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Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks
Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2008
varying size. Based on the new modelling framework and the associated estimation technique, we find remarkable changes in the …
Persistent link: https://www.econbiz.de/10014221102
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Smooth dynamic factor analysis with application to the US term structure of interest rates
Jungbacker, Borus; Koopman, Siem Jan; Wel, Michel van der - In: Journal of applied econometrics 29 (2014) 1, pp. 65-90
Persistent link: https://www.econbiz.de/10010414251
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Long memory modelling of inflation with stochastic variance and structural breaks
Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007
Persistent link: https://www.econbiz.de/10003645182
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Long memory modelling of inflation with stochastic variance and structural breaks
Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007
varying size. Based on the new modelling framework and the associated estimation technique, we find remarkable changes in the …
Persistent link: https://www.econbiz.de/10011373822
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Joint modelling and estimation of global and local cross-sectional dependence in large panels
Koopman, Siem Jan; Schaumburg, Julia; Wiersma, Quint - 2021
simulation study illustrates the good performance of the algorithm in terms of determining the presence and magnitude of global …
Persistent link: https://www.econbiz.de/10012421000
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Fast Efficient Importance Sampling by State Space Methods
Koopman, Siem Jan; Nguyen, Thuy Minh - 2012
simple and fast method for efficient importance sampling. A simulation study and empirical illustration provide some evidence …
Persistent link: https://www.econbiz.de/10010326518
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Testing the Assumptions Behind the Use of Importance Sampling
Koopman, Siem Jan; Shephard, Neil - Economics Group, Nuffield College, University of Oxford - 2002
Importance sampling is used in many aspects of modern econometrics to approximate unsolvable integrals. Its reliable use requires the sampler to possess a variance, for this guarantees a square root speed of convergence and asymptotic normality of the estimator of the integral. However, this...
Persistent link: https://www.econbiz.de/10005730296
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Testing the assumptions behind the use of importance sampling
Shephard, Neil; Koopman, Siem Jan - Department of Economics, Oxford University - 2002
Importance sampling is used in many aspects of modern econometrics to approximate unsolvable integrals. Its reliable use requires the sampler to possess a variance, for this guarantees a square root speed of convergence and asymptotic normality of the estimator of the integral. However, this...
Persistent link: https://www.econbiz.de/10010605276
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Statistical algorithms for models in state space using SsfPack 2.2
Koopman, Siem Jan; Shephard, Neil G.; Doornik, Jurgen A. - In: The econometrics journal 2 (1999) 1, pp. 107-160
Persistent link: https://www.econbiz.de/10001449270
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Extremum Monte Carlo Filters : Real-Time Signal Extraction via Simulation and Regression
Blasques, Francisco; Koopman, Siem Jan; Moussa, Karim - 2023
This paper introduces a novel simulation-based filtering method for general state space models. It allows for the …
Persistent link: https://www.econbiz.de/10014358032