Jurgen A Doornik (Research Fellow) continued working on the ESRC project ‘Modelling Cointegrated Processes’ (with David Hendry, Gavin Cameron, and John Muellbauer). He worked on further refinements of the switching algorithms for restricted cointegration analysis; finding convenient approximations to the asymptotic distributions of cointegration tests (both I(1) and I(2)); computationally efficient and stable computation of fractionally integrated models (with Marius Ooms), software for dynamic panel data models (with Steve Bond and Manuel Arrellano).
He started work on an entirely new approach to Monte Carlo experimentation, which leverages the available software tools, especially the matrix programming language called Ox. Unlike previous versions, this new PcNaive is primarily a code generator. The resulting experiments include graphical views on the recursively estimated results as they accumulate.
He gave an invited address at the EC^2 conference in Florence, and the Royal Economic Society Annual Conference, as well as seminars at Exeter and Aarhus. His pages were a popular resource on the college Web site, with about 22,000 ‘hits’ in a 15-month period.
Publications
(with D F Hendry) Modelling Dynamic Systems using PcFiml 9 for Windows. London: International Thomson Business Press, 1997.
(with D F Hendry) ‘The Implications for Econometric Modelling of Forecast Failure’, Scottish Journal of Political Economy, 44, 1997.