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Jurgen A. Doornik

Personal Details

First Name:Jurgen
Middle Name:A.
Last Name:Doornik
Suffix:
RePEc Short-ID:pdo59
[This author has chosen not to make the email address public]
http://www.doornik.com/
Terminal Degree:1995 Department of Economics; Oxford University (from RePEc Genealogy)

Affiliation

Department of Economics
Oxford University

Oxford, United Kingdom
http://www.economics.ox.ac.uk/

:

Manor Rd. Building, Oxford, OX1 3UQ
RePEc:edi:sfeixuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. David Hendry & Jurgen A. Doornik, 2014. "Statistical Model Selection with 'Big Data'," Economics Series Working Papers 735, University of Oxford, Department of Economics.
  2. David Hendry & Jurgen A. Doornik & Felix Pretis, 2013. "Step-indicator Saturation," Economics Series Working Papers 658, University of Oxford, Department of Economics.
  3. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry & Ragnar Nymoen, 2012. "Mis-specification Testing: Non-Invariance of Expectations Models of Inflation," Working Paper series 50_12, Rimini Centre for Economic Analysis.
  4. Jennifer Castle & David Hendry, 2011. "Model Selection in Equations with Many 'Small' Effects," Economics Series Working Papers 528, University of Oxford, Department of Economics.
  5. Jennifer Castle & David Hendry & Jurgen A. Doornik, 2010. "Evaluating Automatic Model Selection," Economics Series Working Papers 474, University of Oxford, Department of Economics.
  6. David Hendry & Jennifer L. Castle & Jurgen A. Doornik, 2010. "Testing the Invariance of Expectations Models of Inflation," Economics Series Working Papers 510, University of Oxford, Department of Economics.
  7. Jennifer Castle & David Hendry & Jurgen A. Doornik, 2008. "Model Selection when there are Multiple Breaks," Economics Series Working Papers 407, University of Oxford, Department of Economics.
  8. Jurgen A. Doornik & Marius Ooms, 2005. "Outlier Detection in GARCH Models," Economics Papers 2005-W24, Economics Group, Nuffield College, University of Oxford.
  9. Jurgen A. Doornik & Neil Shephard & David F. Hendry, 2004. "Parallel Computation in Econometrics: A Simplified Approach," Economics Papers 2004-W16, Economics Group, Nuffield College, University of Oxford.
  10. Gunnar Bårdsen & Jurgen Doornik & Jan Tore Klovland, 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 2004/4, Norges Bank.
  11. Jurgen A. Doornik & Marius Ooms, 2003. "Multimodality in the GARCH Regression Model," Economics Papers 2003-W20, Economics Group, Nuffield College, University of Oxford.
  12. H. Peter Boswijk & Jurgen Doornik, 2003. "Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview," Economics Papers 2003-W10, Economics Group, Nuffield College, University of Oxford.
  13. Jurgen A. Doornik & Marius Ooms, 2001. "Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models," Economics Papers 2001-W27, Economics Group, Nuffield College, University of Oxford.
  14. Beyer, A. & Doornik, J.A. & Hendry, D.F., 2000. "Constructing Historical Euro-Zone Data," Economics Working Papers eco2000/10, European University Institute.
  15. Gunnar Bårdsen & Jurgen Doornik & Jan Tore Klovland, 2000. "A Wage Curve for the Interwar Labour Market: Evidence from a Panel of Norwegian Manufacturing Industries," Working Paper Series 1802, Department of Economics, Norwegian University of Science and Technology, revised 15 Apr 2001.
  16. Jurgen A. Doornik & Marius Ooms, 2000. "Multimodality and the GARCH Likelihood," Econometric Society World Congress 2000 Contributed Papers 0798, Econometric Society.
  17. Bardsen, G. & Doornik, J. & Klovland, J.T., 2000. "Wage Behaviour During the Interwar Years: Are there any Puzzles left? Evidence from a Panel of Norwegian Manufacturing Industries," Papers 5/00, Norwegian School of Economics and Business Administration-.
  18. H. Peter Boswijk & Jurgen A. Doornik, 1999. "Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors," Tinbergen Institute Discussion Papers 99-013/4, Tinbergen Institute.
  19. Ooms, M. & Doornik, J.A., 1999. "Inference and Forecasting for Fractional Autoregressive Integrated Moving Average Models, with an application to US and UK inflation," Econometric Institute Research Papers EI 9947/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  20. Koopman, S.J.M. & Shephard, N. & Doornik, J.A., 1998. "Statistical Algorithms for Models in State Space Using SsfPack 2.2," Discussion Paper 1998-141, Tilburg University, Center for Economic Research.
  21. Beyer, Andreas & Doornik, Jurgen A. & Hendry, David F., "undated". "Beyer-Doornik-Hendry," Instructional Stata datasets for econometrics bdh, Boston College Department of Economics.
  22. Jurgen A. Doornik & David F. Hendry & Neil Shephard, "undated". "Computationally-intensive Econometrics using a Distributed Matrix-programming Language," Economics Papers 2001-W22, Economics Group, Nuffield College, University of Oxford.
  23. Jurgen A Doornik & Henrik Hansen, "undated". "An omnibus test for univariate and multivariate normalit," Economics Papers W4&91., Economics Group, Nuffield College, University of Oxford.
  24. Doornik, Jurgen A., "undated". "Iris," Instructional Stata datasets for econometrics iris, Boston College Department of Economics.
  25. Doornik, Jurgen A., "undated". "Daily DJIA," Instructional Stata datasets for econometrics ddjia, Boston College Department of Economics.

Articles

  1. Jurgen A. Doornik, 2017. "Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions," Econometrics, MDPI, Open Access Journal, vol. 5(2), pages 1-20, May.
  2. Jurgen A. Doornik & Rocco Mosconi & Paolo Paruolo, 2017. "Formula I(1) and I(2): Race Tracks for Likelihood Maximization Algorithms of I(1) and I(2) Cointegrated VAR Models," Econometrics, MDPI, Open Access Journal, vol. 5(4), pages 1-30, November.
  3. Jurgen A. Doornik, 2016. "An Example of Instability: Discussion of the Paper by Søren Johansen and Bent Nielsen," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(2), pages 357-359, June.
  4. Jurgen A. Doornik & David F. Hendry, 2016. "Outliers and Model Selection: Discussion of the Paper by Søren Johansen and Bent Nielsen," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(2), pages 360-365, June.
  5. Jurgen A. Doornik & David F. Hendry & Steve Cook, 2015. "Statistical model selection with “Big Data”," Cogent Economics & Finance, Taylor & Francis Journals, vol. 3(1), pages 1045216-104, December.
  6. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry & Felix Pretis, 2015. "Detecting Location Shifts during Model Selection by Step-Indicator Saturation," Econometrics, MDPI, Open Access Journal, vol. 3(2), pages 1-25, April.
  7. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry & Ragnar Nymoen, 2014. "Misspecification Testing: Non-Invariance of Expectations Models of Inflation," Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 553-574, August.
  8. Doornik, Jurgen A., 2013. "A Markov-switching model with component structure for US GNP," Economics Letters, Elsevier, vol. 118(2), pages 265-268.
  9. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2013. "Model Selection in Equations with Many ‘Small’ Effects," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(1), pages 6-22, February.
  10. Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2012. "Model selection when there are multiple breaks," Journal of Econometrics, Elsevier, vol. 169(2), pages 239-246.
  11. Castle Jennifer L. & Doornik Jurgen A & Hendry David F., 2011. "Evaluating Automatic Model Selection," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-33, February.
  12. Gunnar Bardsen & Jurgen A. Doornik & Jan Tore Klovland, 2010. "Wage Formation and Bargaining Power during the Great Depression," Scandinavian Journal of Economics, Wiley Blackwell, vol. 112(1), pages 211-233, March.
  13. Doornik, Jurgen A. & Ooms, Marius, 2008. "Multimodality in GARCH regression models," International Journal of Forecasting, Elsevier, vol. 24(3), pages 432-448.
  14. Jurgen A. Doornik, 2008. "Encompassing and Automatic Model Selection," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 915-925, December.
  15. Jurgen A. Doornik & Henrik Hansen, 2008. "An Omnibus Test for Univariate and Multivariate Normality," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 927-939, December.
  16. Marius Ooms & Jurgen A. Doornik, 2006. "Econometric software development: past, present and future," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 60(2), pages 206-224.
  17. Jurgen A. Doornik & H. Peter Boswijk, 2005. "Distribution approximations for cointegration tests with stationary exogenous regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(6), pages 797-810.
  18. H. Peter Boswijk & Jurgen A. Doornik, 2004. "Identifying, estimating and testing restricted cointegrated systems: An overview," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 58(4), pages 440-465.
  19. Doornik Jurgen A & Ooms Marius, 2004. "Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(2), pages 1-25, May.
  20. Jurgen A. Doornik & Bent Nielsen & Thomas J. Rothenberg, 2003. "The Influence of Var Dimensions on Estimator Biases: Comment," Econometrica, Econometric Society, vol. 71(1), pages 377-383, January.
  21. Doornik, Jurgen A. & Ooms, Marius, 2003. "Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 333-348, March.
  22. Doornik, Jurgen A. & O'Brien, R. J., 2002. "Numerically stable cointegration analysis," Computational Statistics & Data Analysis, Elsevier, vol. 41(1), pages 185-193, November.
  23. Beyer, Andreas & Doornik, Jurgen A & Hendry, David F, 2001. "Constructing Historical Euro-Zone Data," Economic Journal, Royal Economic Society, vol. 111(469), pages 102-121, February.
  24. Andreas Beyer & Jurgen A. Doornik & David F. Hendry, 2000. "Reconstructing Aggregate Euro-zone Data," Journal of Common Market Studies, Wiley Blackwell, vol. 38(4), pages 613-624, November.
  25. Doornik, Jurgen A, 1999. " Erratum [Approximations to the Asymptotic Distribution of Cointegration Tests]," Journal of Economic Surveys, Wiley Blackwell, vol. 13(2), April.
  26. Siem Jan Koopman & Neil Shephard & Jurgen A. Doornik, 1999. "Statistical algorithms for models in state space using SsfPack 2.2," Econometrics Journal, Royal Economic Society, vol. 2(1), pages 107-160.
  27. Doornik, Jurgen A & Hendry, David F & Nielsen, Bent, 1998. " Inference in Cointegrating Models: UK M1 Revisited," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 533-572, December.
  28. Doornik, Jurgen A, 1998. " Approximations to the Asymptotic Distributions of Cointegration Tests," Journal of Economic Surveys, Wiley Blackwell, vol. 12(5), pages 573-593, December.
  29. Hendry, David F & Doornik, Jurgen A, 1997. "The Implications for Econometric Modelling of Forecast Failure," Scottish Journal of Political Economy, Scottish Economic Society, vol. 44(4), pages 437-461, September.
  30. Hendry, David F & Doornik, Jurgen A, 1994. "Modelling Linear Dynamic Econometric Systems," Scottish Journal of Political Economy, Scottish Economic Society, vol. 41(1), pages 1-33, February.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Citations
  2. Number of Citations, Weighted by Simple Impact Factor
  3. Number of Citations, Weighted by Recursive Impact Factor
  4. Number of Citations, Weighted by Number of Authors
  5. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  6. h-index
  7. Number of Registered Citing Authors
  8. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  9. Euclidian citation score
  10. Wu-Index

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 20 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (10) 2001-12-19 2003-04-04 2004-01-25 2004-07-17 2006-01-24 2010-11-20 2011-02-19 2012-07-14 2013-07-28 2015-01-03. Author is listed
  2. NEP-ETS: Econometric Time Series (7) 2001-12-19 2003-04-02 2004-01-18 2004-07-11 2006-01-24 2006-04-08 2011-02-19. Author is listed
  3. NEP-CMP: Computational Economics (4) 2001-12-14 2001-12-19 2004-07-11 2013-07-28
  4. NEP-CBA: Central Banking (3) 2010-11-20 2011-01-30 2011-02-19
  5. NEP-FIN: Finance (2) 2004-01-18 2006-01-24
  6. NEP-FMK: Financial Markets (2) 2001-05-16 2004-06-07
  7. NEP-MON: Monetary Economics (2) 2010-11-20 2011-01-30
  8. NEP-CIS: Confederation of Independent States (1) 2011-02-19
  9. NEP-HIS: Business, Economic & Financial History (1) 2004-06-13
  10. NEP-IFN: International Finance (1) 2004-01-18
  11. NEP-MAC: Macroeconomics (1) 2012-07-14
  12. NEP-ORE: Operations Research (1) 2011-02-19

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