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
Kleibergen, F. and Kong, L. (2025). Identification robust inference for the risk premium in term structure models Journal of Econometrics, 248:.
Frazier, D., Renault, E., Zhang, L. and Zhao, X. (2025). Weak Identification in Discrete Choice Models Journal of Econometrics, 248:.
Margaritella, L. and Sessinou, R. (2025). Precision Least Squares: Estimation and Inference in High-Dimensions Journal of Business and Economic Statistics, :.
Paap, R. and Franses, \.H. (2025). Shrinkage estimators for periodic autoregressions Journal of Econometrics, 247:.
Bertsch, C., Hull, I., Lumsdaine, \RobinL.\ and Zhang, X. (2025). Central bank mandates and monetary policy stances: Through the lens of Federal Reserve speeches Journal of Econometrics, 249:.
Discussion Papers
25-063/III - Testing for the Absence of Score-Driven Parameter Dynamics
Date: October 24, 2025
25-056/III - Do shocks divide or unite: Evidence from the Netherlands
Date: September 26, 2025
25-051/III - An Impartial Look at Asset Correlation Stability and Market Structure
Date: September 19, 2025
25-053/III - Exploring the crime drop in European Union homicide rates using econometric modeling
Date: September 19, 2025
25-048/III - More information, less precision: meta-analysis through random effects
Date: August 22, 2025
Upcoming events
Seminar
| Amsterdam | 12:30 - 13:30
High-Dimensional Mean–Variance Optimization with Nuclear Hedging...
Rasmus Lönn (Erasmus University Rotterdam)
- Econometrics Seminars and Workshop Series
Seminar
| Rotterdam | 12:00 - 13:00
In-Sample Calibration Yields Conformal Calibration Guarantees
Johanna Ziegel (ETH Zurich, Switzerland)
- Erasmus Econometric Institute Series
Seminar
| Amsterdam | 12:30 - 14:00
Title to be announced
Kirill Ponomarev (The University of Chicago, United States) and Silvia Sarpietro (University of Bologna)
- Econometrics Seminars and Workshop Series
Seminar
| Rotterdam | 12:00 - 13:00
Shapley Instruments
Giovanni Mellace (University of Southern Denmark)
- Erasmus Econometric Institute Series
Workshop
| Rotterdam | 09:00 - 17:00
4th International Econometrics PhD Conference
PhD students
Academic Distinctions
October 08, 2025
Frank Kleibergen elected Fellow of the Econometric Society
Frank Kleibergen
July 17, 2025
Lina Zhang receives Veni research grant
Lina Zhang
July 15, 2025
Annika receives an NWO Open Competition SSH XS grant
Annika Camehl