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.
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, :.
Karabiyik, H., Palm, FranzC. and Urbain, J.P. (2019). Econometric Analysis of Panel Data Models with Multifactor Error Structures Annual Review of Economics, 11:495--522.
Discussion Papers
20-023/III - Smooth marginalized particle filters for dynamic network effect models
Date: May 10, 2020
20-015/III - Sampling properties of the Bayesian posterior mean with an application to WALS estimation
Date: March 09, 2020
20-008/III - Financial Linkages and Sectoral Business Cycle Synchronization: Evidence from Europe
Date: February 04, 2020
20-009/III - Dynamic clustering of multivariate panel data
Date: February 04, 2020
20-004/III - Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects
Date: January 27, 2020
Upcoming events
Seminar
| Online | 16:00 - 17:00
Webinar: Some Unexplored Connections between Measure Transportation...
Davide La Vecchia (Geneva School of Economics and Management, Switzerland)
- Seminars Econometric Institute
Seminar
| Amsterdam | 16:00 - 17:15
Testing for Observation-dependent Regime Switchingin Mixture...
Mika Meitz (University of Helsinki, Finland)
- Econometrics Seminars and Workshop Series
Seminar
| Amsterdam | 16:00 - 17:15
Optimal Linear Instrumental Variables Approximations
Juan Carlos Escanciano (Universidad Carlos III de Madrid, Spain)
- Econometrics Seminars and Workshop Series