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
Key Publications
Discussion Papers
24-060/III - PyTimeVar: A Python Package for Trending Time-Varying Time Series Models
Date: September 27, 2024
24-062/III - Robust Multivariate Observation-Driven Filtering for a Common Stochastic Trend: Theory and Application
Date: September 27, 2024
24-059/III - Realized Variances vs. Correlations: Unlocking the Gains in Multivariate Volatility Forecasting
Date: September 20, 2024
24-056/III - Flexible Negative Binomial Mixtures for Credible Mode Inference in Heterogeneous Count Data from Finance, Economics and Bioinformatics
Date: September 13, 2024
24-052/III - Testing for Clustering Under Switching
Date: August 22, 2024
Upcoming events
Weak-Instrument-Robust Subvector Inference in Instrumental Variables...
Malte Londschien (ETH Zurich, Switzerland)
- Econometrics Seminars and Workshop Series
Dutch Economists' Day (NED)
KVS Tinbergen keynote lecture: Pol Antràs (Harvard University, United States)
Title to be announced
Martin Mugnier (University of Oxford, United Kingdom from September 2024: Paris School of Economics, France
- Econometrics Seminars and Workshop Series
Financial Econometrics Meets Machine Learning (FinEML)
Federico Bandi (Johns Hopkins University), Yingying Li (Hong Kong University of Science and Technology), Andrew Patton (Duke University) and Simon Scheidegger (HEC Lausanne)
UvA Master's Week (online)
Director of Graduate Studies and students
Academic Distinctions
Marina Friedrich receives Veni grant for climate research
Marina Friedrich
Artūras Juodis and Simas Kučinskas receive Vladas Jurgutis Award
Arturas Juodis,Simas Kucinskas
Honorable mention for Hande Karabiyik in the Econometric Reviews’...
Hande Karabiyik