Jurgen A Doornik continued working for D F Hendry under the ESRC grant on Structural Change which ended in December. In January he continued under a new ESRC grant on Modelling Cointegrated Processes. A considerable effort went into completing a book on theoretical and practical aspects of modelling linear dynamic econometric systems using the computer program PcFiml (with D F Hendry). Following the publication of two books and a new version of the computer programme PcGive, he returned to his work on testing for univariate and multivariate normality. In addition he is investigating the properties of system constancy tests and model mis-specification tests in the form which he developed for implementation in PcFiml. He continued his cooperation with A C Harvey, S J Koopman (both LSE) and N Shephard on the implementation of structural time series models in the form of a computer programme and accompanying book. He presented papers at the Econometric Study Group Conference in Bristol and the Econometric Society European Meeting in Maastricht. He presented seminars at Warwick, Nuffield College, and the European University Institute, Florence.
Publications
(with D F Hendry) PcGive 8: An Interactive Econometric Modelling System. London: International Thomson Publishing; Belmont, CA: Duxbury Press, 1994.
(with D F Hendry) PcFiml 8: An Interactive Program for Modelling Econometric Systems. London: International Thomson Publishing, 1994.
(with D F Hendry) 'Modelling Linear Dynamic Econometric Systems', Scottish Journal of Political Economy, 41, 1994.