41, (1), 185-193 View citations (4)
2001
- Constructing Historical Euro-Zone Data
Economic Journal, 2001, 111, (469), F102-21 View citations (94)
See also Working Paper (2000)
2000
- Reconstructing Aggregate Euro‐zone Data
Journal of Common Market Studies, 2000, 38, (4), 613-624 View citations (24)
1999
- Erratum [Approximations to the Asymptotic Distribution of Cointegration Tests]
Journal of Economic Surveys, 1999, 13, (2), i View citations (5)
- Statistical algorithms for models in state space using SsfPack 2.2
Econometrics Journal, 1999, 2, (1), 107-160 View citations (193)
See also Working Paper (1998)
1998
- APPROXIMATIONS TO THE ASYMPTOTIC DISTRIBUTIONS OF COINTEGRATION TESTS
Journal of Economic Surveys, 1998, 12, (5), 573-593 View citations (78)
Also in Journal of Economic Surveys, 1998, 12, (5), 573-93 (1998) View citations (151)
- Inference in Cointegrating Models: UK M1 Revisited
Journal of Economic Surveys, 1998, 12, (5), 533-572 View citations (49)
Also in Journal of Economic Surveys, 1998, 12, (5), 533-72 (1998) View citations (133)
1997
- The Implications for Econometric Modelling of Forecast Failure
Scottish Journal of Political Economy, 1997, 44, (4), 437-61 View citations (54)
1994
- Modelling Linear Dynamic Econometric Systems
Scottish Journal of Political Economy, 1994, 41, (1), 1-33 View citations (71)
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