Econometrics
Tinbergen Institute benefits from the strong tradition in econometrics in the Netherlands. Research interests include machine learning, causal inference, time series econometrics, panel data, Bayesian econometrics, mathematical statistics and econometric methodology. Applications can be found in areas as diverse as monetary economics, labor economics, marketing, finance and climate.
Econometrics
Tinbergen Institute benefits from the strong tradition in econometrics in the Netherlands. Research interests include machine learning, causal inference, time series econometrics, panel data, Bayesian econometrics, mathematical statistics and econometric methodology. Applications can be found in areas as diverse as monetary economics, labor economics, marketing, finance and climate.
Researchers in this field
Fellows and Faculty
Fellows and Faculty
PhD Students
PhD Students
Key Publications
Beutner, E., Lin, Y. and Lucas, A. (2026). Consistency, distributional convergence, and optimality of time-varying parameters in score-driven models Journal of Econometrics, 255:1--21.
De Vos, I. and Everaert, G. (2026). GLS estimation of local projections: Trading robustness for efficiency Journal of Econometrics, 253.
Juodis, A. and Reese, S. (2026). Five lessons for applied researchers from twenty years of common correlated effects estimation Journal of Econometrics, 253.
Leng, X.(., Sojli, E., Tham, W. and Wang, W. (2026). Time-Varying Group Unobserved Heterogeneity in Finance Journal of Business and Economic Statistics, 44(2):587--600.
Boswijk, H.Peter, Laeven, RogerJ.A., Lalu, A. and Vladimirov, E. (2026). Jump Contagion among Stock Market Indices: Evidence from Option Markets Journal of the American Statistical Association.
Discussion Papers
26-070/III - Market-Informed Networks for Modeling and Forecast Evaluation of Financial Extremes
Date: September 10, 2026
26-068/III - Filtering without Recursion and Some of Its Uses in Financial Economics
Date: September 10, 2026
26-061/III - Composite Univariate Modeling of Realized Covariance Matrix Dynamics and Volatility-at-Risk
Date: August 28, 2026
26-060/III - Joint Eigenvector and Eigenvalue Dynamics with an Application to Time-Varying Covariance Matrices
Date: August 28, 2026
26-057/III - A Dynamic Nonlinear Panel Decomposition Model for the Global Environmental Kuznets Curve
Date: August 18, 2026
Upcoming events
Seminar
| Rotterdam | 12:00 - 13:00
A Robust Test for Equal Predictive Accuracy
Yannick Hoga (Universität Duisburg-Essen, Germany)
- Erasmus Econometric Institute Series
Seminar
| Amsterdam | 12:00 - 13:00
Group-Level Treatment Effect Heterogeneity in Difference-in-Differences:...
Torben Johansen (University of Southern Denmark)
- Econometrics Seminars and Workshop Series
Seminar
| Rotterdam | 12:00 - 13:00
Higher-Order Neyman Orthogonality in Moment-Condition Models
Martin Weidner (University of Oxford, United Kingdom)
- Erasmus Econometric Institute Series
Seminar
| Rotterdam | 12:00 - 13:00
Principles and Flexibility in Multiple Testing
Jelle Goeman (Leiden University Medical Center)
- Erasmus Econometric Institute Series
Seminar
| Amsterdam | 12:00 - 13:00
Efficient Volatility-Managed Portfolios
Christian Conrad (Heidelberg University, Germany)
- Econometrics Seminars and Workshop Series
Academic Distinctions
October 08, 2025
Frank Kleibergen elected Fellow of the Econometric Society
Frank Kleibergen
July 17, 2025
Lina Zhang receives Veni research grant
Lina Zhang
July 15, 2025
Annika receives an NWO Open Competition SSH XS grant
Annika Camehl