Jurgen A Doornik (Research Fellow) continued working on the ESRC project Modelling Non-Stationarity in Economic Time Series

Jurgen A Doornik (Research Fellow) continued working on the ESRC project ‘Modelling Non-Stationarity in Economic Time Series’ (with David Hendry, Gavin Cameron, and John Muellbauer). He continued working on various aspects of cointegration analysis. With Peter Boswijk, he extended his approximation to cointegration distributions to allow for stationary regressors. Previously, this distribution had been presented in the literature in the form of 25 pages of dense tabulations. The new approach requires just a few lines of computer code. It seems that, at least in this area, the trend towards ever more tabulations has been reversed. Instead, convenient approximations are used to reduce the consumption costs to users. Other work related to cointegration is being undertaken with Bent Nielsen and Tom Rothenberg. He started work on modelling the Euro-11 economy (with Andreas Beyer and David Hendry), and continued work on fractionally integrated models (with Marius Ooms). He also continued his work on econometric software, with a new version of Ox released. The dynamic panel data (with Stephen Bond and Manuel Arellano) and Arfima (with Marius Ooms) packages were also updated. He gave conference presentations at Rotterdam (Tinbergen Institute) and Trondheim (twice). He took part in a plenary round-table discussion, and organized a session for the Computational Economics conference in Boston.

Publications

(with B Nielsen and D F Hendry) ‘Inference in Cointegrating Models: UK M1 Revisited’, Journal of Economic Surveys, 12, 1998.

‘Approximations to the Asymptotic Distribution of Cointegration Tests’, Journal of Economic Surveys, 12, 1998.

(with S J Koopman and N Shephard) ‘Statistical Algorithms for Models in State Space form using SsfPack 2.2’, The Econometrics Journal, 2, 1999.

(with D F Hendry) GiveWin: An Interface to Empirical Modelling (2nd ed), London: Timberlake Consultants Press, 1999.