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
Kleibergen, F. and Zhan, Z. (2020). Robust Inference for Consumption-Based Asset Pricing The Journal of Finance, 75(1):507--550.
Juodis, A., Karabiyik, H. and Westerlund, J. (2020). On the robustness of the pooled CCE estimator Journal of Econometrics, :.
Einmahl, J., Yang, F and Zhou, C. (2020). Testing the multivariate regular variation model Journal of Business and Economic Statistics, accepted:.
Miao, K., Su, L. and Wang, W. (2020). Panel threshold regressions with latent group structures Journal of Econometrics, 213:451--481.
Baştürk, N., Borowska, A., Grassi, S., Hoogerheide, L. and van Dijk, H.K. (2019). Forecast density combinations of dynamic models and data driven portfolio strategies Journal of Econometrics, 210(1):170--186.
Discussion Papers
20-078/III - Dynamic Factor Models with Clustered Loadings: Forecasting Education Flows using Unemployment Data
Date: November 17, 2020
20-076/III - Modeling extreme events: time-varying extreme tail shape
Date: November 10, 2020
20-073/III - A New Class of Robust Observation-Driven Models
Date: October 21, 2020
20-070/III - Estimation of final standings in football competitions with premature ending: the case of COVID-19
Date: October 13, 2020
20-069/III - A multinomial and rank-ordered logit model with inter- and intra-individual heteroscedasticity
Date: September 29, 2020
Upcoming events
Seminar
| Online | 12:00 - 13:15
Optimal Linear Instrumental Variables Approximations
Juan Carlos Escanciano (Universidad Carlos III de Madrid, Spain)
- Econometrics Seminars and Workshop Series
PhD Defense
| Amsterdam | 15:00 - 16:00
Identification Robust Testing in Linear Factor Models
Lingwei Kong
- PhD Defense