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, 43(4):884--896.
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 - Exponentially weighted estimands and the exponential family: filtering, prediction and smoothing
Date: December 18, 2025
25-065/III - The role of news and social pressure in shaping U.S. public opinion on climate change
Date: November 21, 2025
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
Upcoming events
Seminar
| Rotterdam | 12:00 - 13:00
Title to be announced
Oliver Linton (University of Cambridge, United Kingdom)
- Erasmus Econometric Institute Series
Seminar
| Rotterdam | 12:00 - 13:00
Advancing Time Window Assignment and Vehicle Routing in Last-Mile...
Şifa Çelik (Eindhoven University of Technology)
- Erasmus Econometric Institute Series
Seminar
| Rotterdam | 12:00 - 13:00
Title to be announced
Bernd Schwaab (European Central Bank, Germany)
- Erasmus Econometric Institute Series
Seminar
| Rotterdam | 12:00 - 13:00
Estimation of large approximate dynamic matrix factor models...
Matteo Barigozzi (University of Bologna, Italy)
- Erasmus Econometric Institute Series
Seminar
| Rotterdam | 12:00 - 13:00
Title to be announced
Stanislav Anatolyev (CERGE-EI, Czech Republic)
- Erasmus Econometric Institute Series
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