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.
Boswijk, H., Laeven, R., and Yang, X. (2018). Testing for self-excitation in jumps. Journal of Econometrics, 203(2):256-266. With supplementary file.
Blasques, F. and Duplinskiy, A. (2018). Penalized indirect inference. Journal of Econometrics, 205(1):34-54.
Discussion Papers
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
19-025/III - Forecast Density Combinations with Dynamic Learning for Large Data Sets in Economics and Finance
Date: April 01, 2019
Upcoming events
MPhil thesis defense
| 15:00 - 16:00
Thesis title to be announced
Janneke van Brummelen
- MPhil Defense
MPhil thesis defense
| 16:15 - 17:15
Thesis title to be announced
Quint Wiersma
- MPhil Defense
Seminar
| 16:00 - 17:15
Title to be announced
Laura Liu (Indiana University Bloomington, United States)
- Econometrics Seminars and Workshop Series
PhD Defense
| 13:45 - 14:45
On the Stability of Stochastic Dynamic Systems and their use...
Marc (M.H.C.) Nientker
- PhD Defense