Marius Ooms, Recent Publications

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Marius Ooms links to Articles, Chapters and Working papers

• ----2012---- Modeling Trigonometric Seasonal Components for Monthly Economic Time Series, by Irma Hindrayanto, John A.D. Aston, Siem Jan Koopman, and Marius Ooms, forthcoming as chapter 1 IN: Economic Time Series: Modeling and Seasonality, Editors: William R. Bell; Scott H. Holan, Tucker S. McElroy, CRC press, ISBN 9781439846575.
• Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling, by Virginie Dordonnat, Siem Jan Koopman and Marius Ooms, doi:10.1016/j.csda.2011.04.002, Computational Statistics and Data Analysis (2012), Volume 56, Issue 11, November 2012, Pages 3134–3152
• ----2011----
• Statistical Software for State Space Methods, by Jacques J. F. Commandeur, Siem Jan Koopman, Marius Ooms, Journal of Statistical Software, volume 41, issue 1.
• Forecasting economic time series using unobserved components time series models, by Siem Jan Koopman and Marius Ooms, forthcoming in revised form in Mike Clements and David F. Hendry (2011), Oxford Handbook of Economic Forecasting, Oxford University Press.
• Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models, by Geert Mesters, Siem Jan Koopman and Marius Ooms, Tinbergen Institute Discussion Paper 11-90/4, Amsterdam.
• ----2010----
• Exact maximum likelihood estimation for non-stationary periodic time series models, by Irma Hindrayanto, Siem Jan Koopman and Marius Ooms, Computational Statistics & Data Analysis, 54, 2641-2654, doi:10.1016/j.csda.2010.04.010
• Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments, by Siem Jan Koopman and Marius Ooms, International Journal of Forecasting, 655-657, doi: 10.1016/j.ijforecast.2010.05.013
• Intra-daily smoothing splines for time-varying regression models of hourly electricity load, by Virginie Dordonnat, Siem Jan Koopman and Marius Ooms, The Journal of Energy Markets, 3, 17-52,
• Modeling Trigonometric Seasonal Components for Monthly Economic Time Series, by Irma Hindrayanto, John A.D. Aston, Siem Jan Koopman, and Marius Ooms, Tinbergen Institute Discussion Paper 10-018/4, Amsterdam.
• ----2009---
• Periodic Unobserved Cycles in Seasonal Time Series with an Application to U.S. Unemployment, by Siem Jan Koopman, Marius Ooms and Irma Hindrayanto, Oxford Bulletin of Economics and Statistics, 71, 683-713, DOI: 10.1111/j.1468-0084.2009.00557.x
• Dynamic Factors in State-Space Models for Hourly Electricity Load Signal Decomposition and Forecasting, Dordonnat, V., Koopman, S.J. and Ooms, M., in Power Engineering Society (PES) General Meeting (GM), PES '09 IEEE, Calgary, July 26-30, 2009, pp 1-8. DOI: 10.1109/PES.2009.5275885, ISSN: 1944-9925, ISBN: 978-1-4244-4241-6.
• Trends in Applied Econometrics Software Development 1985-2008, an analysis of Journal of Applied Econometrics research articles, software reviews, data and code by Marius Ooms (2008), No 21, Serie Research Memoranda from VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, published as Ooms, M. (2009), Trends in Applied Econometrics Software Development 1985-2008, In: Palgrave ook of Econometrics, Volume 2: Applied Econometrics, Edited by T. C. Mills and K. P. Patterson, pp 1321-1347, Palgrave MacMillan, Basingstoke, U.K., ISBN 9781403917997
• ----2008---
• An Hourly Periodic State Space Model for Modelling French National Electricity Load, by Virginie Dordonnat, Siem Jan Koopman, Marius Ooms, Alain Dessertaine, Jérôme Collet, International Journal of Forecasting, 24, 3, 432-448, DOI: doi:10.1016/j.ijforecast.2008.06.002
• Multimodality in GARCH regression models, by Jurgen A. Doornik and Marius Ooms, International Journal of Forecasting, 24, 4, 566-587, DOI: doi:10.1016/j.ijforecast.j.ijforecast.2008.08.010
• Estimating systematic continuous-time trends in recidivism using a non-Gaussian panel data model by Siem Jan Koopman, Andr� Lucas, Marius Ooms, Kees van Montfort and Victor van der Geest, Statistica Neerlandica, 62,1, 104-130, DOI:10.1111/j.1467-9574.2007.00375.x
• An Hourly Periodic State Space Model for Modelling French National Electricity Load, by Virginie Dordonnat, Siem Jan Koopman, Marius Ooms, Alain Dessertaine, Jérôme Collet Tinbergen Institute Discussion Paper # 08-008/4.
• ----2007---
• Convergence and Persistence of Left-Right Political Orientations in the Netherlands 1978-1995, by Rob Eisinga and Marius Ooms, IN: Geert Loosveldt, Marc Swyngedouw and Bart Cambré (editors), Measuring Meaningful data in Social Research, pp. 53-70, Acco, Leuven, Belgium
• Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks, by Charles Bos, Siem Jan Koopman and Marius Ooms, Tinbergen Insitute Discussion Paper # 07-099/4.
• Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model, by Siem Jan Koopman, Andr� Lucas, Marius Ooms, Kees van Montfort and Victor van der Geest, Tinbergen Insitute Discussion Paper # 07-027/4. Revision published 2008 in Statistica Neerlandica.
• Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices, by Siem Jan Koopman, Marius Ooms, Angeles, M. Carnero, Journal of the American Statistical Association, 102, Number 477, March 2007, pp. 16-27. doi:10.1198/016214506000001022,
• ----2006---
• Forecasting daily time series using periodic unobserved components time series models, by Siem Jan Koopman and Marius Ooms (2006), Computational Statistics and Data Analysis, 51 (2), pp 885-903.
• Periodic unobserved cycles in seasonal time series: identification and estimation, with an application to U.S. unemployment, by Siem Jan Koopman, Marius Ooms, Irma Hindrayanto (2006) . Tinbergen Institute Discussion paper TI 2006-101/4 Presented at ESEM 2006, ISF 2006, Seasonality Conference Eurostat (2006).
• Econometric software development: past, present and future, by Marius Ooms and Jurgen Doornik (2006), Statistica Neerlandica, Volume 60, Page 206-224,
• ----2005---
• Outlier Detection in GARCH Models, By Jurgen Doornik and Marius Ooms (2005), Tinbergen Institute Discusion Paper no. 05-092/4
• Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices, By Siem Jan Koopman, Marius Ooms and Angeles Carnero (2005), Tinbergen Institute Disccusion Paper no. 05-091/4. Revised version published in JASA (1997).
• ----2004---
• Generalizations of the KPSS-test for stationarity, by Bart Hobijn, Philip Hans Franses and Marius Ooms (2004), Statistica Neerlandica, Volume 58, Page 483-502
• Forecasting daily time series using periodic unobserved components time series models, by Siem Jan Koopman and Marius Ooms, Tinbergen Institute Discussion Paper # 04-135/4
• 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. http://www.bepress.com/snde/vol8/iss2/art14/. Full text.
• ----2003---
• Multimodality in the GARCH regression model , by Jurgen Doornik and Marius Ooms (.pdf), Nuffield College Economics Working paper 2003-W20.
• Inference and Forecasting for ARFIMA Models, with an application to US and UK inflation (2003), with Jurgen Doornik. Abstract. Submitted.
• Time Series Modelling of Daily Tax Revenues by Siem Jan Koopman and Marius Ooms (2003), Statistica Neerlandica, Volume 57, Page 439-469
• Periodic Heteroskedastic RegARFIMA Models for Daily Electricity Spot Prices M. Angeles Carnero, University of Alicante; Siem Jan Koopman, Vrije Universiteit Amsterdam; Marius Ooms, Vrije Universiteit Amsterdam, Tinbergen Institute Discussion paper 2003-071/4, Amsterdam, The Netherlands
• Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models, by Jurgen A. Doornik, and Marius Ooms, Computational Statistics & Data Analysis Volume 42, Issue 3 , 28 March 2003, Pages 333-348
• Did Men Of Taste And Civilization Save The Stage? Theater-Going In Rotterdam, 1860�1916. A Statistical Analysis of Ticket Sales, by Henk Gras, Research Institute of History and Culture University of Utrecht, Philip Hans Franses, Econometric Institute, Erasmus University, Marius Ooms Free University Amsterdam, Journal of Social History 36.3 (2003) 615-655
• ----2002---
• Inflation, forecast intervals and long memory regression models, by Charles S. Bos, Philip Hans Franses and Marius Ooms, International Journal of Forecasting Volume 18, Issue 2 , April-June 2002, Pages 243-264
• Outlier detection in GARCH models (2001), by Jurgen A. Doornik and Marius Ooms, presented at Econometric Society European Meeting (ESEM), August 2002, Venice
• Periodic Unobserved Component Time Series Models: Estimation and Forecasting with Applications , by Siem Jan Koopman and Marius Ooms, presented at Econometric Society European Meeting (ESEM), August 2002, Venice
• ----2001---
• Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models (2001) , by Jurgen A. Doornik and Marius Ooms, Nuffield College Economics working papers, #2001-W27, Appeared Computational Statistics and Data Analysis (2003).
• Time Series Modelling of Daily Tax Revenues (2001), by Siem Jan Koopman, Vrije Universiteit Amsterdam; Marius Ooms, Vrije Universiteit Amsterdam Tinbergen Institute, Discussion Paper # 01-032/4
• Inflation, Forecast Intervals and Long Memory Regression Models (2001), Charles S. Bos, Erasmus University Rotterdam; Philip Hans Franses, Erasmus University Rotterdam; Marius Ooms, Vrije Universiteit Amsterdam Tinbergen Institute Discussion Paper # 01-029/4, appeared in revised form in International Journal of Forecasting (2002). Volume 18, issue 2, Pages 243-264 .
• A long-memory time series analysis of weekly ticket sales in the Rotterdam Grand Theatre, 1860-1881, with Henk Gras (University of Utrecht) and Philip Hans Franses (Econometric Insitute, Erasmus University Rotterdam) (28/7/00) (260K) , also in .pdf (260K) Forthcoming in revised form in Journal of Social History
• A Seasonal Periodic Long Memory Model for monthly river flows (2001), with Philip Hans Franses. Environmental Modelling & Software (2001), 16, 559-569. Direct link in Science direct for subscribers.
• ----2000---
• Multimodality and the GARCH Likelihood (2000) Jurgen A. Doornik (Nuffield College), Marius Ooms (Free University Amsterdam). Presented at World Conference Econometric Society, Seattle.
• ----1999---
• Forecasting long memory left�right political orientations, with Rob Eisinga and Philip Hans Franses, International Journal of Forecasting (1999), Volume 15, Issue 2 , Pages 185-199. Direct link for subscribers via Science Direct.
• Inference and Forecasting for Fractional Autoregressive Integrated Moving Average Models, with an application to US and UK inflation (1999) (ps, 1062 KB), with Jurgen Doornik. Econometric Institute Report 9947/A. Presented at ESEM 1999.
• Time-Series Modeling of Daily Tax Revenues (1999), with Björn de Groot and Siem Jan Koopman, zipped .ps file (357 K). .pdf (version 3.0) file , (560K). Presented at CEF 1999, Boston and ISF 1999, Washington. Preliminary version. Final version appearing in Statistica Neerlandica (2003)
• A package for Estimating, Forecasting and Simulating Arfima Models: Arfima Package 1.00 for Ox (1999) version 1.01, June 2001, .pdf, with Jurgen Doornik.
• A Seasonal Periodic Long Memory Model for monthly river flows (1998), with Philip Hans Franses. Econometric Institute Report 9842/A. Appeared in Environmental Modelling & Software (2001), 16, 559-569.
• Long Memory and Level Shifts: Re-Analyzing Inflation Rates (1999), with Charles Bos and Philip Hans Franses Empirical Economics (1999), 24 (3), 427-449. Direct full text link for subscribers.
• ----1998---
• Long Memory and Level Shifts: Re-Analyzing Inflation Rates (1998), with Charles Bos and Philip Hans Franses . A post-script and .pdf version (887K) in the EUR RePub is also available.
• Generalizations of the KPSS-test (1998), with (Bart Hobijn and Philip Hans Franses). .pdf version macy become available via Bart Hobijn's homepage at frbsf.org at the San Francisco Fed. Published in Statistica Neerlandica, 2004 .
• De econometrische Methoden van Professor Kloek, en een Analyse van Nederlandse Januari-temperaturen, 1707-1993 (1997) Postscript format, 600K
• ----1997---
• Long memory and seasonality in US Consumer Price Inflation: an empirical investigation at varying levels of aggregation (1997) . Presented at ES Winter Meeting New Orleans, 4 Jan 1997.
• Convergence and Persistence of Left-Right Political Orientations in The Netherlands 1978-1995 (with Rob Eisinga and Philip Hans Franses) (1997), , published in revised form, 2007.
• A periodic long-memory model for quarterly UK inflation International Journal of Forecasting (1997), Volume 13, Issue 1 , Pages 117-126. Direct link for subscribers via Science Direct.
• On Periodic Correlations Between Estimated Seasonal and Nonseasonal Components in German and U.S. Unemployment (1997), with Philip Hans Franses. in Journal of Business and Economic Statistics (1997), issue 4, pp. 470-481. See also EUR RePub.
• ----1996---
• A Note on the Effect of Seasonal Dummies on the Periodogram Regression (with Uwe Hassler) (1996) Abstract and Full text postscript. Appeared in Economics Letters (1997), Vol 56, issue 2, p 135-141, full text link via ScienceDirect
• Flexible Seasonal Long Memory and Economic Time Series (1995)(abstract and Full text postscript. full text .pdf. Econometric Institute Report 134, Erasmus University Rotterdam, Econometric Institute. Presented at World Conference ES, Tokio 1995.
• ----1995---
• Forecasting Changing Seasonal Components in German and US Unemployment using Periodic Correlations (with Philip Hans Franses) (1995). Accompanies publication in Journal of Business and Economic Statistics, October 1997
• ----1994---
• Empirical Vector Autoregressive Modelling (1994), published version of PhD thesis at Erasmus University Rotterdam.

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