News and recent activities

2009

• (22/06/09) The Department of Econometrics and Operations Research, VU University Amsterdam, invites applications for the position of

  Lecturer / Assistant Professor (tenure-track) or Senior Lecturer / Associate Professor

  in Econometrics, with a strong interest in time series. For details, see this document.

2008

• (17/11/08) The paper A General Framework for Observation Driven Time-Varying Parameter Models is ready to be viewed.

• (07/10/08) Workpage of SsfPack is redesigned.

• (02/10/08) The books Statistical Algorithms for Models in State Space Form: SsfPack 3.0 and STAMP 8 Structural Time Series Analyser, Modeller and Predictor can be ordered from the website of Timberlake Consultants.

• (22/09/08) The paper Testing the assumptions behind importance sampling is forthcoming in Journal of Econometrics.

• (15/09/08) The paper Seasonality with Trend and Cycle Interactions in Unobserved Components Models is forthcoming in Journal of the Royal Statistical Society Series C.

• (15/09/08) The paper Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters is forthcoming in Journal of Business and Economic Statistics.

• (15/09/08) The paper Spline Smoothing over difficult regions: a state space approach is ready to be viewed.

• (19/08/08) New version of STAMP 8.10 is released. Please visit the workpage of STAMP.

• (16/07/08) The paper The effect of the great moderation on the U.S. business cycle in a time-varying multivariate trend-cycle model is ready to be viewed.

• (11/07/08) Department of Econometrics and Operations Research, VU University Amsterdam, invites applications for the position of Lecturer/Assistant Professor (tenure-track) or Senior Lecturer/Associate Professor in Econometrics, with a strong interest in time series. Please click here for more information.

• (11/07/08) Reviews of the Commandeur and Koopman book on Amazon are added.

• (20/06/08) The working papers Analyzing the Term Structure of Interest Rates using the Dynamic Nelson-Siegel Model with Time-Varying Parameters and Likelihood-based Analysis for Dynamic Factor Models are updated.

• (06/06/08) The paper An Hourly Periodic State Space Model for Modelling French National Electricity Load is updated.

• (08/01/08) Workpage of the book An Introduction to State Space Time Series Analysis is updated. Click here for the workpage.

Contact details

Short CV

Siem Jan Koopman is Professor of Econometrics at the Vrije Universiteit Amsterdam and the Tinbergen Institute. His Ph.D. is from the London School of Economics (LSE) and dates back to 1992. He had positions at the LSE between 1992 and 1997 and at the CentER (Tilburg University) between 1997 and 1999. In 2002 he visited the US Bureau of the Census in Washington DC as an ASA / NSF / US Census / BLS Research Fellow.

His research interests are Statistical analysis of time series; Theoretical and applied time series econometrics; Financial econometrics; Simulation methods; Kalman filtering and smoothing; Forecasting.

He fullfills editorial duties at the Journal of Applied Econometrics and the Journal of Forecasting. He was also co-editor of The Econometrics Journal. Finally he is an Oxmetrics software developer. In particular he is actively engaged in the development of the time series software packages STAMP and SsfPack.