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
19-025/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
19-012/III - Transformed Perturbation Solutions for Dynamic Stochastic General Equilibrium Models
Date: February 20, 2019
Upcoming events
Seminar
| 16:00 - 17:00
Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration...
Dumitrescu Elena Ivona (Université Paris Nanterre, France)
- Econometrics Seminars and Workshop Series
Conference
| 09:00 - 17:00
Econometric Institute International PhD Conference
PhD Students
- Econometrics Seminars and Workshop Series
Tinbergen Institute Lectures
| 00:00 - 00:00
Tools for Analyzing Big Data and Complex Models
Serena Ng (Columbia University)
- Econometrics Lecture Series
Seminar
| 16:00 - 17:15
Title to be announced
Catherine Doz (Paris School of Economics)
- Econometrics Seminars and Workshop Series
Seminar
| 12:00 - 13:00
Title to be Announced
Ioulia Ossokina (Eindhoven University of Technology)
- Brown Bag Seminars General Economics