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
De Vos, I. and Everaert, G. (2026). GLS estimation of local projections: Trading robustness for efficiency Journal of Econometrics, 253:1--20.
Beutner, E., Lin, Y. and Lucas, A. (2026). Consistency, distributional convergence, and optimality of time-varying parameters in score-driven models Journal of Econometrics, 255:1--21.
Juodis, A. and Reese, S. (2026). Five lessons for applied researchers from twenty years of common correlated effects estimation Journal of Econometrics, 253.
Leng, X.(., Sojli, E., Tham, W. and Wang, W. (2026). Time-Varying Group Unobserved Heterogeneity in Finance Journal of Business and Economic Statistics, 44(2):587--600.
Boswijk, H.Peter, Laeven, RogerJ.A., Lalu, A. and Vladimirov, E. (2026). Jump Contagion among Stock Market Indices: Evidence from Option Markets Journal of the American Statistical Association.
Discussion Papers
26-086/II - Copying Transaction Prices: How Dutch Housing Appraisals Track Idiosyncratic Variation
Date: October 20, 2026
26-082/II - Stochastic Volatility Models with Stable Disturbances: Estimation via linearization
Date: October 02, 2026
26-074/III - New Early-Warning Indicators of Macro-Financial Risk: A Mixture-of-Experts Approach
Date: September 25, 2026
26-073/III - Synchronized Time Series Models for National Accounts Data
Date: September 24, 2026
26-070/III - Market-Informed Networks for Modeling and Forecast Evaluation of Financial Extremes
Date: September 10, 2026
Upcoming events
Seminar
| Rotterdam | 12:00 - 13:00
Bootstrapping Autoregressive Duration Models
Anders Rahbek (University of Copenhagen, Denmark)
- Erasmus Econometric Institute Series
Seminar
| Amsterdam | 16:50 - 17:35
Filtering without Recursion and some of its uses in Financial...
Simon Donker van Heel
- PhD Seminars
Seminar
| Rotterdam | 12:00 - 13:00
Learning, Heuristics and Anchored Inflation: How do Different...
Kevin Lee (The University of Nottingham, United Kingdom)
- Erasmus Econometric Institute Series
Seminar
| Amsterdam | 12:00 - 13:00
Sparse Tree-Based Aggregation for Time Series Regressions
Ines Wilms (Maastricht University)
- Econometrics Seminars and Workshop Series
Seminar
| Amsterdam | 12:00 - 13:00
Title to be announced
Kevin Dano (Princeton University, United States)
- Econometrics Seminars and Workshop 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