Personal profile

Personal information

Siem Jan Koopman is Professor of Econometrics at the Department of Econometrics, Vrije Universiteit Amsterdam. He is also a research fellow at Tinbergen Institute and a long-term Visiting Professor at CREATES, University of Aarhus. Furthermore, he is a Journal of Applied Econometrics Distinguished Author, and Fellow of the Society of Financial Econometrics (SoFiE).

He 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 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.

He is a Statistical Software Developer: STAMP, SsfPack.


The research interests of SJK cover topics in time series econometrics, financial econometrics, forecasting and simulation-based estimation. His current research focusses on score-driven time-varying parameter models (GAS models), state space models and dynamic factor models. He fullfills editorial duties at Journal of Business and Economic Statistics, Journal of Applied Econometrics, and Journal of Forecasting. Finally, SJK is an OxMetrics software developer for STAMP and SsfPack.

For more information see:


Time Series Econometrics -- VU Amsterdam, MSc Econometrics

Advanced Econometrics III -- Tinbergen Institute, MPhil

Ancillary activities

  • SsfPack Consulting B.V. | Amsterdam | Directeur | 2002-03-01 - present

Ancillary activities are updated daily

Expertise related to UN Sustainable Development Goals

In 2015, UN member states agreed to 17 global Sustainable Development Goals (SDGs) to end poverty, protect the planet and ensure prosperity for all. This person’s work contributes towards the following SDG(s):

  • SDG 17 - Partnerships for the Goals

Academic qualification

PhD, Department of Statistics, The London School of Economics and Political Science

1 Sept 198930 Mar 1992

Award Date: 30 Mar 1992

Collaborations and top research areas from the last five years

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