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
19-018/III - Bayesian Risk Forecasting for Long Horizons
Date: February 22, 2019
19-005/III - Autonomous, Connected, Electric Shared vehicles (ACES) and public finance: an explorative analysis
Date: February 20, 2019
19-012/III - Transformed Perturbation Solutions for Dynamic Stochastic General Equilibrium Models
Date: February 20, 2019
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
Upcoming events
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
Panel Data Workshop 2019
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.
Seminar
| 16:00 - 17:15
Title to be announced
James Hamilton (University of California at San Diego, United States) and Yuya Sasaki (Vanderbilt University, United States)
- Econometrics Seminars and Workshop Series
TI Lectures
| 00:00 - 00:00
Tools for Analyzing Big Data and Complex Models
Serena Ng (Columbia University)
- Econometrics Lecture Series