Dr Jurgen Doornik
Senior Research Fellow
Research Fellow, Nuffield College, University of Oxford
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.
Selecting a Model for Forecasting
09 Nov 18
We investigate the role of the significance level when selecting models for forecasting as it contro...
Formula I(1) and I(2): Race Tracks for Likelihood Maximization Algorithms of I(1) and I(2) VAR Models
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
01 Jun 18
Acceleration methods are proposed that combine simplicity and effectiveness.