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
Fellows
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
24-069/III - Joint extreme Value-at-Risk and Expected Shortfall dynamics with a single integrated tail shape parameter
Date: November 08, 2024
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
Upcoming events
Seminar
| Rotterdam | 12:00 - 13:00
Assessing solution quality in risk-averse stochastic programmes
Ruben van Beesten (Erasmus University Rotterdam)
- Erasmus Econometric Institute Series
Seminar
| Amsterdam | 12:30 - 13:30
Data-Driven Tuning Parameter Selection for High-Dimensional Vector...
Rasmus Søndergaard Pedersen (University of Copenhagen, Denmark)
- Econometrics Seminars and Workshop Series
Open Day
| Rotterdam | 10:00 - 16:00
EUR Master Open Day (Hybrid event)
Director of Graduate Studies and students
Seminar
| Rotterdam | 12:00 - 13:00
Network Dual Reoptimisation Policies and Bounds for Managing...
Alessio Trivella (University of Twente)
- Erasmus Econometric Institute Series
Seminar
| Amsterdam | 12:30 - 13:30
Title to be announced
Jean-Marc Robin (Sciences Po, France)
- Econometrics Seminars and Workshop Series
Academic Distinctions
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
February 13, 2024
Artūras Juodis and Simas Kučinskas receive Vladas Jurgutis Award
Arturas Juodis,Simas Kucinskas