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James Durbin

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Personal Details

First Name: James
Middle Name:
Last Name: Durbin
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RePEc Short-ID: pdu344

Homepage: http://en.wikipedia.org/wiki/James_Durbin
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Affiliation

This author is deceased (Date: 23 Jun 2012)

Works

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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. 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.
  3. 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. 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.

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, 01.
  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.
  4. 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.
  5. Durbin, J., 1988. "Reply to Stephen E. Fienberg's discussion," Journal of Econometrics, Elsevier, vol. 37(1), pages 65-65, January.
  6. Durbin, James, 1988. "Maximum Likelihood Estimation of the Parameters of a System of Simultaneous Regression Equations," Econometric Theory, Cambridge University Press, vol. 4(01), pages 159-170, April.
  7. Durbin, J., 1988. "Is a philosophical consensus for statistics attainable?," Journal of Econometrics, Elsevier, vol. 37(1), pages 51-61, January.
  8. Durbin, J., 1981. "Approximations for densities of sufficient estimators," Journal of Econometrics, Elsevier, vol. 16(1), pages 165-165, May.
  9. 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 422-29, May.
  10. 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 410-21, May.

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, 2012. "Time Series Analysis by State Space Methods: Second Edition," OUP Catalogue, Oxford University Press, number 9780199641178.
  2. Durbin, James & Koopman, Siem Jan, 2001. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, number 9780198523543.

NEP Fields

2 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CMP: Computational Economics (1) 2001-05-02. Author is listed
  2. NEP-ECM: Econometrics (2) 1999-03-08 2001-05-02. Author is listed
  3. NEP-ETS: Econometric Time Series (2) 1999-03-08 2001-05-02. Author is listed

Statistics

This author is among the top 5% authors according to these criteria:
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