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
19-043/III - Adaptive Testing for Cointegration with Nonstationary Volatility
Date: June 21, 2019
19-025/III - Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance
Date: April 01, 2019
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