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
He, Y., Jaidee, S. and Gao, J. (2022). Most powerful test against a sequence of high dimensional local alternatives Journal of Econometrics, :.
Guggenberger, P., Kleibergen, F. and Mavroeidis, S. (2022). A Test for Kronecker Product Structure Covariance Matrix Journal of Econometrics, :.
Blasques, F., Koopman, S.J. and Nientker, M. (2022). A time-varying parameter model for local explosions Journal of Econometrics, 227(1):65--84.
Lumsdaine, R., Okui, R. and Wang, W. (2022). Estimation of panel group structure models with structural breaks in group memberships and coefficients Journal of Econometrics, :.
Blasques, F., Francq, C. and Laurent, S. (2022). Quasi score-driven models Journal of Econometrics, :.
Discussion Papers
23-021/III - A Multilevel Factor Model for Economic Activity with Observation-Driven Dynamic Factors
Date: April 20, 2023
23-018/III - Slow Expectation-Maximization Convergence in Low-Noise Dynamic Factor Models
Date: April 05, 2023
23-016/III - Extremum Monte Carlo Filters: Real-Time Signal Extraction via Simulation and Regression
Date: March 24, 2023
23-007/III - Does trade integration imply growth in Latin America? Evidence from a dynamic spatial spillover model
Date: February 22, 2023
23-004/III - Time-Weighted Difference-in-Differences: Accounting for Common Factors in Short T Panels
Date: February 03, 2023
Upcoming events
Seminar
| Rotterdam | 12:00 - 13:00
Modeling Job Search and Matching with Panel Data on Vacancies...
Robert Miller (Carnegie Mellon University, United States)
- Erasmus Econometric Institute Series
Conference
| Rotterdam | 09:00 - 22:00
Netherlands Econometric Study Group
Seminar
| Rotterdam | 12:00 - 13:00
Sharpe Ratio Shrinkage
Andrea Vedolin (Boston University, United States)
- Erasmus Econometric Institute Series
Seminar
| Rotterdam | 12:00 - 12:30
Extremal Random Forests
Nicola Gnecco (University of Copenhagen, Denmark)
- Erasmus Econometric Institute Series
Summer School
| Amsterdam | 00:00 - 00:00
Networks in Micro- and Macroeconomics
Faculty: Andrei Levchenko (University of Michigan) and Michael D. König (Vrije Universiteit Amsterdam)
Academic Distinctions
June 12, 2023
Daan Opschoor and Terri van der Zwan winners of ECB PhD Paper...
Daan Opschoor,Terri van der Zwan
November 18, 2022
Stan Koobs is jointly awarded the 2022 Gutierrez Toscano Prize
Stan Koobs