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
Baştürk, N., Borowska, A., Grassi, S., Hoogerheide, L., and van Dijk, H. (2019). Forecast density combinations of dynamic models and data driven portfolio strategies. Journal of Econometrics.
Boswijk, H., Bun, M., and Schinkel, M. (2019). Cartel dating. Journal of Applied Econometrics, 34(1):26-42. With supporting information.
Christensen, B. and van der Wel, M. (2019). An asset pricing approach to testing general term structure models. Journal of Financial Economics, to appear.
Boswijk, H., Laeven, R., and Yang, X. (2018). Testing for self-excitation in jumps. Journal of Econometrics, 203(2):256-266. With supplementary file.
Blasques, F. and Duplinskiy, A. (2018). Penalized indirect inference. Journal of Econometrics, 205(1):34-54.
Discussion Papers
19-021/III - Can Google Search Data Help Predict Macroeconomic Series?
Date: March 15, 2019
19-018/III - Bayesian Risk Forecasting for Long Horizons
Date: February 22, 2019
19-005/III - Autonomous, Connected, Electric Shared vehicles (ACES) and public finance: an explorative analysis
Date: February 20, 2019
19-012/III - Transformed Perturbation Solutions for Dynamic Stochastic General Equilibrium Models
Date: February 20, 2019
19-004/III - Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros
Date: January 11, 2019
Upcoming events
Seminar
| 16:00 - 17:00
A Result and Finding to Differentiate Among Models of Term-Structure...
Gurdip Bakshi (Temple University, United States)
- Econometrics Seminars and Workshop Series
Seminar
| 16:00 - 17:15
Minimizing Sensitivity to Model Misspecification
Martin Weidner (University College London)
- Econometrics Seminars and Workshop Series
Workshop
| 13:00 - 18:00
Panel Data Workshop 2019
Luis Candelaria (University of Warwick), Chris Muris (University of Bristol), Andreas Dzemski (University of Gothenburg), Koen Jochmans (University of Cambridge), Lorenzo Trapani (Nottingham University), Frank Windmeijer (University of Bristol) et al.
- Econometrics Seminars and Workshop Series
Seminar
| 10:00 - 11:00
Testing Identification via Heteroskedasticity in Structural Vector...
Helmut Lütkepohl (Deutsches Institut für Wirtschaftsforschung)
- Econometrics Seminars and Workshop Series
Seminar
| 16:00 - 17:15
Title to be announced
Paolo Zaffaroni (Imperial College London)
- Econometrics Seminars and Workshop Series