Prof. Siem Jan Koopman

Siem Jan Koopman is Professor of Econometrics in the Department of Econometrics and Data Science at Vrije Universiteit Amsterdam, a research fellow of the Tinbergen Institute and a long-term Visiting Professor at CREATES, Aarhus University. His research covers time series econometrics, financial econometrics, forecasting and simulation-based estimation, with current work on score-driven time-varying parameter models, state space models and dynamic factor models.

• ●Advanced Time Series Econometrics

• Durbin & Koopman — Time Series Analysis by State Space Methods (OUP).
• Developer of the STAMP and SsfPack software.