Jurgen A Doornik

Upcoming events

• 7-10 April 2008 -  RES Easter School in Econometrics, Oxford.
  • Topic: Model Selection.
  • Presented by Halbert White, Benedikt Pötscher, Kevin Hoover, David Hendry, Jurgen Doornik.
  • Registration and further information

• September 2008 -  6th OxMetrics Users' Conference, Cass Business School, London.
  
  • Dates 17 - 18 September 2008
  • Conference program September 2007

More events are listed at www.oxmetrics.net.

What's new

• Dates for the 6th OxMetrics Users' Conference: 17 - 18 September 2008. Call for papers coming soon.
  (Feb 1, 2008)

• A new version of OxMPI is available for downloading. This has been tested using MPICH2, DeinoMPI and OpenMPI under Windows XP (32 and 64 bit), Windows Vista (32 bit) and Linux (64 bit). Details are in the included documentation.
  (Nov 14, 2007)

• OxMetrics 5 is available from Timberlake Consultants.
  Read about the new features in the latest OxMetrics Newsletter (PDF, 1.7Mb).
  (Oct, 2007)

• Peter Reinhard Hansen and Asger Lunde announce MULCOM.
  MULCOM is a package for Ox that allows the user to test for Superior Predictive Ability (SPA) and to estimate a Model Confidence Set (MCS). The package works both with OxEdit and OxPack.
  (Sep 17, 2007)

• Econometric Modeling: A Likelihood Approach, the new econometric textbook by David Hendry and Bent Nielsen has now been published by Princeton University Press. The data sets that are used in this book have been included in the new demo version of OxMetrics 4. Therefore most computations in the book can be done using this free demo version.
  The OxMetrics 4 Demo version can be downloaded here.
  (May 11, 2007)

• The OxMetrics 4.1 Update can be downloaded.
  (Mar 9, 2007)

• Linux only hotfix for Ox 4.1, see here.
  (Mar 6, 2007)

• Ox Console 4.10, a minor update, is available. The changes are listed here. The OSX files now include Ox Console for Mac/Intel.
  (Feb 23, 2007)

• OxEdit 4.04, a minor update, is available. The information pages will be updated later today. The changes are listed here.
  (Jul 27, 2006)

• Added links on the download page to Ox code provided by Håvard Hungnes (GRaM), Tamer Kulaksizoglu (TDSM), Jouchi Nakajima (extreme value and survival analysis; Japanese translations), John Zedlewski (OxFFI and Emacs mode), Yori Zwols (OxDoc, OxLatex, OxProfiler).
  (Jul 25, 2006)

• New Japanese PcGive book

  by David F. Hendry, Jurgen A. Doornik and Ichikawa Hiroya. It includes a CD with the GiveWin 2/PcGive 10 demo. Available here, here and elsewhere. (Jun 8, 2006)

• Linux (AMD or Intel, 32 and 64-bit), OS-X (Mac/PowerPC) and Solaris (Sun/SPARC) versions are now also available in version 4.02.
  Note that there is currently no OS-X version for Mac/Intel.
  (May 8, 2006; updated May 11)

• A minor problem in the SsfPack 2.2 DLL prevents it from running under Ox 4. SsfPack Version 2.2a for Windows is compatible with Ox 3 and 4, and is available at ssfpack.com. Up-to-date versions for Linux (32 and 64-bit) can be downloaded. (Note that SsfPack data files that are matrix files but have the .dat extension must be renamed to .mat.)
  (Apr 5, 2006; updated Apr 20)

• The Mac OSX version is now available for downloading. Note that this is the PowerPC version, not the Intel version.
  Under linux, oxl -i was not working because src/maximize.ox was missing. The current RPMs as well as oxbas402.zip contain this file. Otherwise oxl runs fine, and there is no need to download again.
  (Apr 6, 2006)

• Ox Console 4 is available for download. At this stage the available platforms are Linux (32 and 64 bit) and Windows. The Mac version for powerpc will follow next week.
  (Mar 31, 2006)

• Timberlake Consultants. started shipping OxMetrics 4. Available are Ox Professional 4 for Windows and PcGive Professional 11.
  (Mar 20, 2006)

• The working paper `Outlier Detection in GARCH Models' by Marius Ooms and me is now available.

• Matias Eklöf and Melvyn Weeks announce version 1.1 of DCM for estimating discrete choice models. There is a related course on discrete choice models in Lisbon at the end of September, see the DCM course page.
  (Sep 5, 2005)

• False detection of trojan virus in OxMetrics installer programs.
  Certain versions of the McAfee antivirus software wrongly detect the presence of Generic BackDoor.dr in the OxMetrics installation programs (which are based on Inno Setup). It seems that this started with the 10 June DAT file (4511), and should disappear again with the subsequent version.
  This wrong detection may mean that McAfee corrupts or removes the OxMetrics installer files (which are perfectly fine).
  More information:
  • McAfee
  • Inno Setup discussion list
  • Thomas Warfield's blog
  (Jun 15, 2005)

• Something I had not yet put on my web pages: Ox code by Matias Eklöf. Including: Utilities for LaTeX tables; solving ordinary differential equations; BHHH maximizer using MaxBFGS syntax.
  (Jun 8, 2005)

• Two new software reviews in the Journal of Applied Econometrics:
  • Structural time series modelling with STAMP 6.02, by Gilles Teyssière. Journal of Applied Econometrics, 20, 2005, pp. 571-577.
  • Review of PcGive 10.0, by Bernd Hayo. Journal of Applied Econometrics, 19, 2004, pp. 525-531.
  (Jun 3, 2005)

• I've just completed three papers on random number generation. One is a chapter for the Palgrave Handbooks of Econometrics; the other two can be found under research.
  (Apr 14, 2005)

• `Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview' has now appeared in Statistic Neerlandica, see under research.
  (Dec 1, 2004)

• The jdmath.h header file in the development kit is using BOOL instead of bool for boolean arguments. This is relevant if you make calls to the underlying Ox mathematics library when making extension dynamic link libraries for Ox. For the correct version, see under download.
  (Dec 1, 2004)

• MSVARlib is a new OxGauss compliant library to estimate Multivariate Hidden Markov Models (HMM) in their simpler specification.
  (Nov 23, 2004)

• Hans-Martin Krolzig's MSVAR pages have moved to the University of Kent.
  (Oct 22, 2004)

• Max Bruche announces OxDBI, a database independent abstraction layer for Ox.
  (Oct 21, 2004)

• Several items to announce:
  • As you can see, I've moved my web page to www.doornik.com - much easier to remember.
  • Ox 3.4 (Windows, Linux, OS X, Sun) is available for downloading. See what's new in Ox 3.4.
  • GiveWin 2.3 Upgrade and PcGive 10.4 Upgrade is available for downloading. See what's new in GiveWin 2.3 and PcGive 10.3.
  • STR2 for smooth transition regression modelling is available again.
  • EMMPack for EMM estimation of stochastic volatility models is available again.
  • Two papers with Peter Boswijk are forthcoming: `Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview' in Statistic Neerlandica, and `Distribution approximations for cointegration tests with stationary exogenous regressors' in the Journal of Applied Econometrics.
  (Oct 20, 2004)

• The second OxMetrics conference at the Cass Business School was very successful again. We are currently planning the third conference, and hope to see you there. The 2004 conference program is still available.
  (Sept 1, 2004)

• Paper with Marius Ooms, `Inference and forecasting for ARFIMA models with an application to US and UK inflation', published published by Studies in Nonlinear Dynamics and Econometrics.
  (May, 2004)

• Available for download: Ox for Linux-Sparc and for AIX.
  (Apr 27, 2004)

• S. Laurent and J.P. Urbain announce M@ximize 1.0. M@ximize is a package for OxGauss, and is designed to bridge the gap between cml, maxlik, optmum and Ox. The web site for M@ximize also provides an overview of OxGauss, and an extensive test of its abilities.
  (Oct 15, 2003)

Contact information and brief CV

Jurgen A Doornik Nuffield College Oxford OX1 1NF, UK tel. +44-1865-278610   fax +44-1865-278621 email: Please check the support section before contacting me about software issues. Unfortunately, owing to the volume of emails, I sometimes take a very long time to answer. Emails without subject header or unsigned emails are binned.

Jurgen A. Doornik (D.Phil. Oxon) is a Research Fellow at Nuffield College, University of Oxford, and a director of OxMetrics Technologies Ltd. His main interest is in computational econometrics and statistics. He recently published in Econometrica, Computational Statistics and Data Analysis, and Philosophical Transactions of the Royal Society, on topics that include cointegration analysis, fractionally integrated models and parallel computation. He is also a core developer of the OxMetrics system of scientific software, which is widely used around the world. This includes PcGive, for interactive econometric modelling, and Ox, which is a matrix programming language aimed primarily at statistical and econometric applications. He has (co-)authored eight books accompanying the software.

 

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