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
25-011/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
25-006/III - Stability and performance guarantees for misspecified multivariate score-driven filters
Date: February 05, 2025
24-082/III - Dynamic kernel models
Date: December 31, 2024
24-077/III - Three-Sided Testing to Establish Practical Significance: A Tutorial
Date: December 20, 2024
Upcoming events
Seminar
| Rotterdam | 12:00 - 13:00
Joint Estimation of Conditional Mean and Covariance for Unbalanced...
Paul Schneider (Università della Svizzera italiana, Switzerland)
- Erasmus Econometric Institute Series
Seminar
| Amsterdam | 13:00 - 14:00
Title to be announced
Julia Koh (Tilburg University)
- Econometrics Seminars and Workshop Series
Seminar
| Rotterdam | 12:00 - 13:00
Do Public Equities Span Private Equity Returns?
Mirco Rubin (EDHEC Business School, France)
- Erasmus Econometric Institute Series
Seminar
| Amsterdam | 13:00 - 14:00
Genuinely Robust Inference for Clustered Data
Yulong Wang (Syracuse University, United States)
- Econometrics Seminars and Workshop Series
PhD Defense
| Amsterdam | 13:45 - 15:15
Studies in Observation-Driven Time Series Models: Theory, Methods,...
Mariia Artemova
- PhD Defense
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