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- SsfPack, Siem Jan Koopman, Neil Shephard, Jurgen A. Doornik
- 1998

This paper discusses and documents the algorithms of SsfPack 2.2. SsfPack is a suite of C routines for carrying out computations involving the statistical analysis of univariate and multivariate models in state space form. The emphasis is on documenting the link we have made to the Ox computing environment. SsfPack allows for a full range of different state… (More)

Testing for normality is a common procedure in much applied work and many tests have been proposed, see for example the overviews in Mardia (1980), D'Agostino (1982) and Small (1985). The need for testing normality in a multivariate setting is discussed, inter alia, by Gnanadesikan (1977, x5.4.2), Cox and Small (1978) and recently Cox and Wermuth (1994). A… (More)

- Jurgen A. Doornik, Marius Ooms
- Computational Statistics & Data Analysis
- 2003

We discuss computational aspects of likelihood-based estimation of univariate ARFIMA(p, d, q) models. We show how efficient computation and simulation is feasible, even for large samples. We also discuss the implementation of analytical bias corrections.

This paper considers identification and estimation of cointegration analysis under general restrictions on the cointegrating space. A solution is found to the identification problem and made operational. An algorithm for estimation is discussed. Some examples illustrate.

Existing methods of reconstructing historical Euro-zone data by aggregation of the individual countries’ aggregate data raises numerous difficulties, especially due to past exchange rate changes. The approach proposed here is designed to avoid such distortions, and aggregate exactly when exchange rates are fixed. We first compute growth rates within states,… (More)

Practical aspects of likelihood-based inference and forecasting of series with long memory are considered, based on the arfima(p; d; q) model with deterministic regressors. Sampling characteristics of approximate and exact first-order asymptotic methods are compared. The analysis is extended using modified profile likelihood analysis, which is a… (More)

The notion of cointegration has lead to a renewed interest in the identification and estimation of structural relations among economic time series, a field to which Henri Theil has made many pioneering contributions. This paper reviews the different approaches that have been put forward in the literature for identifying cointegrating relationships and… (More)

We consider model selection facing uncertainty over the choice of variables and the occurrence and timing of multiple location shifts. General-to-simple selection is extended by adding an impulse indicator for every observation to the set of candidate regressors: see Johansen and Nielsen (2009). We apply that approach to a fat-tailed distribution, and to… (More)

The distribution of a functional of two correlated vector Brownian motions is approximated by a Gamma distribution. This functional represents the limiting distribution for cointegration tests with stationary exogenous regressors, but also for cointegration tests based on a non-Gaussian likelihood. The approximation is accurate, fast, and easy to use in… (More)

- Michael Hoel, Anne Line Bretteville-Jensen, +15 authors David F. Hendry
- 2011

Several recent articles have analyzed climate policy giving explicit attention to the non-renewable character of carbon resources. In most of this literature the economy is treated as a single unit, which in the context of climate policy seems reasonable to interpret as the whole world. However, carbon taxes and other climate policies di¤er substantially… (More)