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
25-029/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
25-026/III - Observation-Driven Hierarchical Density Models for Missing Data Imputation
Date: April 11, 2025
Upcoming events
Seminar
| Rotterdam | 12:00 - 13:00
From Explainable AI to Generative Modeling with Tree-Based Machine...
Marvin N. Wright (Leibniz Institute for Prevention Research and Epidemiology and University of Bremen, Germany)
- Erasmus Econometric Institute Series
Seminar
| Rotterdam | 12:00 - 13:00
Systemic Risk: CoVaR, Comovement, and Portfolio Selection
Liang Peng (Georgia State University, United States)
- Erasmus Econometric Institute Series
Seminar
| Amsterdam | 12:30 - 13:30
Inference on Union Bounds
Xinyue Bei (University of Texas at Austin, United States)
- Econometrics Seminars and Workshop Series
Seminar
| Rotterdam | 12:00 - 13:00
Bounds of the Market Risk Premium
Jens Jackwerth (University of Konstanz, Germany)
- Erasmus Econometric Institute Series
Workshop
| Rotterdam | 09:00 - 17:30
Research Workshop on Inference and Optimality in Econometrics
Keynote by Isaiah Andrews (Massachusetts Institute of Technology, United States). Bertille Antoine (Simon Fraser University, Canada), Ismael Yacoub Mourifie (Washington University in St Louis, United States), David Preinerstorfer (Vienna University of Economics and Business, Austria), Liyang Sun (UCL, United Kingdom), and Frank Windmeijer (University of Oxford, United Kingdom).
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