Econometrics
Tinbergen Institute benefits from the strong tradition in econometrics in the Netherlands. Research interests include time series econometrics, panel data, Bayesian econometrics, applied econometrics and econometric methodology. Applications can be found in areas as diverse as monetary economics, labor economics, marketing and asset pricing.
Econometrics
Tinbergen Institute benefits from the strong tradition in econometrics in the Netherlands. Research interests include time series econometrics, panel data, Bayesian econometrics, applied econometrics and econometric methodology. Applications can be found in areas as diverse as monetary economics, labor economics, marketing and asset pricing.
Researchers in this field
Fellows
Fellows
PhD Students
PhD Students
Key Publications
Baştürk, N., Borowska, A., Grassi, S., Hoogerheide, L., and van Dijk, H. (2019). Forecast density combinations of dynamic models and data driven portfolio strategies. Journal of Econometrics.
Boswijk, H., Bun, M., and Schinkel, M. (2019). Cartel dating. Journal of Applied Econometrics, 34(1):26-42. With supporting information.
Christensen, B. and van der Wel, M. (2019). An asset pricing approach to testing general term structure models. Journal of Financial Economics, to appear.
Karabiyik, H. and Palm, FranzC. and Urbain, J.P. (2019). Econometric Analysis of Panel Data Models with Multifactor Error Structures Annual Review of Economics, 11:495--522.
Karabiyik, H. and Urbain, J.P. and Westerlund, J. (2019). CCE estimation of factor-augmented regression models with more factors than observables Journal of Applied Econometrics, 34(2):268--284.
Discussion Papers
19-083/III - Bootstrapping Non-Stationary Stochastic Volatility
Date: December 01, 2019
19-056/III - Dynamics in clickthrough and conversion probabilities of paid search advertisements
Date: August 19, 2019
19-057/III - Partially Censored Posterior for Robust and Efficient Risk Evaluation
Date: August 19, 2019
19-058/III - Backtesting Value-at-Risk and Expected Shortfall in the Presence of Estimation Error
Date: August 19, 2019
19-043/III - Adaptive Testing for Cointegration with Nonstationary Volatility
Date: June 21, 2019