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
Key Publications
Discussion Papers
24-068/III - Time-Varying Factor Model Components for Effective Momentum Strategy
Date: October 31, 2024
24-066/III - Mitigating Estimation Risk: a Data-Driven Fusion of Experimental and Observational Data
Date: October 27, 2024
24-060/III - PyTimeVar: A Python Package for Trending Time-Varying Time Series Models
Date: September 27, 2024
24-062/III - Robust Multivariate Observation-Driven Filtering for a Common Stochastic Trend: Theory and Application
Date: September 27, 2024
24-059/III - Realized Variances vs. Correlations: Unlocking the Gains in Multivariate Volatility Forecasting
Date: September 20, 2024
Upcoming events
UvA Master's Week (online)
Director of Graduate Studies Benoit Crutzen and students
New rank-based tests and estimators for Common Primitive Shocks
Mirco Rubin (EDHEC Business School, France)
- Econometrics Seminars and Workshop Series
Title to be announced
Ben Deaner (University College London, United Kingdom)
- Econometrics Seminars and Workshop Series
International Econometrics PhD Conference
Senior PhD students
Data-Driven Tuning Parameter Selection for High-Dimensional Vector...
Rasmus Søndergaard Pedersen (University of Copenhagen, Denmark)
- Econometrics Seminars and Workshop Series
Academic Distinctions
An NWO VIDI Grant (€ 850,000) has been awarded to Arturas Juodis...
Arturas Juodis
Marina Friedrich receives Veni grant for climate research
Marina Friedrich
Artūras Juodis and Simas Kučinskas receive Vladas Jurgutis Award
Arturas Juodis,Simas Kucinskas