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Leiderdorps Kamerkoor

Marius Ooms Home Page

On this page you find info on my research interests, my official research projects, my Articles and Working papers (10/11) updated

, my books, my computer programs, my teaching, and my singing. I appreciate suggestions for interesting econometric pointers .

Name: Marius Ooms
Title: Dr.
Current Position: Associate Professor in Econometrics
Telephone: (+31)20-5986023
Fax: (+31)20-5986020
Address: Dep. of Econometrics & OR, VU University Amsterdam, De Boelelaan 1105, NL-1081 HV Amsterdam, The Netherlands
email: ooms@econometriclinks.com

I teach at the Tinbergen Institute
and I do research and teaching at the
Department of Econometrics and Operations Research
of the VU (Vrije Universiteit) University in Amsterdam.

Management

I am editor of the Econometric Links of
The Econometrics Journal,
a journal of the Royal Economic Society.

Do you know of any exciting internet links, internet tools or internet media
of specific interest for Econometric Research or Education?
Please mail Marius Ooms !

Research Interests

Time Series Analysis, Theory and Practice
- Long Memory in mean and variance, Fractional Integration, Unit roots, Frequency Domain Estimation
- Seasonality, Seasonal Adjustment, Periodic Models, Intramonthly seasonality
- Empirical Vector Autoregression
- Outliers, Robust Estimation of Time Series Models
- Parameter Stability, Modeling Structural Breaks, Tests for Stationarity
- State space models, structural time series models
- Historical economic time series analysis (1400-1800)
Empirical Econometrics
- Electricity prices and Electricity load
- Business Cycles
- Factor Demand
- Inflation
- Forecastability Forward Premium
Empirical Political Science
- Longitudinal analysis of opinion polls
Empirical Environmental analysis
- Longitudinal analysis of mean temperatures
- Longitudinal analysis of min/max/mean riverflows
Econometrics and Internet
- Econometric Links Econometrics Journal (extensive)
Econometric Software Development
- Econometric Software Links Econometrics Journal (extensive)

Official Research Projects

Modelling and Forecasting High Frequency Electricity Loads in changing markets (2005-2008)

PhD student: Virginie Dordonnat
Supervisor: Siem Jan Koopman co-promotor: Marius Ooms
Research Institute: Vrije Universiteit and EDF Research and Development, Clamart, France
Dordonnat (2009) State-space modelling for high frequency data. Three applications to French national electricity load

Identification, Estimation and Testing of Periodic Panel Time Series Models with Unobserved Components (2004-2008)

PhD student: Irma Hindrayanto
Supervisors: Siem Jan Koopman and Marius Ooms
Graduate School / Research Institute: Tinbergen Institute
Hindrayanto (2011) Periodic Seasonal Time Series Models with Applications to U.S. Macroeconomic Data, Thela Publishers, Amsterdam

Econometric Analysis of Weekly and Intra-Weekly Time Series (2000-2003)

PhD student: Kai Ming Lee
Supervisor: Siem Jan Koopman
Topics: Seasonality, outliers, daily data, forecasting, trend extraction, time varying parameter modeling.
Graduate School / Research Institute: Tinbergen Institute
Lee, K.M. (2010) Filtering Non-Linear State Space Models: Methods and Economic Applications, Thela Publishers, Amsterdam

Designing Monetary Policy Strategy in Post Crisis Indonesia (2000-2004)

PhD student: Reza Anglingkusumo
Supervisor: Age Bakker. Co-promotor: Marius Ooms
Topics: Money, Inflation, Interest rates, Exchange rates
Graduate School / Research Institute: Tinbergen Institute
Anglingkusomo (2005a), Preparatory studies for inflation targeting in post crisis Indonesia, Thela Publishers, Amsterdam
Anglingkusumo (2005b): Tinbergen Institute Discussion Paper # 05-054/4: Money - Inflation Nexus in Indonesia: Evidence from a P-Star Analysis
Anglingkusumo (2005c): Tinbergen Institute Discussion Paper # 05-054/4: Stability of the Demand for Real Narrow Money in lndonesia

Online Working Papers(06/11)

Econometric Software

Arfima package 1.04 for Exact ML estimation, simulation and Forecasting Written by Jurgen Doornik and Marius Ooms in the matrix language Ox. Fast. Allows for long series (>2500) and (Monte Carlo) simulation, forecasting and other approximate ML estimation techniques. Version for Ox 4/5/6/. Estimation and diagnostic part also available in PcGive 13. This software is accompanied by documentation and data corresponding to Rob Eisinga, Philip Hans Franses, Marius Ooms, Forecasting long memory left--right political orientations, International Journal Of Forecasting (15)2 (1999) pp. 185-199 and Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation, by Jurgen Doornik and Marius Ooms (2004), Studies in Nonlinear Dynamics and Econometrics, 8.
Jurgen Doornik and Marius Ooms authored a free Introduction to Ox, with hands-on examples (2000,2006).
- Ox Version 6,5,4,3,2 cited 347+ 343+ 219+ 199+ 21+
- Ox 5 version (2007) at OxMetrics Bookshop
- Used at
- Queens U. [CA]
- U. Florida [FL, US]
- Colorado U. [CO, US]
- Aarhus U. [DK]
- Copenhagen U. [DK]
- UCL [UK]
- Northwestern U. [IL, US]
- Queens U. [CA],
- U. Chicago,
- Tinbergen Institute [NL]
- European U. [IT]
- Cambridge U. [UK]
- Exeter U. [UK]
- University of Oxford [UK]
- University of Tilburg
- UFPE [BR]
- UniMib [IT]
- U. Toronto [CA]
- NNCU [TW]
- UvA [NL]
- U Maastricht [NL]
- University of Tilburg
- CORE [BE]
Gauss programs:
Introductie Gauss (.pdf print-file A4) (2000), door Gerrit Draisma en Marius Ooms.
Introductie Gauss program files (.zip)
Parfima program in GAUSS for DOS/Unix, zipped. Allows estimation and forecasting for simple periodic long memory models, Accompanies Franses, P.H. and Ooms M. (1996), ''A periodic long memory model for Quarterly UK Inflation'', International Journal of Forecasting, Volume 13, issue 1, pages 119-128, Cover date: 1 March 1997
Periodic Analysis of Seasonal Adjustment, programs in GAUSS for DOS, zipped. Accompanies Ooms M., and Franses, P.H. (1997), ''On Periodic Correlations Between Estimated Seasonal and Nonseasonal Components in German and U.S. Unemployment'', Journal of Business and Economic Statistics, Volume 15, Number 4, October 1997, pages 470-481.
Numerical Recipes Optimization in GAUSS for DOS( 3.2.13)/Windows NT (3.2.35) /Unix (3.2.36) , zipped.By Bo E. Honoré and Ekaterini Kyriazdou, updated by Marius Ooms. Numerical Recipes are also available in other programming languages.
Extensive OxGauss support by Philip Viton Run Gauss programs in OxEdit and Ox 3 console, free for academic use
Searchable archive of gaussians

Books

Introduction to Ox: An Object-Oriented Matrix Language (2007), by Jurgen Doornik and Marius Ooms, London, Timberlake, ISBN: 978-0-9552127-4-1.
Introduction to Ox 3 (2001), by Jurgen Doornik and Marius Ooms, London, Timberlake, ISBN 0-9533394-1-6
Empirical Vector Autoregressive Modeling (1994) ISBN 3-540-57707-6

Teaching 2011/2012

Case Study Econometrics (E_EORM_CASE), MSc Econometrics and Operations Research, VU University Amsterdam, Study Guide

Teaching 2009/2010

Advanced Econometrics, Msc Econometrics and Operations Research, VU University Amsterdam
Econometrics II, Research Master, MPhil Economics, Tinbergen Institute
Econometrie 3.1, Bachelor Econometrics and Operations Research, Vrije Universiteit Amsterdam
Integratiepracticum Econometrie, Bachelor Econometrics and Operations Research, Vrije Universiteit, Amsterdam
Statistics I, Bachelor Business Administration
Kwantitatieve Methoden 2.4, Bachelor Economics
Teaching 2008/2009
- Advanced Econometrics, Msc Econometrics and Operations Research, VU University Amsterdam
- Econometrics II, Research Master, MPhil Economics, Tinbergen Institute
- Econometrie 3.1, Bachelor Econometrics and Operations Research, Vrije Universiteit Amsterdam
- Computational Time Series Econometrics, MSc Econometrics and Operations Research
- Integratiepracticum Econometrie, Bachelor Econometrics and Operations Research, Vrije Universiteit, Amsterdam
- Statistics I, Bachelor Business Administration
Teaching 2007/2008
- Advanced Econometrics, Msc Econometrics and Operations Research, Vrije Universiteit Amsterdam
- Econometrics II, Research Master, MPhil Economics, Tinbergen Institute
- Econometrie 3.1, Bachelor Econometrics and Operations Research, Vrije Universiteit Amsterdam
- Financial Econometrics, Bachelor Econometrics and Operations Research
- Integratiepracticum Econometrie, Bachelor Econometrics and Operations Research, Vrije Universiteit, Amsterdam
- Statistics I, Bachelor Business Administration
Teaching 2006/2007
- Advanced Econometrics, Msc Econometrics and Operations Research, Vrije Universiteit Amsterdam
- Econometrics II, Research Master, MPhil Economics, Tinbergen Institute
- Econometrie I, Bachelor Econometrics and Operations Research, Vrije Universiteit Amsterdam
- Financial Econometrics, Bachelor Econometrics and Operations Research
- Statistics II, Bachelor Business Administration
- Statistics I, Bachelor Business Administration
- Integratiepracticum Econometrie, Bachelor Econometrics and Operations Research, Vrije Universiteit, Amsterdam
Refereeing
I refereed for
Singing
- I sing as a tenor in the Leiderdorps Kamerkoor since January 2007.
- I have sung as a tenor in the Erasmus Kamerkoor from 1992 to 2008.
  I sing on the CDs Gaudeamus Igitur (Erasmus Kamerkoor) (1996) Misa Criolla (Erasmus Kamerkoor) (1999),
  Demo Erasmus Kamerkoor (1998), Sempre l'Amor (2001) (Erasmus Kamerkoor).
- I sang as a guest tenor in the Cluster Voices in 2005.
- I sang as a guest tenor in the Kathedrale Koor Utrecht in 2004 and 2005.
- I sang as a guest tenor in the Cluster Kamerkoor in 2001, 2003.
- As member of the Erasmus Kamerkoor and Cluster Kamerkoor I sing on the soundtrack and CD of Ja Zuster, Nee Zuster, the movie
- As member of the Erasmus Kamerkoor and Cluster Kamerkoor I sing on the 2001 CD of De Kift
- I have sung as a guest tenor in the Koor Nieuwe Muziek in 1999.
Tekstbureau Anje Romein
- Link to tbar.nl Tekstbureau Anje Romein
Dutch Ancestors
- Ooms ,(from 1562). Source: Vijf eeuwen Ooms.
- Van Tilburg (from 1599), upto 1961.
Danish Family
- Oldefar:
  Murermester Jacob Platz, Vejle (1871-1954), Moelholm Kirkegaard
- Mormor og morfar:
  Elisabeth og Alfred Platz, Vinding Kirkegaard(1902-1990, 1901-1945)
- Høgsholt gårdejer Peter Iversen (1897-1943) og Jensine f. Sørensen , Hover-Grejsdal Kirkegaard
  Source: Kraks Blå Bog (1957) entry of grandonkel kontorchef Frits Olsen (1898-19..)
toc | nieuws | research interests | research projects | domaintools.com | preprints and publications | books | software | teaching.

Marius Ooms Nieuws WWW Search Statistics Econometric Links

Last change in this document January 20, 2012 by Marius Ooms . Links checked September 22, 2011.

Marius Ooms Home Page

Online Working Papers(06/11)

Singing