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
19-004/III - Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros
Date: January 11, 2019
18-099/III - Estimation Risk and Shrinkage in Vast-Dimensional Fundamental Factor Models
Date: December 22, 2018
18-085/III - Likelihood based inference for an Identifiable Fractional Vector Error Correction Model
Date: November 16, 2018
18-088/III - A Time-Varying Parameter Model for Local Explosions
Date: November 16, 2018
18-069/III - The Evolution of Forecast Density Combinations in Economics
Date: September 02, 2018
Upcoming events
Seminar
| 12:00 - 13:00
Distribution Regression with Selection, with an Application to...
Ivan Fernandez-Val (Boston University, United States)
- Seminars Econometric Institute
PhD Defense
| 13:30 - 15:00
Essays in Applied Time Series Analysis
Bart Keijsers , Bart Keijsers (Erasmus University Rotterdam)
- PhD Defense
PhD Defense
| 11:30 - 13:00
In and Outside the Tails: Making and Evaluating Forecasts
Sander Barendse , Sander Barendse (Erasmus University Rotterdam)
- PhD Defense
Seminar
| 16:00 - 17:00
Can Academic Research Generate New Anomalies?
Alex Horenstein (University of Miami, United States)
- Seminars Econometric Institute
Workshop
| 13:00 - 18:00
Workshop on panel data
Luis Candelaria (University of Warwick), Chris Muris (University of Bristol), Andreas Dzemski (University of Gothenburg), Koen Jochmans (University of Cambridge), Lorenzo Trapani (Nottingham University), Frank Windmeijer (University of Bristol) et al.