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, 249:.
de Santis, R., Goeman, JelleJ., Hemerik, J., Davenport, S. and Finos, L. (2025). Inference in generalized linear models with robustness to misspecified variances Journal of the American Statistical Association, https://doi.org/10.1080/01621459.2025.2491775:.
Friedrich, M. and Lin, Y. (2024). Sieve bootstrap inference for linear time-varying coefficient models Journal of Econometrics, 239(1):1--29.
Discussion Papers
25-042/III - Matrix-Valued Spatial Autoregressions with Dynamic and Robust Heterogeneous Spillovers
Date: July 04, 2025
25-039/III - Conditional Fat Tails and Scale Dynamics for Intraday Discrete Price Changes
Date: June 26, 2025
25-041/III - Revisiting EWMA in High-Frequency Portfolio Optimization: A Comparative Assessment
Date: June 26, 2025
25-036/III - Improving Score-Driven Density Forecasts with an Application to Implied Volatility Surface Dynamics
Date: May 30, 2025
25-037/III - Measuring and Explaining the CDS-Bond Basis Term-Structure Shape and Dynamics
Date: May 30, 2025
Upcoming events
Summer School
| Amsterdam | 09:30 - 16:00
Economics of Blockchain and Digital Currencies (CONFIRMED)
Faculty: Maarten van Oordt
Seminar
| Rotterdam | 12:00 - 13:00
Title to be announced
Phillip Heiler (Aarhus University, Denmark)
- Erasmus Econometric Institute Series
Seminar
| Rotterdam | 12:00 - 13:00
Title to be announced
Yannick Dillschneider
- Erasmus Econometric Institute Series
Seminar
| Amsterdam | 12:30 - 13:30
Title to be announced
Vasilis Sarafidis (Brunel University London, United Kingdom)
- Econometrics Seminars and Workshop Series
Seminar
| Rotterdam | 12:00 - 13:00
A Kernel Score Perspective on Forecast Disagreement and the Linear...
Fabian Krüger (Karlsruhe Institute of Technology, Germany)
- Erasmus Econometric Institute Series
Academic Distinctions
July 04, 2025
NWO Open Competition SSH M Grant
Andre Lucas
July 04, 2025
NWO Open Competition SSH M Grant
Wendun Wang
December 16, 2024
Juan Juan Cai obtains NWO Open Competition Domaine Science-M...
Juan Juan Cai