Details about Jurgen A. Doornik

Access statistics for papers by Jurgen A. Doornik.

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Short-id: pdo59

Working Papers

2020

1. Modelling Non-stationary 'Big Data'
   Economics Series Working Papers, University of Oxford, Department of Economics
2. Robust Discovery of Regression Models
   Economics Papers, Economics Group, Nuffield College, University of Oxford
3. Short-term forecasting of the Coronavirus Pandemic - 2020-04-27
   Economics Papers, Economics Group, Nuffield College, University of Oxford

2019

4. Some forecasting principles from the M4 competition
   Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (1)

2018

5. Selecting a Model for Forecasting
   Economics Series Working Papers, University of Oxford, Department of Economics

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 (2)
   See also Journal Article in Scandinavian Journal of Statistics (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 in Cogent Economics & Finance (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 in Econometric Reviews (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 in Oxford Bulletin of Economics and Statistics (2013)

2010

11. 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)
12. 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

13. 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

14. Outlier Detection in GARCH Models
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (25)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2005) View citations (9)

2004

15. 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)
16. Parallel Computation in Econometrics: A Simplified Approach
    Economics Papers, Economics Group, Nuffield College, University of Oxford

2003

17. 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)
18. 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

19. 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
20. 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)
21. 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

22. 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)
23. 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

24. 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)
25. 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 (12)

1998

26. Statistical Algorithms for Models in State Space Using SsfPack 2.2
    Other publications TiSEM, Tilburg University, School of Economics and Management
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1998) View citations (10)
    See also Journal Article in Econometrics Journal (1999)

Undated

27. 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)
28. Beyer-Doornik-Hendry
    Instructional Stata datasets for econometrics, Boston College Department of Economics
29. Computationally-intensive Econometrics using a Distributed Matrix-programming Language
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (4)
30. Daily DJIA
    Instructional Stata datasets for econometrics, Boston College Department of Economics
31. Iris
    Instructional Stata datasets for econometrics, Boston College Department of Economics

Journal Articles

2020

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

2018

2. 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 (2017)

2017

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

2016

5. 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 (5)
6. 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

7. Detecting Location Shifts during Model Selection by Step-Indicator Saturation
   Econometrics, 2015, 3, (2), 1-25 View citations (54)
8. Statistical model selection with “Big Data”
   Cogent Economics & Finance, 2015, 3, (1), 1045216 View citations (6)
   See also Working Paper (2014)

2014

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

2013

10. A Markov-switching model with component structure for US GNP
    Economics Letters, 2013, 118, (2), 265-268 View citations (8)
11. 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

12. Model selection when there are multiple breaks
    Journal of Econometrics, 2012, 169, (2), 239-246 View citations (58)
    See also Working Paper (2008)

2011

13. Evaluating Automatic Model Selection
    Journal of Time Series Econometrics, 2011, 3, (1), 1-33 View citations (54)
    See also Working Paper (2010)

2010

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

2008

15. An Omnibus Test for Univariate and Multivariate Normality*
    Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 927-939 View citations (166)
    See also Working Paper
16. Encompassing and Automatic Model Selection*
    Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 915-925 View citations (32)
17. Multimodality in GARCH regression models
    International Journal of Forecasting, 2008, 24, (3), 432-448 View citations (20)
    See also Working Paper (2003)

2006

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

2005

19. 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 (1999)

2004

20. Identifying, estimating and testing restricted cointegrated systems: An overview
    Statistica Neerlandica, 2004, 58, (4), 440-465 View citations (26)
    See also Working Paper (2003)
21. 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 (22)

2003

22. Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
    Computational Statistics & Data Analysis, 2003, 42, (3), 333-348 View citations (52)
    See also Working Paper (2001)
23. The Influence of Var Dimensions on Estimator Biases: Comment
    Econometrica, 2003, 71, (1), 377-383 View citations (1)

2002

24. Numerically stable cointegration analysis
    Computational Statistics & Data Analysis, 2002, 41, (1), 185-193 View citations (8)

2001

25. Constructing Historical Euro-Zone Data
    Economic Journal, 2001, 111, (469), F102-21 View citations (98)
    See also Working Paper (2000)

2000

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

1999

27. Statistical algorithms for models in state space using SsfPack 2.2
    Econometrics Journal, 1999, 2, (1), 107-160 View citations (198)
    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 (84)
29. Inference in Cointegrating Models: UK M1 Revisited
    Journal of Economic Surveys, 1998, 12, (5), 533-572 View citations (54)

1997

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

1994

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