Dr Jurgen Doornik

Senior Research Fellow

Research Fellow, Nuffield College, University of Oxford

Biography

Jurgen Doornik's research sits at the intersection of econometrics, statistics, computer science, and numerical algebra. Output takes the form of econometric software, used at universities and financial institutions throughout the world, as well as scientific papers. His current research focuses on the adaptation of econometric models to very large sample sizes (part of an ESRC project awarded jointly with David Hendry) and computational aspects of certain classes of non-linear models.

Recent Publications

Improving models and forecasts after equilibrium-mean shifts

International Journal of Forecasting 31 Oct 23

Foundations of Economics

The value of robust statistical forecasts in the COVID-19 pandemic

National Institute Economic Review 15 Mar 22

Robust discovery of regression models

Econometrics and Statistics 15 Mar 22

Foundations of Economics

Modelling and forecasting the COVID-19 pandemic time-series data

Social Science Quarterly 15 Mar 22
We analyze the number of recorded cases and deaths of COVID-19 in many parts of the world, with the ...

Forecasting facing economic shifts, climate change and evolving pandemics

Econometrics 15 Mar 22

Foundations of Economics

Forecasting principles from experience with forecasting competitions

Forecasting 07 Apr 21

Statistical Short-term Forecasting of the COVID-19 Pandemic

Journal of Clinical Immunology & Immunotherapy 27 Oct 20
We have been publishing real-time forecasts of confirmed cases and deaths for COVID-19 from mid-Marc...

Modelling non-stationary ‘Big Data’

International Journal of Forecasting 28 Sept 20
‘Fat big data’ characterise data sets that contain many more variables than observations. We discuss...

Short-term forecasting of the coronavirus pandemic

International Journal of Forecasting 12 Sept 20
We have been publishing real-time forecasts of confirmed cases and deaths from coronavirus disease 2...

Short-term forecasting of the coronavirus pandemic (Vox EU)

Vox EU 24 Apr 20
This column argues that there is an important role for short-term forecasts using adaptive data-base...

Selecting a Model for Forecasting

Econometrics 09 Nov 18

Formula I(1) and I(2): Race Tracks for Likelihood Maximization Algorithms of I(1) and I(2) VAR Models

Econometrics 20 Jun 18
This paper provides some test cases, called circuits, for the evaluation of Gaussian likelihood maxi...

Accelerated estimation of switching algorithms: The cointegrated VAR Model and other applications

Scandinavian Journal of Statistics 01 Jun 18
Acceleration methods are proposed that combine simplicity and effectiveness.

Maximum likelihood estimation of the I(2) Model under linear restrictions

Econometrics 17 Aug 17

Outliers and model selection: Discussion of the paper by Søren Johansen and Bent Nielsen'

Paper 01 Dec 15

An example of instability: Discussion of the paper by Søren Johansen and Bent Nielsen

Paper 01 Dec 15

Related Themes

Foundations of Economics

Programme Teams

Dr Jurgen Doornik

Senior Research Fellow

Research Fellow, Nuffield College, University of Oxford

Biography

Recent Publications

Improving models and forecasts after equilibrium-mean shifts

The value of robust statistical forecasts in the COVID-19 pandemic

Robust discovery of regression models

Modelling and forecasting the COVID-19 pandemic time-series data

Forecasting facing economic shifts, climate change and evolving pandemics

Forecasting principles from experience with forecasting competitions

Statistical Short-term Forecasting of the COVID-19 Pandemic

Modelling non-stationary ‘Big Data’

Short-term forecasting of the coronavirus pandemic

Short-term forecasting of the coronavirus pandemic (Vox EU)

Selecting a Model for Forecasting

Formula I(1) and I(2): Race Tracks for Likelihood Maximization Algorithms of I(1) and I(2) VAR Models

Accelerated estimation of switching algorithms: The cointegrated VAR Model and other applications

Maximum likelihood estimation of the I(2) Model under linear restrictions

Outliers and model selection: Discussion of the paper by Søren Johansen and Bent Nielsen'

An example of instability: Discussion of the paper by Søren Johansen and Bent Nielsen

Related Themes

Foundations of Economics

Programme Teams

Climate Econometrics