Jurgen A. Doornik

Best Publications

• An Omnibus Test for Univariate and Multivariate Normality

  Jurgen A. Doornik;Henrik Hansen

  1550
  Citations

• Statistical algorithms for models in state space using SsfPack 2.2

  Siem Jan Koopman;Neil Shephard;Jurgen A. Doornik

  685
  Citations

• Inference in Cointegrating Models: UK M1 Revisited

  Jurgen A. Doornik;David F. Hendry;Bent Nielsen

  310
  Citations

• Structural Time Series Analyser, Modeller and Predictor: STAMP 8.2.

  Siem Jan Koopman;Andrew C. Harvey;Jurgen A. Doornik;Neil Shephard

  291
  Citations

• APPROXIMATIONS TO THE ASYMPTOTIC DISTRIBUTIONS OF COINTEGRATION TESTS

  Unknown

  254
  Citations

• MODELLING LINEAR DYNAMIC ECONOMETRIC SYSTEMS

  David F. Hendry;Jurgen A. Doornik

  207
  Citations

• Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models

  Jurgen A. Doornik;Marius Ooms

  206
  Citations

• CONSTRUCTING HISTORICAL EURO-ZONE DATA*

  Andreas Beyer;Jurgen A. Doornik;David F. Hendry

  190
  Citations

• Model selection when there are multiple breaks

  Jennifer L. Castle;Jurgen A. Doornik;David F. Hendry

  187
  Citations

• A Package for Estimating, Forecasting and Simulating Arfima Models: Arfima package 1.0 for Ox

  Jurgen A. Doornik;Marius Ooms

  182
  Citations

• Evaluating Automatic Model Selection

  Jennifer L. Castle;Jurgen A Doornik;David F. Hendry

  181
  Citations

• Detecting Location Shifts during Model Selection by Step-Indicator Saturation

  Jennifer L. Castle;Jurgen A. Doornik;David F. Hendry;Felix Pretis

  173
  Citations

• Modelling Dynamic Systems Using PcGive

  Jurgen A. Doornik;David Forbes Hendry

  135
  Citations

• PcFiml 8.0 : interactive econometric modelling of dynamic systems

  Jurgen A. Doornik;David F. Hendry

  135
  Citations

• Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation

  M. Ooms;J.A. Doornik

  134
  Citations

• The Implications for Econometric Modelling of Forecast Failure

  David F. Hendry;Jurgen A. Doornik

  118
  Citations

• Give win : an interface to empirical modelling

  Jurgen A. Doornik;David F. Hendry

  97
  Citations

• Statistical algorithms for models in state space form: SsfPack 3.0

  Siem Jan Koopman;Neil Shephard;Jurgen A. Doornik

  91
  Citations

• Introduction to Ox

  Jurgen A. Doornik;Marius Ooms

  77
  Citations

• Stamp 5.0 : structural time series analyser, modeller and predictor

  Siem Jan Koopman

  75
  Citations