Econometrics
Tinbergen Institute benefits from the strong tradition in econometrics in the Netherlands. Research interests include machine learning, causal inference, time series econometrics, panel data, Bayesian econometrics, mathematical statistics and econometric methodology. Applications can be found in areas as diverse as monetary economics, labor economics, marketing, finance and climate.
Econometrics
Tinbergen Institute benefits from the strong tradition in econometrics in the Netherlands. Research interests include machine learning, causal inference, time series econometrics, panel data, Bayesian econometrics, mathematical statistics and econometric methodology. Applications can be found in areas as diverse as monetary economics, labor economics, marketing, finance and climate.
Researchers in this field
Fellows and Faculty
Fellows and Faculty
PhD Students
PhD Students
Key Publications
Friedrich, M. and Lin, Y. (2024). Sieve bootstrap inference for linear time-varying coefficient models Journal of Econometrics, 239(1):1--29.
de Haan, L. and Zhou, C. (2024). Bootstrapping Extreme Value Estimators Journal of the American Statistical Association, 119(545):382--393.
He, Y. (2024). Ridge Regression Under Dense Factor Augmented Models Journal of the American Statistical Association, 119(546):1566--1578.
Tommasi, D. and Zhang, L. (2024). Bounding Program Benefits When Participation Is Misreported Journal of Econometrics, 238(1):.
D'Innocenzo, E., Lucas, A., Opschoor, A. and Zhang, X. (2024). Heterogeneity and dynamics in network models Journal of Applied Econometrics, 39(1):150--173.
Discussion Papers
25-027/III - Functional Location-Scale Models with Robust Observation-Driven Dynamics
Date: April 17, 2025
25-024/III - Food prices and production in the aftermath of natural disasters: the case of Peru
Date: April 11, 2025
25-025/III - Forecasting Atmospheric Ethane: Application to the Jungfraujoch Measurement Station
Date: April 11, 2025
25-026/III - Observation-Driven Hierarchical Density Models for Missing Data Imputation
Date: April 11, 2025
25-021/III - On the Correlations in Linearized Multivariate Stochastic Volatility Models
Date: March 21, 2025
Upcoming events
Seminar
| Rotterdam | 12:00 - 13:00
How to Bet on Winners and Losers
André B.M. Souza (ESADE Business School, Spain)
- Erasmus Econometric Institute Series
Seminar
| Rotterdam | 12:00 - 13:00
Disentangling Structural Breaks in Factor Models for Macroeconomic...
Bonsoo Koo (Monash University, Australia)
- Erasmus Econometric Institute Series
Seminar
| Rotterdam | 12:00 - 13:00
Inference in Time-Varying SVARs Identified with Sign Restrictions...
Jonas Arias (Federal Reserve Bank of Philadelphia, United States)
- Erasmus Econometric Institute Series
Seminar
| Rotterdam | 12:00 - 13:00
Identifying the Portfolio Balance Mechanism
Jefferson Duarte (Rice University, United States)
- Erasmus Econometric Institute Series
Seminar
| Rotterdam | 12:00 - 13:00
Title to be announced
Marvin N. Wright (Leibniz Institute for Prevention Research and Epidemiology – BIPS & University of Bremen, Germany)
- Erasmus Econometric Institute Series
Academic Distinctions
December 16, 2024
Juan Juan Cai obtains NWO Open Competition Domaine Science-M...
Juan Juan Cai
October 24, 2024
An NWO VIDI Grant (€ 850,000) has been awarded to Arturas Juodis...
Arturas Juodis
July 17, 2024
Marina Friedrich receives Veni grant for climate research
Marina Friedrich