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Below is a list of my unpublished work and work in progress.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 (now old)
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)
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 and articles:

Jennifer Castle, Jurgen A Doornik, David F Hendry (2023). Improving models and forecasts after equilibrium-mean shifts International Journal of Forecasting, forthcoming DOI: 10.1016/j.ijforecast.2023.09.006.
Data and code (zipped)

Jurgen A Doornik, Jennifer Castle, David F Hendry (2021). Modeling and forecasting the COVID-19 pandemic time-series data Social Science Quarterly DOI: 10.1111/ssqu.13008. open access

Jennifer Castle, Jurgen A Doornik, David F Hendry (2021). Selecting a model for forecasting Econometrics, 9 DOI: 10.3390/econometrics9030026. open access

Jennifer Castle, Jurgen A Doornik, David F Hendry (2021). The value of robust statistical forecasts in the Covid-19 pandemic National Institute Economic Review, 256 19-43 DOI: 10.1017/nie.2021.9.

Jennifer Castle, Jurgen A Doornik, David F Hendry (2021). Robust Discovery of Regression Models Econometrics and Statistics DOI: 10.1016/j.ecosta.2021.05.004. open access

Jennifer Castle, Jurgen A Doornik, David F Hendry (2021). Forecasting principles from experience with forecasting competition. Forecasting, 3 DOI: 10.3390/forecast3010010. open access

Jennifer Castle, Jurgen A Doornik, David F Hendry, Angela Wenham (2021). Forecasting in the time of Coronavirus Nuffield College Magazine, 20 14-17

Jurgen A Doornik, Jennifer L. Castle, and David F. Hendry (2020). Statistical short-term forecasting of the COVID-19 Pandemic. Journal of Clinical Immunology and Immunotherapy, 6, DOI: 10.24966/CIIT-8844/1000046. open access 2020-10-27

Jennifer L. Castle, Jurgen A Doornik, and David F. Hendry (2020). Can we get accurate short-term forecasts of coronavirus cases and deaths? Economics Observatory, 6 July 2020. open access

David F. Hendry, Jennifer L. Castle, and Jurgen A Doornik (2020). Why short-term forecasts can be better than models for predicting how pandemics evolve. The Conversation, 30 June 2020. open access

Jennifer L. Castle, Jurgen A Doornik, and David F. Hendry (2020). Short-term forecasting of the coronavirus pandemic. VOX^EU, 24 April 2020. open access

Jurgen A Doornik, Jennifer L. Castle, and David F. Hendry (2020). Short-term forecasting of the coronavirus pandemic. International Journal of Forecasting, in press, DOI: 10.1016/j.ijforecast.2020.09.003. open access 2020-09-28

Jennifer L. Castle, Jurgen A Doornik and David F. Hendry (2020). Modelling non-stationary 'Big Data'. International Journal of Forecasting, in press, DOI: 10.1016/j.ijforecast.2020.08.002.

Doornik, J.A. and Castle, J.L. and Hendry D.F. (2020). Card forecasts for M4 International Journal of Forecasting, 36, 129-134, DOI: 10.1016/j.ijforecast.2019.03.012. open access

Doornik, J.A. (2018). Accelerated Estimation of Switching Algorithms: The Cointegrated VAR Model and Other Applications Scandinavian Journal of Statistics, DOI: 10.3390/10.1111/sjos.12311.
Code is at GitHub. open access

Doornik, J.A. and Mosconi, R. and Paruolo P. (2017). Formula I(1) and I(2): Race Tracks for Likelihood Maximization Algorithms of I(1) and I(2) Cointegrated VAR Models Econometrics, 5, 49, DOI: 10.3390/econometrics5040049. open access

Doornik, J.A. (2017). Maximum Likelihood Estimation of the I(2) Model Under Linear Restrictions Econometrics, 5, 19, DOI: 10.3390/econometrics5020019. open access

Doornik, J.A. (2016). An example of instability: Discussion of `Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models' by Søren Johansen and Bent Nielsen Scandinavian Journal of Statistics, 43, 357-359. DOI: 10.1111/sjos.12207.

Doornik, J.A. and Hendry D.F. (2016). Outliers and model selection: Discussion of `Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models' by Søren Johansen and Bent Nielsen Scandinavian Journal of Statistics, 43, 360-365. DOI: 10.1111/sjos.12208.

Castle, J.L. and Doornik, J.A. and Hendry D.F. and Pretis, F. (2015). Detecting location shifts during model selection by step-indicator saturation Econometrics, 3, 240-264, DOI: 10.3390/econometrics3020240. open access

Doornik, J.A. and Hendry D.F. (2015). Statistical Model Selection with 'Big Data' Cogent Economics & Finance, DOI: 10.1080/23322039.2015.1045216. open access

Doornik, J.A. (2015). Numerical evaluation of the Gauss hypergeometric function by power summations Mathematics of Computation, 84 1813-1833, DOI: 10.1090/S0025-5718-2014-02905-0.

Castle, J.L. and Doornik, J.A. and Hendry D.F. and Nymoen, R. (2014). Mis-Specification Testing: Non-Invariance of Expectations Models of Inflation Econometric Reviews, 33, 553-574, DOI: 10.1080/07474938.2013.825137.

Castle, J.L. and Doornik, J.A. and Hendry D.F. (2013). Model Selection in Equations with Many `Small' Effects Oxford Bulletin of Economics and Statistics, 75, 6-22, DOI: 10.1111/j.1468-0084.2012.00727.x.

Doornik, J.A. (2013). A Markov-switching model with component structure for US GNP Economics Letters, 118, 265-268, DOI: 10.1016/j.econlet.2012.10.035.

Castle, J.L. and Doornik, J.A. and Hendry D.F. (2012). Model selection when there are multiple breaks. Journal of Econometrics, 169, 239-246, DOI: 10.1016/j.jeconom.2012.01.026.

Castle, J.L. and Doornik, J.A. and Hendry D.F. (2011). Evaluating Automatic Model Selection. Journal of Time Series Econometrics, 3, Article 8, DOI: 10.2202/1941-1928.1097.

Bårdsen, G. and Doornik, J.A. and Klovland J.T. (2010). Wage Formation and Bargaining Power during the Great Depression. Scandinavian Journal of Economics, 112, 211-233, DOI: 10.1111/j.1467-9442.2009.01599.x.

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.

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

Hendry, D.F. and Doornik, J.A. (2014). Empirical Model Discovery and Theory Evaluation: Automatic Selection Methods in Econometrics, London: MIT Press. (ISBN 9780262028356)
Also see additional material.

Doornik, J.A. (2013). Object-Oriented Matrix Programming using Ox, London: Timberlake Consultants Press. (ISBN 978-0-9571708-1-0)
(previous editions: 2009,2006,2001,1999,1998,1996)

Doornik, J.A. and Hendry, D.F. (2013). Empirical Econometric Modelling Using PcGive 14: Volume I, London: Timberlake Consultants Press. (ISBN 978_0-9552127-8-9)
(previous editions: 2009,2006,2001,1999,1996)

Doornik, J.A. and Hendry, D.F. (2013). Modelling Dynamic Systems Using PcGive 14: Volume II, London: Timberlake Consultants Press. (ISBN 978_0-9552127-9-6)
(previous editions: 2009,2006,2001,1997,1994)

Doornik, J.A. and Hendry, D.F. (2013). Econometric Modelling Using PcGive 14: Volume III, London: Timberlake Consultants Press. (ISBN 978_0-9552127-7-2)
(previous editions: 2009,2006,2001)

Doornik, J.A. and Hendry, D.F. (2013). Interactive Monte Carlo Experimentation in Econometrics - PcNaive 6, London: Timberlake Consultants Press. (ISBN 978_0-9552127-6-5)
(previous editions: 2009,2006,2001)

Doornik, J.A.(2013). Econometric Analysis with Markov-Switching Models, London: Timberlake Consultants Press. (ISBN 978_0-9571708-7-2)

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.