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.
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.
Li, M., Koopman, S.J., Lit, R. and Petrova, D. (2019). Long-term forecasting of El Niño events via dynamic factor simulations Journal of Econometrics, :.
Karabiyik, H., Palm, FranzC. and Urbain, J.P. (2019). Econometric Analysis of Panel Data Models with Multifactor Error Structures Annual Review of Economics, 11:495--522.
Discussion Papers
20-015/III - Sampling properties of the Bayesian posterior mean with an application to WALS estimation
Date: March 09, 2020
20-008/III - Financial Linkages and Sectoral Business Cycle Synchronization: Evidence from Europe
Date: February 04, 2020
20-009/III - Dynamic clustering of multivariate panel data
Date: February 04, 2020
20-004/III - Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects
Date: January 27, 2020
18-076/III - Forecast Density Combinations of Dynamic Models and Data Driven Portfolio Strategies
Date: January 06, 2020
Upcoming events
Seminar
| Amsterdam | 16:00 - 17:15
SEMINAR CANCELLED
Yacine Ait-Sahalia (Princeton University, United States)
- Econometrics Seminars and Workshop Series
Seminar
| Rotterdam | 16:00 - 17:00
High-Dimensional Functional Factor Models
Shahin Tavakoli (University of Warwick, United Kingdom)
- Seminars Econometric Institute
Seminar
| Amsterdam | 16:00 - 17:15
SEMINAR CANCELLED
Eric Hillebrand (Aarhus University, Denmark)
- Econometrics Seminars and Workshop Series
Seminar
| Amsterdam | 16:00 - 17:15
SEMINAR CANCELLED
Linbo Wang (University of Toronto, Canada)
- Econometrics Seminars and Workshop Series
Tinbergen Institute Lectures
| Rotterdam | 09:00 - 17:00
ECONOMETRICS LECTURES CANCELLED
Yacine Ait-Sahalia (Princeton University, United States)
- Econometrics Lecture Series