Prof Siem Jan Koopman

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.

Alongside 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).