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
22-001/III - Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions
Date: January 06, 2022
21-109/III - Heterogeneous Macro and Financial Effects of ECB Asset Purchase Programs
Date: December 24, 2021
21-107/III - Sieve Bootstrap Inference for Time-Varying Coefficient Models
Date: December 21, 2021
21-105/III - Gauss on Least-Squares and Maximum-Likelihood Estimation
Date: November 26, 2021
21-106/III - Statistics and Common Sense
Date: November 26, 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