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
Boswijk, H., Cavaliere, G., Georgiev, I. and Rahbek, A. (2021). Bootstrapping non-stationary stochastic volatility Journal of Econometrics, :.
Kleibergen, F. and Zhan, Z. (2020). Robust Inference for Consumption-Based Asset Pricing The Journal of Finance, 75(1):507--550.
Li, M., Koopman, S.J., Lit, R. and Petrova, D. (2020). Long-term forecasting of El Niño events via dynamic factor simulations Journal of Econometrics, 214(1):46--66.
Kleibergen, F. (2020). Efficient size correct subset inference in homoskedastic linear instrumental variables regression Journal of Econometrics, :.
Bräuning, F. and Koopman, S.J. (2020). The dynamic factor network model with an application to international trade Journal of Econometrics, 216(2):494--515.
Discussion Papers
21-062/III - Equity Risk Factors for the Long and Short Run: Pricing and Performance at Different Frequencies
Date: July 04, 2021
21-056/III - Vector Autoregressions with Dynamic Factor Coefficients and Conditionally Heteroskedastic Errors
Date: June 28, 2021
21-057/III - Common and Idiosyncratic Conditional Volatility Factors: Theory and Empirical Evidence
Date: June 28, 2021
21-059/III - COVID-19, Credit Risk and Macro Fundamentals
Date: June 28, 2021
21-053/III - Quantifying time-varying forecast uncertainty and risk for the real price of oil
Date: June 13, 2021
Academic Distinctions
April 15, 2021
Team VU Amsterdam with PhD students Quint Wiersma and Mariia...
Mariia Artemova,Quint Wiersma
April 13, 2021
Denis Sargan Econometrics Prize for Arturas Juodis
Arturas Juodis