Professor of Econometrics
Vrije Universiteit Amsterdam
Tinbergen Institute
Latest news
- (July 20, 2023)
We are organizing the
2023 EMCC-VII, the Seventh Econometric Models of Climate Change
conference at
Vrije Universiteit Amsterdam
on 24-25 August 2023.
All information is here. If you want to attend, you may
still be able to register.
We are looking forward to welcome you soon.
- (April 15, 2023)
New entries have appeared in the recent publications section.
- (April 15, 2023)
New entries have appeared in the recent papers section.
- (December 5, 2021)
In the latest release of
Time Series Lab,
you can analyze and forecast time series using many models
(incl. ARIMA, unobserved components, score-driven and exponential smoothing models)
with the Kalman filter and related methods.
After clicking a few buttons,
you can start with your time series analysis, modelling and prediction.
Download your free version at
Time Series Lab
and find the signal in your time series.
- (December 5, 2022)
You are invited to visit the new
STAMP Software webpage
with the information of the new versions 9 of
OxMetrics
and
STAMP
which you can order at
Timberlake Consultants.
Recent working papers
-
A Multilevel Factor Model for Economic Activity with Observation-Driven Dynamic Factors
by Mariia Artimova, Francisco Blasques and SJK (2023).
-
Extremum Monte Carlo Filters: Real-Time Signal Extraction via Simulation and Regression by Francisco Blasques, SJK and Karim Moussa (2023).
-
Does trade integration imply growth in Latin America? Evidence from a dynamic spatial spillover model by Francisco Blasques, Paolo Gorgi, SJK and James Sampi (2023).
-
Finding the European crime drop using a panel data model with stochastic trends with Ilka van de Werve (2022).
-
Generalized Autoregressive Method of Moments with Drew Creal, Andre Lucas and Marcin Zamojski (2022).
-
Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions by Francisco Blasques, Janneke van Brummelen, Paolo Gorgi and SJK (2022).
-
Conditional score residuals and diagnostic analysis of serial dependence in time series models by Francisco Blasques, Paolo Gorgi and SJK (2021).
-
An empirical assessment of the U.S. Phillips curve over time by Marente Vlekke, SJK and Martin Mellens (2021).
-
Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence by Francisco Blasques, Enzo D'Innocenzo and SJK (2021).
-
Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors by Paolo Gorgi, SJK and Julia Schaumburg (2021).
-
Time-varying state correlations in state space models and their estimation via indirect inference by Caterina Schiavoni, SJK, Franz Palm, Stephan Smeekes and Jan van den Brakel (2021).
-
Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels by SJK, Julia Schaumburg and Quint Wiersma (2021).
-
Forecasting in a changing world: from the great recession to the COVID-19 pandemic by Mariia Artemova, Francisco Blasques, SJK and Zhaokun Zhang (2021).
-
All working papers...
Recent publications
-
Online : Time-Varying Parameters in Econometrics: The editor’s foreword
in Journal of Econometrics
with F. Blasques, A.C. Harvey and A. Lucas (2023).
-
Online : Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects
in Journal of Econometrics
with P. Gorgi (2023).
-
Just in print : Matters Arising: On the evidence of a trend in the CO2 airborne fraction
in Nature
with M. Bennedsen and E. Hillebrand (2023).
-
Just in print : A Multivariate Dynamic Statistical Model of the Global Carbon Budget 1959--2020
in Journal of the Royal Statistical Society Series A
with M. Bennedsen and E. Hillebrand (2023).
-
Just in print : Score-Driven Models: Methodology and Theory
in Oxford Research Encyclopedia of Economics and Finance
with M. Artemova, F. Blasques and J. van Brummelen (2022).
-
Just in print : Score-Driven Models: Methods and Applications
in Oxford Research Encyclopedia of Economics and Finance
with M. Artemova, F. Blasques and J. van Brummelen (2022).
-
Just in print : Maximum Likelihood Estimation for Score-Driven Models
in Journal of Econometrics
with F. Blasques, J. van Brummelen and A. Lucas (2022).
-
Just in print : Joint decomposition of business and financial cycles: evidence from eight advanced economies
in Oxford Bulletin of Economics and Statistics
by J. de Winter, SJK and I. Hindrayanto (2022).
-
Just in print : Using rapid damage observations for Bayesian updating of hurricane vulnerability functions: A case study of Hurricane Dorian using social media
in International Journal of Disaster Risk Reduction
Jens A. de Bruijn, James E. Daniell, Antonios Pomonis, Rashmin Gunasekera, Joshua Macabuag,
Marleen C. de Ruiter, SJK, Nadia Bloemendaal, Hans de Moel, Jeroen C.J.H. Aerts (2022).
-
Just in print : A Time-Varying Parameter Model for Local Explosions
in Journal of Econometrics
with F. Blasques and M. Nientker (2022).
-
Just in print : Estimation of final standings in football competitions with premature ending: the case of COVID-19
in AStA - Advances in Statistical Analysis
by P. Gorgi, SJK and R. Lit (2021).
-
Just in print : Unobserved Components with Stochastic Volatility in U.S. Inflation: Estimation and Signal Extraction
in Journal of Applied Econometrics
with M. Li (2021).
-
Just in print : Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data
in International Journal of Forecasting
with F. Blasques, M. Heres Hoogerkamp and I. van de Werve (2021).
-
Just in print : Modeling, Forecasting and Nowcasting U.S. CO2 Emissions Using Many Macroeconomic Predictors
in Energy Economics
with M. Bennedsen and E. Hillebrand (2021).
-
Just in print : Missing Observations in Observation-Driven Time Series Models
in Journal of Econometrics
with F. Blasques and P. Gorgi (2021).
-
All articles including forthcomings ...
Contact details
Address:
S.J. Koopman | Department of Econometrics | Vrije Universiteit Amsterdam | De Boelelaan 1105 | 1081 HV Amsterdam | The Netherlands
Telephone:+31 20 598 60 19
E-mail: s.j.koopman [at] vu.nl
Homepage: http://sjkoopman.net/
Secretary: Alies Ransijn (+31 20 598 6010)
Short CV
SJK is Professor of Econometrics at
Vrije Universiteit Amsterdam
and a research fellow at
Tinbergen Institute.
He is a
Founding Fellow of the
International Association for Applied Econometrics,
Journal of Applied Econometrics
Distinguished Author, and
Fellow
of the
Society of Financial Econometrics
(SoFiE).
He was the
2019-2020 Laureate of the
Francqui Chair, at
Faculty of Business and Economics,
University of Antwerp,
in 2020-21.
Also, he was a
long-term Visiting Professor
at CREATES, University of Aarhus for many years.
He further held positions at
London School of Economics and
CentER (Tilburg University), and
had long-term visits at
US Bureau of the Census,
European University Institute,
and
European Central Bank, Financial Research.
The monograph
Time Series Analysis by State Space Methods
is written by J. Durbin and SJK. The book originally appeared in 2001, the current
Second Edition in 2012.
The book
An Introduction to State Space Time Series Analysis
appeared in 2007 and is written by J.J.F. Commandeur and SJK.
His other books (co-authored, software and editorial) are listed
here.
The main research interest of SJK is developing statistical methodology for time series
analysis, modelling and prediction, with particular focus on
state space models, Kalman filter methods and score-driven models,
and with applications in fields such as economics, climate, energy, finance, crime and sports.
He fullfills editorial duties at
Journal of Forecasting.
Finally, SJK is an
OxMetrics
software developer for
STAMP
and
SsfPack.