Details about James Durbin

This author is deceased (2012-06-23).

Access statistics for papers by James Durbin.

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

Short-id: pdu344

Working Papers

2001

1. An efficient and simple simulation smoother for state space time series analysis
   Computing in Economics and Finance 2001, Society for Computational Economics View citations (9)

1998

2. Fast Filtering and Smoothing for Multivariate State Space Models
   Discussion Paper, Tilburg University, Center for Economic Research View citations (10)
   Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1998) View citations (2)
   See also Journal Article Fast Filtering and Smoothing for Multivariate State Space Models, Journal of Time Series Analysis, Wiley Blackwell (2000) View citations (96) (2000)
3. Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives
   Other publications TiSEM, Tilburg University, School of Economics and Management View citations (1)
   Also in Discussion Paper, Tilburg University, Center for Economic Research (1998) View citations (3)
   See also Journal Article 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 (2000) View citations (117) (2000)

1996

4. A classical problem in linear regression or how to estimate the mean of a univariate normal distribution with known variance
   Discussion Paper, Tilburg University, Center for Economic Research

Journal Articles

2003

1. Filtering and smoothing of state vector for diffuse state‐space models
   Journal of Time Series Analysis, 2003, 24, (1), 85-98 View citations (40)

2002

2. A simple and efficient simulation smoother for state space time series analysis
   Biometrika, 2002, 89, (3), 603-616 View citations (420)

2000

3. Fast Filtering and Smoothing for Multivariate State Space Models
   Journal of Time Series Analysis, 2000, 21, (3), 281-296 View citations (96)
   See also Working Paper Fast Filtering and Smoothing for Multivariate State Space Models, Discussion Paper (1998) View citations (10) (1998)
4. 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, 2000, 62, (1), 3-56 View citations (117)
   See also Working Paper Time Series Analysis of Non-Gaussian Observations Based on State Space Models from Both Classical and Bayesian Perspectives, Other publications TiSEM (1998) View citations (1) (1998)

1999

5. Estimation of Regression Coefficients of Interest When Other Regression Coefficients Are of No Interest
   Econometrica, 1999, 67, (3), 639-644 View citations (67)

1997

6. Benchmarking by State Space Models
   International Statistical Review, 1997, 65, (1), 23-48 View citations (21)

1988

7. Appendix: Statistical Requirements of the AIDS Epidemic
   Journal of the Royal Statistical Society Series A, 1988, 151, (1), 127-130 View citations (1)
8. Is a philosophical consensus for statistics attainable?
   Journal of Econometrics, 1988, 37, (1), 51-61
9. Maximum Likelihood Estimation of the Parameters of a System of Simultaneous Regression Equations
   Econometric Theory, 1988, 4, (1), 159-170 View citations (9)
10. Reply to Stephen E. Fienberg's discussion
    Journal of Econometrics, 1988, 37, (1), 65-65

1981

11. Approximations for densities of sufficient estimators
    Journal of Econometrics, 1981, 16, (1), 165-165

1970

12. An Alternative to the Bounds Test for Testing for Serial Correlation in Least-Squares Regression
    Econometrica, 1970, 38, (3), 422-29 View citations (5)
13. Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables
    Econometrica, 1970, 38, (3), 410-21 View citations (219)

1967

14. Design of Multi‐Stage Surveys for the Estimation of Sampling Errors
    Journal of the Royal Statistical Society Series C, 1967, 16, (2), 152-164 View citations (1)

Books

2012

1. Time Series Analysis by State Space Methods
   OUP Catalogue, Oxford University Press View citations (678)
   Also in OUP Catalogue, Oxford University Press (2001) View citations (839)

Chapters

1978

1. Seasonal Adjustment When the Seasonal Component Behaves Neither Purely Multiplicatively nor Purely Additively
   A chapter in Seasonal Analysis of Economic Time Series, 1978, pp 173-198