Jurgen A Doornik Research

Papers and work in progress

Below is a list of my unpublished work and work in progress. All papers are provided as PDF files.
The copyright of all papers is held by their authors.

If you wish to quote from them please refer to them as `working papers, Department of Economics, University of Oxford' except where I give another place of origin. Comments on any aspect of them are welcome.

Flu Forecasts
Jurgen A Doornik and Marius Ooms (2005). Outlier Detection in GARCH Models. 2005-W24 in Nuffield Economics Working Papers.
Doornik, J.A. (2005). An Improved Ziggurat Method to Generate Normal Random Samples.
- Paper
- Code (zipped)
Gunnar Bårdsen, Jurgen A Doornik, Jan Tore Klovland, 2003. A European-type wage equation from an American-style labor market: Evidence from a panel of Norwegian manufacturing industries in the 1930s.
- Paper
- Data and some code (zipped)
This is a substantially revised version of: `A Wage Curve for the Interwar Labour Market: Evidence from a Panel of Norwegian Manufacturing Industries', Discussion paper 5/00, Norwegian School of Economics and Business Administration.
Jurgen A Doornik, Manuel Arellano, and Stephen Bond, 1999. Panel data estimation using DPD for Ox
Jurgen A Doornik and Marius Ooms, 1999. A package for estimating, forecasting and simulating arfima models.
Jurgen A Doornik, Sep 1996. Testing vector error autocorrelation and heteroscedasticity.

Publications

Published papers

My published and forthcoming papers:

Doornik, J.A. (2009). Autometrics. in Castle, J.L. and Shephard, N. (2009), The Methodology and Practice of Econometrics, Oxford University Press.

Doornik, J.A. (2008). Encompassing and Automatic Model Selection. Oxford Bulletin of Economics and Statistics, 70, 915-925

Doornik, J.A. and Hansen, H. (2008). An Omnibus Test for Univariate and Multivariate Normality. Oxford Bulletin of Economics and Statistics, 70, 927-939
The 1994 version is still available as W4&91 in Nuffield Economics Working Papers.

Doornik, J.A. and Ooms, M. (2008). Multimodality in the GARCH Regression Model. International Journal of Forecasting, 24, 432-448, dx.doi.org/10.1016/j.ijforecast.2008.06.002.
An old version is still available as 2003-W20 in Nuffield Economics Working Papers.

Doornik, J.A. (2007). Conversion of High-Period Random Numbers to Floating Point. ACM Transactions on Modeling and Computer Simulation (ACM TOMACS), 17, article 3.

Paper
© ACM, (2007). This is the author's version of the work. It is posted here by permission of ACM for your personal use. Not for redistribution. The definitive version was published in ACM TOMACS, 17, 1, 2007, http://doi.acm.org/10.1145/1189756.1189759
Code (zipped)

Doornik, J.A. (2006). The Role of Simulation in Econometrics. Chapter 22 in Palgrave Handbooks of Econometrics: Vol. 1 Econometric Theory, Palgrave MacMillan, 787-811.

Ooms, M. and Doornik, J.A. (2006). Econometric software development: past, present and future. Statistica Neerlandica, 60, 206–224.

Doornik, J.A., Hendry, D.F. and Shephard, N. (2006) Parallel Computation in Econometrics: A Simplified Approach. Chapter 15 in Handbook of Parallel Computing and Statistics, Chapman & Hall/CRC, 449-476.
An earlier version is still available as 2004-W16 in Nuffield Economics Working Papers.

Boswijk, H.P. and Doornik, J.A. (2005). Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors. Journal of Applied Econometrics, 20, 797-810.
A very early version is still available as Tinbergen Institute Discussion Paper # 99-013/4.

Boswijk, H.P. and Doornik, J.A. (2004). Identifying, Estimating and Testing Restricted Cointegrated Systems: An Overview. Statistica Neerlandica, 58, 440-465.
An earlier version is still available as 2003-W10 in Nuffield Economics Working Papers.
This replaces Doornik (1995). Testing general restrictions on the cointegrating space.

Doornik, J.A. and Ooms, M. (2004). Inference and forecasting for ARFIMA models with an application to US and UK inflation.
Studies in Nonlinear Dynamics and Econometrics, Vol. 8, No. 2, Article 14. download
This is a substantially revised version of: `Inference and forecasting for fractional autoregressive integrated moving average models with an application to US and UK inflation', Econometric Institute Report EI-9947/A, Erasmus University Rotterdam.

Doornik, J.A., Nielsen, B. and Rothenberg, T.J. (2003). The Influence of VAR Dimensions on Estimator Biases: Comment, Econometrica, 71, 377-383.

Doornik, J.A. and M. Ooms, M. (2003). Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models, Computational Statistics and Data Analysis, 42, 333-348.
An earlier version is still available as 2001-W27 in Nuffield Economics Working Papers (PDF).

Doornik, J.A. and O'Brien, R.J. (2002). Numerically Stable Cointegration Analysis, Computational Statistics and Data Analysis, 41, 185-193.
3-Nov-2001 version (PDF), which does not include the final revisions.

Doornik, J.A. (2002) Object-oriented Programming in Econometrics and Statistics using Ox: A Comparison with C++, Java and C#, in S.S. Nielsen (ed.), Programming Languages and Systems in Computational Economics and Finance, Dordrecht: Kluwer Academic Publishers, pp. 115-147

Doornik, J.A., Hendry, D.F. and Shephard, N. (2002) Computationally-intensive econometrics using a distributed matrix-programming language, Philosophical Transactions of the Royal Society of London, Series A, 360, 1245-1266.
The accompanying code can be found under parallel computation in Ox packages.
An earlier version, presented at the Royal Society, is still available as 2001-W22 in Nuffield Economics Working Papers (PDF).

Beyer, A., Doornik, J.A. and Hendry, D.F. (2001). Constructing Historical Euro-Zone Data, Economic Journal, 111, 308-327. [data]

Beyer, A., Doornik, J.A. and Hendry, D.F. (2000). Re-constructing Aggregate Euro-Zone Data, Journal of Common Market Studies, 38, 613-624.

Koopman, S.J., Shephard, N. and Doornik, J.A. (1999). Statistical algorithms for models in state space form using SsfPack 2.2 (with discussion), Econometrics Journal, Vol 2, 107-160.

Doornik, J.A., Nielsen, B. and Hendry, D.F. (1998). Inference in Cointegrating Models: UK M1 Revisited, Journal of Economic Surveys, 12, 533-572.
Reprinted in M. McAleer and L. Oxley (1999). Practical Issues in Cointegration Analysis. Oxford: Blackwell Publishers.

Doornik, J.A. (1998). Approximations to the Asymptotic Distribution of Cointegration Tests, Journal of Economic Surveys, 12, 573-593.

Erratum: row labels for V[T(p)] in Table 7 should read: (n-p), 1, n-p=1, n-p=2.
Reprinted (with correction) in M. McAleer and L. Oxley (1999). Practical Issues in Cointegration Analysis. Oxford: Blackwell Publishers.
Accompanying note: Doornik, J.A. (2003). Asymptotic tables for cointegration tests based on the Gamma-distribution approximation.
Ox program which generated these tables.

Hendry, D.F. and Doornik, J.A. (1997). The implications for econometric modelling of forecast failure, Scottish Journal of Political Economy, 44, 437-461.

Hendry, D.F. and Doornik, J.A. (1995). A window on econometrics, The Cyprus Journal of Economics, 8, 77-104.

Hendry, D.F. and Doornik, J.A. (1994). Modelling linear dynamic econometric systems, Scottish Journal of Political Economy, 41, 1-33.

Books

Doornik, J.A. (2006). An Object-Oriented Matrix Language - Ox 4, London: Timberlake Consultants Press. (ISBN 0-9542603-8-4)
(4th edition: 2001; 3rd edition: 1999; 2nd edition: 1998; 1st edition: 1996)

Doornik, J.A. and Hendry, D.F. (2006). Empirical Econometric Modelling Using PcGive 11: Volume I, London: Timberlake Consultants Press. (ISBN 0-9542603-4-1)
(3rd edition: 2001; 2nd edition: 1999; 1st edition: 1996)

Doornik, J.A. and Hendry, D.F. (2006). Modelling Dynamic Systems Using PcGive 11: Volume II, London: Timberlake Consultants Press. (ISBN 0-9542603-5-X)
(3rd edition: 2001; 2nd edition: 1997; 1st edition: 1994)

Doornik, J.A. and Hendry, D.F. (2006). Econometric Modelling Using PcGive 11: Volume III, London: Timberlake Consultants Press. (ISBN 0-9542603-6-8)
(1st edition: 2001)

Doornik, J.A. and Hendry, D.F. (2006). Interactive Monte Carlo Experimentation in Econometrics Using PcNaive - PcGive 11: Volume IV, London: Timberlake Consultants Press. (ISBN 0-9542603-7-6)
(1st edition: 2001)

Doornik, J.A., Hendry, D.F. and Ichikawa Hiroya (2006). Empirical Econometric Modelling Using PcGive 10 (Japanese), Nippon-Hyoron-Ska, Tokyo. (ISBN 4-535-55401-3)

Doornik, J.A. (2006). An Introduction to OxMetrics 4 London: Timberlake Consultants Press. (ISBN 0-9542603-9-2)
(3rd edition: 2001; 2nd edition: 1999; 1st edition: 1996)

Doornik, J.A. and Ooms, M. (2006). Introduction to Ox 4, London: Timberlake Consultants Press. (ISBN 0-9552127-0-7).
(2nd edition: 2000; 1st edition: 1998)

Koopman S.J., Harvey, A.C., Doornik, J.A. and Shephard, N. (2006). Structural Time Series Analyser, Modeller and Predictor - STAMP 7, London: Timberlake Consultants Press. (ISBN 0-9542603-3-3).
(2nd edition: 2000; 1st edition: 1995) Also see the STAMP pages.