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
Kleibergen, F. and Zhan, Z. (2020). Robust Inference for Consumption-Based Asset Pricing The Journal of Finance, 75(1):507--550.
Miao, K., Su, L. and Wang, W. (2020). Panel threshold regressions with latent group structures Journal of Econometrics, 213:451--481.
De Haan, L. and Zhou, C. (2020). Trends in extreme value indices Journal of the American Statistical Association, accepted:.
Juodis, A., Karabiyik, H. and Westerlund, J. (2020). On the robustness of the pooled CCE estimator Journal of Econometrics, :.
Einmahl, J., Yang, F and Zhou, C. (2020). Testing the multivariate regular variation model Journal of Business and Economic Statistics, accepted:.
Discussion Papers
21-020/III - Time-varying state correlations in state space models and their estimation via indirect inference
Date: February 24, 2021
21-016/III - A Bayesian Dynamic Compositional Model for Large Density Combinations in Finance
Date: February 10, 2021
21-017/III - Bayes estimates of multimodal density features using DNA and Economic Data
Date: February 10, 2021
21-010/III - Tail Heterogeneity for Dynamic Covariance-Matrix-Valued Random Variables: the F-Riesz Distribution
Date: January 24, 2021
21-008/III - Joint Modelling and Estimation of Global and Local Cross-Sectional Dependence in Large Panels
Date: January 21, 2021