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
21-027/III - Sectoral slowdowns in the UK: Evidence from transmission probabilities and economic linkages
Date: April 05, 2021
21-020/III - Time-varying state correlations in state space models and their estimation via indirect inference
Date: February 24, 2021
21-016/III - A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance
Date: February 10, 2021
21-017/III - Bayes estimates of multimodal density features using DNA and Economic Data
Date: February 10, 2021
21-010/III - Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution
Date: January 24, 2021