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 was 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).
SJK has authored many papers in scholarly journals and several books. The monograph Time Series Analysis by State Space Methods is written by J. Durbin and SJK, and now in its second edition. 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.
STAMP Professional tm is a package designed to model and forecast time series, based on structural time series models. These models use advanced techniques, such as Kalman filtering, but are set up so as to be easy to use -- at the most basic level all that is required is some appreciation of the concepts of trend, seasonal and irregular. The hard work is done by the program, leaving the user free to concentrate on formulating models, then using them to make forecasts.
Structural time series modelling can be applied to a variety of problems in time series. Macro-economic time series like gross national production, inflation and consumption can be handled effectively, but also financial time series, like interest rates and stock market volatility, can be modelled using STAMP. Further, STAMP is used for modelling and forecasting time series in medicine, biology, engineering, marketing and in many other areas.
STAMP uses OxMetrics for data input and graphical and text output. OxMetrics has its own help system. Even though STAMP is largely written in Ox Professional, it does not require Ox to function.
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