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
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.
He, Y. (2024). Ridge Regression Under Dense Factor Augmented Models Journal of the American Statistical Association, 119(546):1566--1578.
Tommasi, D. and Zhang, L. (2024). Bounding Program Benefits When Participation Is Misreported Journal of Econometrics, 238(1):.
D'Innocenzo, E., Lucas, A., Opschoor, A. and Zhang, X. (2024). Heterogeneity and dynamics in network models Journal of Applied Econometrics, 39(1):150--173.
Discussion Papers
25-021/III - On the Correlations in Linearized Multivariate Stochastic Volatility Models
Date: March 21, 2025
25-022/III - Semiparametric Estimation of Probability Weighting Functions Implicit in Option Prices
Date: March 21, 2025
25-016/III - New rank-based tests and estimators for Common Primitive Shocks
Date: March 07, 2025
25-011/III - Score-driven time-varying parameter models with splinebased densities
Date: February 16, 2025
25-004/III - Copula tensor count autoregressions for modeling multidimensional integer-valued time series
Date: February 05, 2025
Upcoming events
Seminar
| Amsterdam | 12:30 - 13:30
Production Function Estimation using Subjective Expectations...
Aureo de Paula (University College London, United Kingdom)
- Econometrics Seminars and Workshop Series
Seminar
| Amsterdam | 12:30 - 13:30
Title to be announced
Andrei Zeleneev (University College London, United Kingdom)
- Econometrics Seminars and Workshop Series
Workshop
| Amsterdam | 00:00 - 00:00
Econometric Game
Seminar
| Rotterdam | 12:00 - 13:00
At the Edge of Donsker's Theorem: Asymptotics of Multiscale Scan...
Fabian Mies (TU Delft)
- Erasmus Econometric Institute Series
Seminar
| Amsterdam | 12:30 - 13:30
Title to be announced
Vladislav Morozov (University of Bonn, Germany)
- Econometrics Seminars and Workshop Series
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