Details about Marius Ooms

Access statistics for papers by Marius Ooms.

Last updated 2023-03-10. Update your information in the RePEc Author Service.

Short-id: poo1

Working Papers

2011

1. Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
   See also Journal Article Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models, Econometric Reviews, Taylor & Francis Journals (2016) View citations (4) (2016)

2010

2. Modeling Trigonometric Seasonal Components for Monthly Economic Time Series
   Tinbergen Institute Discussion Papers, Tinbergen Institute
   See also Journal Article Modelling trigonometric seasonal components for monthly economic time series, Applied Economics, Taylor & Francis Journals (2013) View citations (4) (2013)

2008

3. An Hourly Periodic State Space Model for Modelling French National Electricity Load
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (47)
   See also Journal Article An hourly periodic state space model for modelling French national electricity load, International Journal of Forecasting, Elsevier (2008) View citations (47) (2008)
4. Trends in Applied Econometrics Software Development 1985-2008, an analysis of Journal of Applied Econometrics research articles, software reviews, data and code
   Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics View citations (2)

2007

5. Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model
   Tinbergen Institute Discussion Papers, Tinbergen Institute
   See also Journal Article Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (2008) View citations (4) (2008)
6. Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
   Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2007) View citations (4)

2006

7. Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment
   Tinbergen Institute Discussion Papers, Tinbergen Institute
   See also Journal Article Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2009) View citations (6) (2009)

2005

8. Outlier Detection in GARCH Models
   Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (30)
   Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2005) View citations (23)
9. Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (4)
   See also Journal Article Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices, Journal of the American Statistical Association, American Statistical Association (2007) View citations (155) (2007)

2004

10. Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article Forecasting daily time series using periodic unobserved components time series models, Computational Statistics & Data Analysis, Elsevier (2006) View citations (13) (2006)
11. Periodic Heteroskedastic RegARFIMA models for daily electricity spot prices
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (14)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2003) View citations (13)

2003

12. Multimodality in the GARCH Regression Model
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (17)
    See also Journal Article Multimodality in GARCH regression models, International Journal of Forecasting, Elsevier (2008) View citations (20) (2008)

2001

13. Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (10)
    See also Journal Article Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models, Computational Statistics & Data Analysis, Elsevier (2003) View citations (62) (2003)
14. Inflation, Forecast Intervals and Long Memory Regression Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (12)
    See also Journal Article Inflation, forecast intervals and long memory regression models, International Journal of Forecasting, Elsevier (2002) View citations (42) (2002)
15. Multimodality and the GARCH Likelihood
    Computing in Economics and Finance 2001, Society for Computational Economics View citations (1)
    Also in Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (10)
16. Time Series Modelling of Daily Tax Revenues
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
    Also in Computing in Economics and Finance 1999, Society for Computational Economics (1999) View citations (2)
    See also Journal Article Time Series Modelling of Daily Tax Revenues, Statistica Neerlandica, Netherlands Society for Statistics and Operations Research (2003) View citations (12) (2003)

1999

17. Inference and Forecasting for Fractional Autoregressive Integrated Moving Average Models, with an application to US and UK inflation
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (21)

1998

18. A seasonal periodic long memory model for monthly river flows
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (1)
19. Long Memory and Level Shifts: Re-Analyzing Inflation Rates
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1998)
    See also Journal Article Long memory and level shifts: Re-analyzing inflation rates, Empirical Economics, Springer (1999) View citations (98) (1999)

1997

20. Convergence and Persistence of Left-Right Political Orientations in The Netherlands 1978-1995
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

1996

21. A Note on the Effect of Seasonal Dummies on the Periodogram Regression
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

1995

22. Flexible Seasonal Long Memory and Economic Time Series
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (17)

Journal Articles

2016

1. Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
   Econometric Reviews, 2016, 35, (4), 659-687 View citations (4)
   See also Working Paper Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models, Tinbergen Institute Discussion Papers (2011) View citations (4) (2011)

2014

2. Long memory with stochastic variance model: A recursive analysis for US inflation
   Computational Statistics & Data Analysis, 2014, 76, (C), 144-157 View citations (13)

2013

3. Modelling trigonometric seasonal components for monthly economic time series
   Applied Economics, 2013, 45, (21), 3024-3034 View citations (4)
   See also Working Paper Modeling Trigonometric Seasonal Components for Monthly Economic Time Series, Tinbergen Institute Discussion Papers (2010) (2010)

2012

4. Dynamic factors in periodic time-varying regressions with an application to hourly electricity load modelling
   Computational Statistics & Data Analysis, 2012, 56, (11), 3134-3152 View citations (11)

2011

5. Statistical Software for State Space Methods
   Journal of Statistical Software, 2011, 041, (i01) View citations (21)

2010

6. Exact maximum likelihood estimation for non-stationary periodic time series models
   Computational Statistics & Data Analysis, 2010, 54, (11), 2641-2654 View citations (7)
7. Exponentionally weighted methods for forecasting intraday time series with multiple seasonal cycles: Comments
   International Journal of Forecasting, 2010, 26, (4), 647-651

2009

8. Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment*
   Oxford Bulletin of Economics and Statistics, 2009, 71, (5), 683-713 View citations (6)
   See also Working Paper Periodic Unobserved Cycles in Seasonal Time Series with an Application to US Unemployment, Tinbergen Institute Discussion Papers (2006) (2006)

2008

9. An hourly periodic state space model for modelling French national electricity load
   International Journal of Forecasting, 2008, 24, (4), 566-587 View citations (47)
   See also Working Paper An Hourly Periodic State Space Model for Modelling French National Electricity Load, Tinbergen Institute Discussion Papers (2008) View citations (47) (2008)
10. Estimating systematic continuous‐time trends in recidivism using a non‐Gaussian panel data model
    Statistica Neerlandica, 2008, 62, (1), 104-130 View citations (4)
    See also Working Paper Estimating Systematic Continuous-time Trends in Recidivism using a Non-Gaussian Panel Data Model, Tinbergen Institute Discussion Papers (2007) (2007)
11. Multimodality in GARCH regression models
    International Journal of Forecasting, 2008, 24, (3), 432-448 View citations (20)
    See also Working Paper Multimodality in the GARCH Regression Model, Economics Papers (2003) View citations (17) (2003)

2007

12. Periodic Seasonal Reg-ARFIMAGARCH Models for Daily Electricity Spot Prices
    Journal of the American Statistical Association, 2007, 102, 16-27 View citations (155)
    See also Working Paper Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices, Tinbergen Institute Discussion Papers (2005) View citations (4) (2005)

2006

13. Econometric software development: past, present and future
    Statistica Neerlandica, 2006, 60, (2), 206-224 View citations (4)
14. Forecasting daily time series using periodic unobserved components time series models
    Computational Statistics & Data Analysis, 2006, 51, (2), 885-903 View citations (13)
    See also Working Paper Forecasting Daily Time Series using Periodic Unobserved Components Time Series Models, Tinbergen Institute Discussion Papers (2004) (2004)

2004

15. Generalizations of the KPSS‐test for stationarity
    Statistica Neerlandica, 2004, 58, (4), 483-502 View citations (80)
16. Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (2), 25 View citations (47)

2003

17. Computational aspects of maximum likelihood estimation of autoregressive fractionally integrated moving average models
    Computational Statistics & Data Analysis, 2003, 42, (3), 333-348 View citations (62)
    See also Working Paper Computational Aspects of Maximum Likelihood Estimation of Autoregressive Fractionally Integrated Moving Average Models, Economics Papers (2001) View citations (10) (2001)
18. Time Series Modelling of Daily Tax Revenues
    Statistica Neerlandica, 2003, 57, (4), 439-469 View citations (12)
    See also Working Paper Time Series Modelling of Daily Tax Revenues, Tinbergen Institute Discussion Papers (2001) View citations (1) (2001)

2002

19. Inflation, forecast intervals and long memory regression models
    International Journal of Forecasting, 2002, 18, (2), 243-264 View citations (42)
    See also Working Paper Inflation, Forecast Intervals and Long Memory Regression Models, Tinbergen Institute Discussion Papers (2001) View citations (12) (2001)

1999

20. Forecasting long memory left-right political orientations
    International Journal of Forecasting, 1999, 15, (2), 185-199 View citations (5)
21. Long memory and level shifts: Re-analyzing inflation rates
    Empirical Economics, 1999, 24, (3), 427-449 View citations (98)
    See also Working Paper Long Memory and Level Shifts: Re-Analyzing Inflation Rates, Tinbergen Institute Discussion Papers (1998) (1998)
22. Review of SsfPack 2.2: statistical algorithms for models in state space
    Econometrics Journal, 1999, 2, (1), 161-166 View citations (1)

1997

23. A periodic long-memory model for quarterly UK inflation
    International Journal of Forecasting, 1997, 13, (1), 117-126 View citations (35)
24. On Periodic Correlations between Estimated Seasonal and Nonseasonal Components in German and U.S. Unemployment
    Journal of Business & Economic Statistics, 1997, 15, (4), 470-81 View citations (12)
25. On the effect of seasonal adjustment on the log-periodogram regression
    Economics Letters, 1997, 56, (2), 135-141 View citations (10)

Editor

1. Econometrics Journal
   Royal Economic Society
2. Econometrics Journal
   Royal Economic Society