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
Seminar
| Rotterdam | 16:00 - 17:30
Quasi Maximum Likelihood Estimation of Large, Approximate Dynamic...
Matteo Barigozzi (London School of Economics, United Kingdom)
- Econometrics Seminars and Workshop Series
Seminar
| Amsterdam | 16:00 - 17:15
Count and Duration Time Series with Equal Conditional Stochastic...
Christian Francq (University of Lille, CREST)
- Econometrics Seminars and Workshop Series
Seminar
| Rotterdam | 16:00 - 17:30
Dynamic Network Perspective of Cryptocurrencies
Wolfgang Härdle (Humbolt Universtät zu Berlin, Germany)
- Econometrics Seminars and Workshop Series
Seminar
| Rotterdam | 16:00 - 17:30
A More Powerful Subvector Anderson Rubin Test in Linear Instrumental...
Patrik Guggenberger (Penn State University, United States)
- Econometrics Seminars and Workshop Series
Seminar
| Amsterdam | 16:00 - 17:15
A more powerful subvector Anderson Rubin Test in Linear Instrumental...
Patrik Guggenberger (Pennsylvania State University, United States)
- Econometrics Seminars and Workshop Series