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
May 2024
Forecasting the UK Top 1% Income Share in a Shifting World
in Economica
Jennifer L. Castle , Jurgen A Doornik , David F. Hendry
in Economica
Jennifer L. Castle , Jurgen A Doornik , David F. Hendry
Oct 2023
Improving models and forecasts after equilibrium-mean shifts
in International Journal of Forecasting
Jennifer L. Castle , Jurgen A Doornik , David F. Hendry
in International Journal of Forecasting
Jennifer L. Castle , Jurgen A Doornik , David F. Hendry
Mar 2022
The value of robust statistical forecasts in the COVID-19 pandemic
in National Institute Economic Review
Jennifer L. Castle , Jurgen A Doornik , David F. Hendry
in National Institute Economic Review
Jennifer L. Castle , Jurgen A Doornik , David F. Hendry
Mar 2022
Robust discovery of regression models
in Econometrics and Statistics
Jennifer L. Castle , Jurgen A Doornik , David F. Hendry
in Econometrics and Statistics
Jennifer L. Castle , Jurgen A Doornik , David F. Hendry
Mar 2022
Modelling and forecasting the COVID-19 pandemic time-series data
in Social Science Quarterly
Jurgen A Doornik , Jennifer L. Castle , David F. Hendry
in Social Science Quarterly
Jurgen A Doornik , Jennifer L. Castle , David F. Hendry
Mar 2022
Forecasting facing economic shifts, climate change and evolving pandemics
in Econometrics
Jennifer L. Castle , Jurgen A Doornik , David F. Hendry
in Econometrics
Jennifer L. Castle , Jurgen A Doornik , David F. Hendry
Apr 2021
Forecasting principles from experience with forecasting competitions
in Forecasting
Jennifer L. Castle , Jurgen A Doornik , David F. Hendry
in Forecasting
Jennifer L. Castle , Jurgen A Doornik , David F. Hendry
Oct 2020
Statistical Short-term Forecasting of the COVID-19 Pandemic
in Journal of Clinical Immunology & Immunotherapy
Jurgen A Doornik , David F. Hendry , Jennifer L. Castle
in Journal of Clinical Immunology & Immunotherapy
Jurgen A Doornik , David F. Hendry , Jennifer L. Castle
Sept 2020
Modelling non-stationary ‘Big Data’
in International Journal of Forecasting
Jennifer L. Castle , David F. Hendry , Jurgen A Doornik
in International Journal of Forecasting
Jennifer L. Castle , David F. Hendry , Jurgen A Doornik
Sept 2020
Short-term forecasting of the coronavirus pandemic
in International Journal of Forecasting
Jurgen A Doornik , Jennifer L. Castle , David F. Hendry
in International Journal of Forecasting
Jurgen A Doornik , Jennifer L. Castle , David F. Hendry
Apr 2020
Short-term forecasting of the coronavirus pandemic (Vox EU)
in Vox EU
Jennifer L. Castle , David F. Hendry , Jurgen A Doornik
in Vox EU
Jennifer L. Castle , David F. Hendry , Jurgen A Doornik
Nov 2018
Jun 2018
Formula I(1) and I(2): Race Tracks for Likelihood Maximization Algorithms of I(1) and I(2) VAR Models
in Econometrics
Jurgen Doornik , Rocco Mosconi , Paolo Paruolo
in Econometrics
Jurgen Doornik , Rocco Mosconi , Paolo Paruolo
Jun 2018
Accelerated estimation of switching algorithms: The cointegrated VAR Model and other applications
in Scandinavian Journal of Statistics
Jurgen Doornik
in Scandinavian Journal of Statistics
Jurgen Doornik
Aug 2017
Maximum likelihood estimation of the I(2) Model under linear restrictions
in Econometrics
Jurgen Doornik
in Econometrics
Jurgen Doornik
Dec 2015
Outliers and model selection: Discussion of the paper by Søren Johansen and Bent Nielsen'
David Hendry , Jurgen Doornik
David Hendry , Jurgen Doornik
Forthcoming Events
17 Oct 24
14:00
14:00
Forecasting UK Inflation during 2021-24
Sir David Hendry (with Jennifer L. Castle and Jurgen A. Doornik)
Online Event
Recent Events
13 Jun 24
12:00
12:00
INET Oxford Summer Research Meeting 2024
The event is open to all INET Oxford researchers, staff, visitors, and associate members
In Person Event
