Econometrics
Tinbergen Institute benefits from the strong tradition in econometrics in the Netherlands. Research interests include time series econometrics, panel data, Bayesian econometrics, applied econometrics and econometric methodology. Applications can be found in areas as diverse as monetary economics, labor economics, marketing and asset pricing.
Econometrics
Tinbergen Institute benefits from the strong tradition in econometrics in the Netherlands. Research interests include time series econometrics, panel data, Bayesian econometrics, applied econometrics and econometric methodology. Applications can be found in areas as diverse as monetary economics, labor economics, marketing and asset pricing.
Researchers in this field
Fellows
Fellows
PhD Students
PhD Students
Key Publications
Kleibergen, F. and Zhan, Z. (2020). Robust Inference for Consumption-Based Asset Pricing The Journal of Finance, 75(1):507--550.
Juodis, A., Karabiyik, H. and Westerlund, J. (2020). On the robustness of the pooled CCE estimator Journal of Econometrics, :.
Miao, K., Su, L. and Wang, W. (2020). Panel threshold regressions with latent group structures Journal of Econometrics, 213:451--481.
Baştürk, N., Borowska, A., Grassi, S., Hoogerheide, L. and van Dijk, H.K. (2019). Forecast density combinations of dynamic models and data driven portfolio strategies Journal of Econometrics, 210(1):170--186.
Li, M., Koopman, S.J., Lit, R. and Petrova, D. (2019). Long-term forecasting of El Niño events via dynamic factor simulations Journal of Econometrics, :.
Discussion Papers
21-008/III - Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels
Date: January 21, 2021
21-004/III - Robust Estimation of Probit Models with Endogeneity
Date: January 14, 2021
21-006/III - Forecasting in a changing world: from the great recession to the COVID-19 pandemic
Date: January 14, 2021
21-007/III - Weak versus strong dominance of shrinkage estimators
Date: January 14, 2021
20-078/III - Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data
Date: November 17, 2020