James Durbin

Research output

Working papers

1. J. Durbin and S.J. Koopman, 2001. "An efficient and simple simulation smoother for state space time series analysis," Computing in Economics and Finance 2001 52, Society for Computational Economics.
2. Durbin, J. & Koopman, S.J.M., 1998. "Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives," Discussion Paper 1998-142, Tilburg University, Center for Economic Research.
   • J. Durbin & S. J. Koopman, 2000. "Time series analysis of non‐Gaussian observations based on state space models from both classical and Bayesian perspectives," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(1), pages 3-56.
   • Durbin, J. & Koopman, S.J.M., 1998. "Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives," Other publications TiSEM 6338af09-6f2c-46d0-985b-d, Tilburg University, School of Economics and Management.
3. Koopman, S.J.M. & Durbin, J., 1998. "Fast Filtering and Smoothing for Multivariate State Space Models," Discussion Paper 1998-18, Tilburg University, Center for Economic Research.
   • S. J. Koopman & J. Durbin, 2000. "Fast Filtering and Smoothing for Multivariate State Space Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 21(3), pages 281-296, May.
   • Koopman, S.J.M. & Durbin, J., 1998. "Fast Filtering and Smoothing for Multivariate State Space Models," Other publications TiSEM 3ca0d14b-21ad-427f-8631-e, Tilburg University, School of Economics and Management.
4. Magnus, J.R. & Durbin, J., 1996. "A classical problem in linear regression or how to estimate the mean of a univariate normal distribution with known variance," Discussion Paper 1996-60, Tilburg University, Center for Economic Research.
   • Magnus, J.R. & Durbin, J., 1996. "A classical problem in linear regression or how to estimate the mean of a univariate normal distribution with known variance," Other publications TiSEM 325b330c-b816-4978-90c2-5, Tilburg University, School of Economics and Management.

Articles

1. S. J. Koopman & J. Durbin, 2003. "Filtering and smoothing of state vector for diffuse state‐space models," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(1), pages 85-98, January.
2. J. Durbin, 2002. "A simple and efficient simulation smoother for state space time series analysis," Biometrika, Biometrika Trust, vol. 89(3), pages 603-616, August.
3. J. Durbin & S. J. Koopman, 2000. "Time series analysis of non‐Gaussian observations based on state space models from both classical and Bayesian perspectives," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 62(1), pages 3-56.
   • Durbin, J. & Koopman, S.J.M., 1998. "Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives," Other publications TiSEM 6338af09-6f2c-46d0-985b-d, Tilburg University, School of Economics and Management.
   • Durbin, J. & Koopman, S.J.M., 1998. "Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives," Discussion Paper 1998-142, Tilburg University, Center for Economic Research.
4. S. J. Koopman & J. Durbin, 2000. "Fast Filtering and Smoothing for Multivariate State Space Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 21(3), pages 281-296, May.
   • Koopman, S.J.M. & Durbin, J., 1998. "Fast Filtering and Smoothing for Multivariate State Space Models," Discussion Paper 1998-18, Tilburg University, Center for Economic Research.
   • Koopman, S.J.M. & Durbin, J., 1998. "Fast Filtering and Smoothing for Multivariate State Space Models," Other publications TiSEM 3ca0d14b-21ad-427f-8631-e, Tilburg University, School of Economics and Management.
5. Jan R. Magnus & J. Durbin, 1999. "Estimation of Regression Coefficients of Interest When Other Regression Coefficients Are of No Interest," Econometrica, Econometric Society, vol. 67(3), pages 639-644, May.
6. J. Durbin & B. Quenneville, 1997. "Benchmarking by State Space Models," International Statistical Review, International Statistical Institute, vol. 65(1), pages 23-48, April.
7. Durbin, J., 1988. "Reply to Stephen E. Fienberg's discussion," Journal of Econometrics, Elsevier, vol. 37(1), pages 65-65, January.
8. Durbin, J., 1988. "Is a philosophical consensus for statistics attainable?," Journal of Econometrics, Elsevier, vol. 37(1), pages 51-61, January.
9. John Kingman & J. Durbin & David Cox & M. J. R. Healy, 1988. "Appendix: Statistical Requirements of the AIDS Epidemic," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 151(1), pages 127-130, January.
10. Durbin, James, 1988. "Maximum Likelihood Estimation of the Parameters of a System of Simultaneous Regression Equations," Econometric Theory, Cambridge University Press, vol. 4(1), pages 159-170, April.
11. Durbin, J., 1981. "Approximations for densities of sufficient estimators," Journal of Econometrics, Elsevier, vol. 16(1), pages 165-165, May.
12. Durbin, J, 1970. "An Alternative to the Bounds Test for Testing for Serial Correlation in Least-Squares Regression," Econometrica, Econometric Society, vol. 38(3), pages 422-429, May.
13. Durbin, J, 1970. "Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables," Econometrica, Econometric Society, vol. 38(3), pages 410-421, May.
14. J. Durbin, 1967. "Design of Multi‐Stage Surveys for the Estimation of Sampling Errors," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 16(2), pages 152-164, June.

Chapters

1. J. Durbin & P. B. Kenny, 1978. "Seasonal Adjustment When the Seasonal Component Behaves Neither Purely Multiplicatively nor Purely Additively," NBER Chapters, in: Seasonal Analysis of Economic Time Series, pages 173-198, National Bureau of Economic Research, Inc.

Books

1. Durbin, James & Koopman, Siem Jan, 2001. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, number 9780198523543.
   • Durbin, James & Koopman, Siem Jan, 2012. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, edition 2, number 9780199641178.
   • Tom Doan, "undated". "SEASONALDLM: RATS procedure to create the matrices for the seasonal component of a DLM," Statistical Software Components RTS00251, Boston College Department of Economics.