Siem Jan Koopman

Siem Jan Koopman is Professor of Econometrics at the Vrije Universiteit Amsterdam and research fellow at the Tinbergen Institute, both since 1999. He is currently also a Regular Visiting Researcher at the European Central Bank. He held positions at the London School of Economics 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. Further he was a Fernand Braudel Senior Fellow at the Department of Economics, European University Institute, Florence, Italy, in 2010. His Ph.D. is from the LSE and dates back to 1992.

He is actively engaged in various research projects and has published many articles in leading journals. The monograph Time Series Analysis by State Space Methods is written by J. Durbin and SJK. The book originally appeared in 2001. The Second Edition is published by Oxford University Press in 2012. The research interests of SJK are statistical analysis of time series, financial econometrics, simulation-based estimation, Kalman filter, economic forecasting and other topics in time series econometrics. He fullfills editorial duties at the Journal of Applied Econometrics and the Journal of Forecasting. Finally he is an OxMetrics software developer and is actively engaged in the development of the time series software packages STAMP and SsfPack.

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