Siem Jan Koopman (VU University Amsterdam)

Siem Jan Koopman is Professor of Econometrics at the Vrije Universiteit Amsterdam and Research Fellow at the Tinbergen Institute. He holds a PhD from the London School of Economics and his research interests are statistical analysis of time series with applications in economics and finance, Kalman filter methods and forecasting. Siem Jan Koopman is one of the OxMetrics software developers and one of the main contributors of the development of STAMP and SsfPack modules. STAMP specialises in time series modelling and forecasting based on structural time series models while SsfPack is based on general state space models.

Alongide Andrew C. Harvey and Neil Shephard, Prof. Jan Koopman helped write State Space and Unobserved Component Models: Theory and Applications (available in the Timberlake Online Bookshop).

Training & Consultancy

Siem Jan Koopman co-leads our annual Econometrics Summer School at the University of Oxford, delivering the two-day course: Unobserved Components Time Series Econometrics. Additionally, he and the other OxMetrics developers also recently launched a series of OxMetrics webcasts to highlight key new features and concepts of OxMetrics 7.

Feedback and Testimonials

Delegate feedback from the 2013 Econometrics Summer School at the University of Oxford:

    "Prof. Koopman did a great job of relating the concepts of dynamic modelling and the underlying theory with clear demonstrations in STAMP of the same concepts. I felt that I could get more out of his book and the current literature after the course."
    "I appreciated the advice provided by the instructor regarding the optimal progression one should take through the suggested readings in order to effectively develop stills in the area of state space modelling."
    "The facilitators ability to present advanced techniques by starting from scratch."
    "Practical sessions and accessibility of trainer."
    "Clear exposition of mostly new material and techniques � Prof. Koopman did a great job overall."
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