Siem Jan Koopman | research | projects | vu econometrics |


Professor of Econometrics
Vrije Universiteit Amsterdam
CREATES, Aarhus University
Tinbergen Institute

Software development

For more information, please visit webpage of Timberlake Consultants.

OxMetrics

OxMetrics is a family of software packages providing an integrated solution for the econometric analysis of time series, forecasting, financial econometric modelling and statistical analysis of cross-section and panel data. The core packages of the family are OxMetrics desktop, which provides the user interface, data handling, and graphics, and Ox Professional™, which provides the implementation language. The other elements of the OxMetrics family are interactive, easy-to-use and powerful tools that can help solve your specific modelling and forecasting needs.

STAMP (version 8.30)

STAMP™ is a package designed to model and forecast time series, based on structural time series models. These models use advanced techniques, such as Kalman filtering, but are set up so as to be easy to use -- at the most basic level all that is required is some appreciation of the concepts of trend, seasonal and irregular. The hard work is done by the program, leaving the user free to concentrate on formulating models, then using them to make forecasts.

Structural time series modelling can be applied to a variety of problems in time series. Macro-economic time series like gross national production, inflation and consumption can be handled effectively, but also financial time series, like interest rates and stock market v olatility, can be modelled using STAMP. Further, STAMP is used for modelling and forecasting time series in medicine, biology, engineering, marketing and in many other areas.

The current version Stamp 8.30 has been released in April 2010. The STAMP™ workpage includes links to interesting empirical research where STAMP has been used.

SsfPack (version 3.00)

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 implemented link to these routines is established for Ox 2.0 and higher, the object-oriented matrix programming language of OxMetrics. SsfPack allows for a full range of different state space forms: from a simple time-invariant model to a complicated time-varying model. Functions can be used which put standard models such as ARIMA and cubic spline models into state space form. Basic functions are available for filtering, moment smoothing and simulation smoothing. Ready-to-use functions are provided for standard tasks such as likelihood evaluation, forecasting and signal extraction. SsfPack can be easily used for implementing, fitting and analysing Gaussian models relevant to many areas of econometrics and statistics.

The current version SsfPack 3.00 has been released in August 2008. For further information, see the SsfPack™ workpage.

Editorial work

Journal of Business & Economic Statistics

Associate Editor.

Journal of Business & Economic Statistics

Journal of Applied Econometrics

Member of Editorial Board.

Journal of Applied Econometrics

Journal of Forecasting

Co-editor.

Journal of Forecasting

Book projects

Durbin and Koopman book

Time Series Analysis by State Space Methods. 2001, with J. Durbin, Oxford University Press.

Durbin & Koopman book

This book presents a comprehensive treatment of the state space approach to time series analysis. The distinguishing feature of state space time series models is that observations are regarded as made up of distinct components such as trend, seasonal, regression elements and disturbance elements, each of which is modelled separately. The techniques that emerge from this approach are very flexible and are capable of handling a much wider range of problems than the main analytical system currently in use for time series analysis, the Box-Jenkins ARIMA system.

For workpage of the book, please click here.

Durbin and Koopman Second Edition book

Time Series Analysis by State Space Methods, Second Edition. 2012, with J. Durbin, Oxford University Press.

Durbin & Koopman Second Edition book

The Second Edition of the Durbin and Koopman book updates and extends our original treatment of the state space approach to time series analysis.

For workpage of the Second Edition, please click here.

Harvey, Koopman and Shephard book

State Space and Unobserved Component Models: Theory and Applications. Proceedings of a Conference in Honour of James Durbin. 2004, with A. Harvey and N. Shephard, pp. 393, Cambridge University Press.

Harvey, Koopman and Shephard book

This volume offers a broad overview of the state-of-the-art developments in the theory and applications of state space modeling. With fourteen chapters from twenty-three contributors, it offers a unique synthesis of state space methods and unobserved component models that are important in a wide range of subjects, including economics, finance, environmental science, medicine and engineering. The book is divided into four section: introductory papers, testing, Bayesian inference and the bootstrap, and applications. It will give those unfamiliar with state space models a flavour of the work being carried out as well as providing experts with valuable state of the art summaries of different topics. Offering a useful reference for all, this accessible volume makes a significant contribution to the advancement of this discipline.

Commandeur and Koopman book

An Introduction to State Space Time Series Analysis. 2007, with Jacques J.F. Commandeur pp. 192, Oxford University Press.

Commandeur and Koopman book

Providing a practical introduction to state space methods as applied to unobserved components time series models, also known as structural time series models, this book introduces time series analysis using state space methodology to readers who are neither familiar with time series analysis, nor with state space methods. The only background required in order to understand the material presented in the book is a basic knowledge of classical linear regression models, of which a brief review is provided to refresh the reader's knowledge. Also, a few sections assume familiarity with matrix algebra, however, these sections may be skipped without losing the flow of the exposition. The book offers a step by step approach to the analysis of the salient features in time series such as the trend, seasonal, and irregular components. Practical problems such as forecasting and missing values are treated in some detail. This useful book will appeal to practitioners and researchers who use time series on a daily basis in areas such as the social sciences, quantitative history, biology and medicine. It also serves as an accompanying textbook for a basic time series course in econometrics and statistics, typically at an advanced undergraduate level or graduate level.

For workpage of the book, please click here.