Siem Jan Koopman | research | projects |

Latest news

• (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 23, 2022) We organize the 2023 EMCC-VII, the Seventh Econometric Models of Climate Change conference at Vrije Universiteit Amsterdam on 24-25 August 2023. The call for papers/abstracts is here with deadline 15 May 2023. Looking forward to welcome you all in Amsterdam in 2023.

• (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

• Forthcoming : Time-Varying Parameters in Econometrics: The editor’s foreword in Journal of Econometrics with F. Blasques, A.C. Harvey and A. Lucas (2023).

• Forthcoming : 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: Is there 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

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.