Econometrics
Tinbergen Institute benefits from the strong tradition in econometrics in the Netherlands. Research interests include machine learning, causal inference, time series econometrics, panel data, Bayesian econometrics, mathematical statistics and econometric methodology. Applications can be found in areas as diverse as monetary economics, labor economics, marketing, finance and climate.
Econometrics
Tinbergen Institute benefits from the strong tradition in econometrics in the Netherlands. Research interests include machine learning, causal inference, time series econometrics, panel data, Bayesian econometrics, mathematical statistics and econometric methodology. Applications can be found in areas as diverse as monetary economics, labor economics, marketing, finance and climate.
Researchers in this field
Fellows and Faculty
Fellows and Faculty
PhD Students
PhD Students
Key Publications
Beutner, E., Lin, Y. and Lucas, A. (2026). Consistency, distributional convergence, and optimality of time-varying parameters in score-driven models Journal of Econometrics, 255:1--21.
De Vos, I. and Everaert, G. (2026). GLS estimation of local projections: Trading robustness for efficiency Journal of Econometrics, 253:1--20.
Juodis, A. and Reese, S. (2026). Five lessons for applied researchers from twenty years of common correlated effects estimation Journal of Econometrics, 253.
Leng, X.(., Sojli, E., Tham, W. and Wang, W. (2026). Time-Varying Group Unobserved Heterogeneity in Finance Journal of Business and Economic Statistics, 44(2):587--600.
Boswijk, H.Peter, Laeven, RogerJ.A., Lalu, A. and Vladimirov, E. (2026). Jump Contagion among Stock Market Indices: Evidence from Option Markets Journal of the American Statistical Association.
Discussion Papers
26-090/III - Joint Modeling of Sectoral Inflation Dynamics in Eurozone Countries
Date: November 05, 2026
26-086/III - Copying Transaction Prices: How Dutch Housing Appraisals Track Idiosyncratic Variation
Date: October 20, 2026
26-082/III - Stochastic Volatility Models with Stable Disturbances: Estimation via linearization
Date: October 02, 2026
26-074/III - New Early-Warning Indicators of Macro-Financial Risk: A Mixture-of-Experts Approach
Date: September 25, 2026
26-073/III - Synchronized Time Series Models for National Accounts Data
Date: September 24, 2026
Upcoming events
Seminar
| Amsterdam | 12:00 - 13:00
Dynamic Panel Multinomial Logit Models
Kevin Dano (Princeton University, United States)
- Econometrics Seminars and Workshop Series
Workshop
| Amsterdam | 09:30 - 17:00
VECoS 2026
Keynotes: Karten Wolf (University of Rostock, Germany) and Sandjai Bhulai (Vrije Universiteit Amsterdam)
Seminar
| Rotterdam | 12:00 - 13:00
Semiparametric Forecast Comparison in Unstable Environments
Laura Coroneo (University of York, United Kingdom)
- Erasmus Econometric Institute Series
Seminar
| Rotterdam | 12:00 - 13:00
Realized Autoregressive Conditional Betas
Sébastien Laurent (Aix-Marseille Université, France)
- Erasmus Econometric Institute Series
Seminar
| Amsterdam | 12:00 - 13:00
Title to be announced
Christoph Breunig (University of Bonn, Germany)
- Econometrics Seminars and Workshop Series
Academic Distinctions
October 08, 2025
Frank Kleibergen elected Fellow of the Econometric Society
Frank Kleibergen
July 17, 2025
Lina Zhang receives Veni research grant
Lina Zhang
July 15, 2025
Annika receives an NWO Open Competition SSH XS grant
Annika Camehl