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
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, P.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, :.
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.
Discussion Papers
25-034/III - Simulation Smoothing for State Space Models: An Extremum Monte Carlo Approach
Date: May 16, 2025
25-029/III - Clustering Extreme Value Indices in Large Panels
Date: April 25, 2025
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
Upcoming events
Summer School
| Amsterdam | 09:00 - 16:00
Machine Learning for Business (CONFIRMED)
Faculty: Eran Raviv (Business Data Science and APG Asset-Management)
Summer School
| Amsterdam | 09:00 - 16:00
Deep Learning (CONFIRMED)
Faculty: Eran Raviv (Business Data Science and APG Asset-Management)
Summer School
| Amsterdam | 09:00 - 16:00
Economics of Blockchain and Digital Currencies (CONFIRMED)
Faculty: Maarten van Oordt
Workshop
| 09:00 - 18:00
De Nederlandse Economendag (NED)
Keynote: Stefanie Stantcheva (Harvard University, United States)
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