Jurgen A Doornik (Research Fellow) started working on the ESRC project ‘Modelling Non-stationarity in Economic Time Series’ which followed on from ‘Modelling Cointegrated Processes’ (both with David Hendry, Gavin Cameron, and John Muellbauer).
His activities roughly divide in two strands: econometric research and software development. Often, as in his work on cointegration analysis, these activities overlap. Many results in this field involve complex, non-standard distributions, and he has attempted to approximate these with simple formulae, allowing easy computer implementation. In empirical modelling, dummy variables are often used to account for breaks, and the specification of deterministic terms is important in determining the long-run behaviour of the model. With David Hendry and Bent Nielsen, he has investigated the influence of such variables on cointegration tests, using new software for Monte Carlo analysis (PcNaive). He has continued working on fractionally integrated models (with Marius Ooms), and dynamic panel data models (with Steve Bond and Manuel Arrellano).
The software development is aimed at making the techniques available to other academic and business users. The matrix language ‘Ox’ has continued its rapid growth, and now has a discussion group and a code archive. His web site is cross-linked on many academic resource pages, and continues to attract many browsers. Co-operation with other academic software developers is aimed at enhancing inter-operability of various software products.
He gave conference presentations at Bristol (Caleco), Amsterdam (EC^2), and Berlin (GLM/ESEM), and presented papers in Sydney, Eichstatt, Trondheim, and at the Bank of Norway.
Publications
Object-Oriented Matrix Programming using Ox (2nd ed). London: Timberlake Consultants Press, 1998.
(with G Draisma, M Ooms) Introduction to Ox. London: Timberlake Consultants Press, 1998.