Jurgen A Doornik continued working for D F Hendry under the ESRC grant on Cointegration and Dynamic Modelling. He studied multivariate mis-specification tests and computational aspects of cointegration analysis. The results are summarised in two papers. In addition, the obtained solution for verifying identification of the cointegrating vectors under general restrictions has been implemented in the computer program PcFiml. He was a finalist in the 1994 European Academic Software Awards with PcGive Professional (jointly with D F Hendry). Progress has been made in designing a fully modular approach to econometric software. Together with the newly implemented simulation and estimation classes, this will facilitate Monte Carlo experimentation. In Trinity Term, he submitted his D Phil thesis on Econometric Computing. He continued his cooperation with A C Harvey, S J Koopman (both LSE) and N Shephard on the implementation of structural time series models. He presented papers at the Nordic Cointegration Conference, Ebeltoft, the Econometric Society World Congress in Tokyo. He presented seminars at Manchester and Glasgow.
Publication
(with A C Harvey, S J Koopman and N Shephard) Stamp 5: Structural Time Series Analyser, Modeller and Predictor. London: Chapman and Hall, 1995.