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
He, Y., Jaidee, S. and Gao, J. (2022). Most powerful test against a sequence of high dimensional local alternatives Journal of Econometrics, :.
Guggenberger, P., Kleibergen, F. and Mavroeidis, S. (2022). A Test for Kronecker Product Structure Covariance Matrix Journal of Econometrics, :.
Blasques, F., Koopman, S.J. and Nientker, M. (2022). A time-varying parameter model for local explosions Journal of Econometrics, 227(1):65--84.
Lumsdaine, R., Okui, R. and Wang, W. (2022). Estimation of panel group structure models with structural breaks in group memberships and coefficients Journal of Econometrics, :.
Blasques, F., Francq, C. and Laurent, S. (2022). Quasi score-driven models Journal of Econometrics, :.
Discussion Papers
22-022/III - Asymptotic properties of the weighted-average least squares (WALS) estimator
Date: March 03, 2022
22-013/III - A Flexible Predictive Density Combination Model for Large Financial Data Sets in Regular and Crisis Periods
Date: February 14, 2022
22-011/III - A Smooth Shadow-Rate Dynamic Nelson-Siegel Model for Yields at the Zero Lower Bound
Date: February 03, 2022
22-001/III - Maximum Likelihood Estimation for Non-Stationary Location Models with Mixture of Normal Distributions
Date: January 06, 2022
21-109/III - Heterogeneous Macro and Financial Effects of ECB Asset Purchase Programs
Date: December 24, 2021
Upcoming events
Seminar
| Rotterdam | 12:00 - 13:00
Market Basket Analysis for Large Assortments with Transformers
Luuk van Maasakkers
- Brown Bag in Business Economics - Marketing
Seminar
| Rotterdam | 12:00 - 13:00
Title to be announced
Aishameriane Schmidt
- PhD Lunch Seminars
PhD Defense
| Amsterdam | 11:00 - 12:30
Estimation and Identification in Macroeconomic Models with Incomplete...
Eva Janssens
PhD Defense
| Rotterdam | 13:00 - 14:30
Extremes in Statistics and Econometrics
Jochem Oorschot
Academic Distinctions
April 12, 2022
Phyllis Wan has been awarded an NWO VENI grant (€ 280,000)
Phyllis Wan
April 15, 2021
Team VU Amsterdam with PhD students Quint Wiersma and Mariia...
Mariia Artemova,Quint Wiersma