Department of Econometrics and Data Science

Welcome to the Department of Econometrics and Data Science. We are a group of driven researchers striving for science with purpose by pushing the academic frontier and publishing in the top international outlets in our field. We like to collaborate with outside partners to link academic advancement with real world problems. Our teaching mission is to empower students with the methodological skills and continuing curiosity to contribute to solving today’s challenges in business and economics. Read more about our BSc in Econometrics and Operations Research, our BSc specialization in Econometrics and Data Science, our MSc in Econometrics and Operations Research and our minor programme Applied Econometrics.

André LucasAndré Lucas
Department chair
Contact: a.lucas@vu.nl




News

ASSISTANT PROFESSORS AND POSTDOCS

banner We are looking for new colleagues to accommodate our growth. Are you enthusiastic about Econometrics and Data Science? Then we invite you to apply for our junior or senior positions. Read more...

(October 2020)

André Lucas and Siem Jan Koopman in top 10 of ESB Economentop 40

SiemJan_AndreSiem Jan Koopman and  Andre Lucas are also in 2020 among the first ten of the Top 40 of Economists in The Netherlands. The Economentop 40 is published annually by Economisch Statistische Berichten (ESB). You can read the entire article (in Dutch) here.

(December 2020)


bachelor Econometrics and Operations Research "Top Programme" in the Keuzegids 2021

keuzegids2021klein Once again our bachelor programme is marked a Top Programma by the Keuzegids and is among the best programmes in the Netherlands. The selection guide (Keuzegids) is published by the Centre for Higher Education Information to help students choose a bachelors programme. Read more here. Visit the bachelor's programme in Econometrics and Operations Research for a complete overview and registration.

(November 2020)

 

Mariia Artemova awarded teaching assistant of the year

MariiaArtemova2 During the TI graduation ceremony at Tinbergen Institute on November 13, our PhD student Mariia Artemova was awarded teaching assistant of the year. Read more...

(November 2020)

 

JAN MAGNUS: PUBLICATION IN ECONOMICS LETTERS

economics_letters The article Zero-diagonality as a linear structure by Jan Magnus is published in Economics Letters.

(November 2020)

 

VIDI grant for Julia Schaumburg

schaumberg The Dutch Research Council has awarded Julia Schaumburg a VIDI grant for her research "Statistical learning over time: closing the gap between time-series econometrics and the statistical learning literature". In her research Julia develops new tools to address complex economic policy questions in quickly changing environments, by bringing together the best of two worlds: the ability of automated statistical learning methods to detect highly complex pattern, and the ability of flexible econometric time-series models to adapt in times of economic stress. Read more...

(November 2020)

 

MARINA FRIEDRICH AND ERIC BEUTNER PUBLISH ARTICLE IN CLIMATE CHANGE

climate_change Climate Change, the interdisciplinary and international journal devoted to the description, causes and implications of climatic change, recently published the article A statistical analysis of time trends in atmospheric ethane by Marina Friedrich and Eric Beutner.

(September 2020)

 

JOURNAL OF THE ROYAL STATISTICAL SOCIETY PUBLISHES A PAPER BY PAOLO GORGI

journal_of_the_royal_statistical_society The paper Beta–negative binomial auto-regressions for modelling integer-valued time series with extreme observations by Paolo Gorgi is publised in the Journal of the Royal Statistical Society.

(September 2020)

 

FRANCISCO BLASQUES, SIEM JAN KOOPMAN AND ANDRÉ LUCAS: PUBLICATION IN ECONOMETRIC REVIEWS

econometric_reviews The article The Nonlinear autoregressive models with optimality properties by Francisco Blasques, Siem Jan Koopman, André Lucas is published in the latest edition of Econometric Reviews.

(July 2020)

 

ARTICLE BY SIEM JAN KOOPMAN PUBLISHED BY JOURNAL OF ECONOMETRICS

journal_of_econometrics 1 The article The dynamic factor network model with an application to international trade by Siem Jan Koopman is published by the Journal of Econometrics.

(June 2020)

 

FWO grant for Kris Boudt

KrisBoudt Kris Boudt (Ghent University, VUB and Econometrics and Data Science group at Vrije Universiteit Amsterdam) has secured a 2.7M euro consortium grant on pension system research: “Towards efficient pillar II and III pension decisions in Belgium: product innovations, customized goal based pensions planning and nudging.” Kris coordinates the grant, which brings together nine professors of three universities across Europe. For more information, read here .

(May 2020)

Econometrics Summer Workshop 2020

Beach This summer, 19-28 August 2020, the Department of Econometrics and Data Science organizes another Econometrics Summer Workshop. Due to COVID-19 circumstances the Summer Workshop will be held online. Are you a student entering the Econometrics Master or a PhD student, and interested in attending a summer workshop covering all the basic econometrics methods and tools for analyzing both cross-sectional and time-series data? Please find more information on the program, registration and other details here !

(May 2020)

Research ranking 2nd in the Netherlands, and top 50 worldwide

logoSBE

The Econometrics and Data Science group is proud to be part of the research culture at the School of Business and Economics of Vrije Universiteit, now ranking 2nd in the Netherlands and 47th worldwide in the 2015-2019 edition of Tilburg University Top 100 Worldwide Economics Schools Research Ranking.

(May 2020)

Master Econometrics and Operations Research rated excellent in the Keuzegids 2020

TopRatedBachelor2020

This year, our MSc program even surpasses the high scores of previous years. Our scores on challenging education are now outstanding, and scores on scientific training and bridging theory and practice have also further improved. The Masters selection guide 2020 is published by the Centre for Higher Education Information to help students choose a master's programme. Visit the master’s programme in Econometrics and Operations Research for a complete overview and registration.

(May 2020)

JOURNAL OF APPLIED ECONOMETRICS PUBLISHED ARTICLE BY SEAN TELG

applied_econometrics The article Mixed causal–noncausal autoregressions with exogenous regressors by Sean Telg is published by the Journal of Applied Econometrics.

(April 2020)

 

JAN MAGNUS PUBLISHES PAPER IN ENVIRONMENTAL AND RESOURCE ECONOMICS

environmental_resource_economics The paper Adaption for Mitigation by Jan Magnus is published in Environmental and Resource Economics.

(March 2020)

 

Francqui Chair for Siem Jan Koopman

SiemJanKoopman

Siem Jan Koopman has been appointed as the 2019-2020 Laureate of a Francqui Chair, at the Faculty of Business and Economics, University of Antwerp, Belgium. Every year, the Francqui Foundation invites Belgian or European scientists to stay with Belgian universities, giving the opportunity to eminent researchers and scholars to teach a series of guest lectures at the host university and to participate in the scientific life of the institution.

(March 2020)

ARTICLE BY SIEM JAN KOOPMAN PUBLISHED IN JOURNAL OF CLIMATE

journal_of_climate 1

The article Multiyear statistical prediction of ENSO enhanced by the tropical Pacific observing system by Siem Jan Koopman published in the Journal of Climate.

(January 2020)


ARTICLE BY LENNART HOOGERHEIDE AND SIEM JAN KOOPMAN PUBLISHED IN JOURNAL OF ECONOMETRICS

journal_of_econometrics 1

The article Partially censored posterior for robust and efficient risk evaluation by Lennart Hoogerheide and Siem Jan Koopman is published in the Journal of Econometrics.

(January 2020)


BERNOULLI PUBLISHED ARTICLE BY ERIC BEUTNER

bernoulli

Bernoulli, the journal of the Bernoulli Society published the article Consistent semiparametric estimators for recurrent event times models with application to virtual age models by Eric Beutner.

(January 2020)


SIEM JAN KOOPMAN PUBLISHED ARTICLE IN JOURNAL OF ECONOMETRICS

journal_of_econometrics 1

The article Long-term forecasting of El Niño events via dynamic factor simulations by Siem Jan Koopman is published in the Journal of Econometrics.

(January 2020)


Two professors EOR in top 10 of ESB Economentop 40

SiemJan_AndreSiem Jan Koopman (4) and  Andre Lucas (6) are also in 2019 among the first ten of this year's Top 40 of Economists in The Netherlands. The Economentop 40 is published annually by Economisch Statistische Berichten (ESB). You can read the entire article (in Dutch)  here.

(December 2019)


Bachelor programmes awarded ‘Top Rated Programme’ distinction

TopRatedBachelor2020

In the 2020 Keuzegids Universiteiten, students of the bachelor’s programmes in Econometrics and Operations Research and Econometrics and Operations Research: Econometrics and Data Science at VU Amsterdam assessed our programme as the best in its field of study! See also

(November 2019)


Julia Schaumburg awarded The Eagle Prize

JournalofFinancialEconometrics

Julia Schaumburg was awarded the “Engle Prize” from the Journal of Financial Econometrics for her 2016 article “ Beyond dimension two: A test for higher-order tail risk ”. The journal awards this prize to a young scholar who published the best article over the preceding three years. The prize comes with an award of $1500.

(September 2019)


NWO Open Competition grant for Andre Lucas

NWOlogoAndre Lucas received an Open Competition grant (250k) from NWO for a PhD student on Dynamic clustering for business model identification and financial stability. The project aims to develop new methodology to study the dynamics of financial business models and their convergence/divergence in times of stress and under non-standard monetary policies. The results will be applied to the European banking sector and will be developed in a network that involves prime regulatory players such as the ECB and BIS as well as national central banks.

(July 2019)


Paper accepted to the Journal of Econometrics

Jornal of EconometricsExpected utility and catastrophic risk in a stochastic economy–climate model  by Jan Magnus  is accepted to the Journal of Econometrics.

(June 2019)


Vidi grant for Chico Blasques

Photo of F. Blasques Albergaria AmaralThe Netherlands Organisation for Scientific Research has awarded Francisco Blasques a Vidi grant for his research "Econometric methods for incorrect models" . Econometric models offer simplistic and stylized representations of vastly complex economies. Statistical methods used in econometrics are designed to be reliable and efficient only when the model provides a perfect description of reality. This project investigates new econometric methods that are optimal in situations when the model is not perfect.!

(May 2019)

Econometrics Summer Workshop August 2019

Beach The Econometrics Summer Workshop to be held on Wednesday, Aug. 21 - Friday, Aug. 30 2019 is now open for registration! Are you a student entering the Econometrics Master or a PhD student, and interested in attending a summer workshop covering all the basic econometrics methods and tools for analyzing both cross-sectional and time-series data? Then please find more details and register for the course here!

(May 2019)

Master Econometrics and Operations Research rated as Top Programme

TopRatedProgrammeMa2019

In the Masters selection guide 2019, students rate the Master programme in Econometrics and Operations Research as Top Programme. 

The Masters selection guide 2019 is published by the Centre for Higher Education Information to help students choose a master's programme. 

On Saturday, March 9th, the VU Master’s Day will take place. On this day, you’re introduced to our master programme
Econometrics and Operations Research. For the complete programme and registration, please visit masters.vu.nl.

(March 2019)

Two professors EOR in top 10 of ESB Economentop 40

SiemJan_AndreSiem Jan Koopman (4) and  Andre Lucas (8) are in the Top 10 of this year's Top 40 of Economists in The Netherlands. The Economentop 40 is published annually by Economisch Statistische Berichten (ESB). Ten researchers of Vrije Universiteit Amsterdam are in the Economists top 40, from which nine members are affiliated with the School of Business and Economics. You can read the entire article (in Dutch)  here.

(December 2018)



Farewell Symposium prof. Gerrit Timmer

Gerrit_Timmer

On 31 October, professor Gerrit Timmer retired from the Vrije Universiteit Amsterdam. Besides being CEO of Ortec, he was more than 25 years professor of Bedrijfseconometrie at the department of Econometrics and Operations Reseach. In honour of his retirement we organize the symposium “Is Data Science the new Operations Research” on 31 January 2019, to be held in the Auditorium of Symphony Building in Amsterdam from 2:00 - 6:30 pm. For the programme and registration click here.

(December 2018)



Bachelor programmes awarded ‘Top Rated Programme’ distinction

TopRatedProgramme

In the 2019 Keuzegids Universiteiten, students of the bachelor’s programmes in Econometrics and Operations Research and Econometrics and Operations Research: Econometrics and Data Science at VU Amsterdam assessed our programme as the best in its field of study!

(November 2018)



Paper forthcoming in Journal of Financial Econometrics

JournalofFinancialEconometrics

Fractional Integration and Fat Tails for Realized Covariance Kernels and Returns by Andre Lucas is forthcoming in Journal of Financial Econometrics .


(November 2018)



SBE Diversity Fund awarded to Siem Jan Koopman

Nieuw: Component

Siem Jan Koopman received financial support from the diversity fund of the School of Business and Economics. The fund is established to increase gender diversity among academic personnel and support talented female researchers in their academic career development. Janneke van Brummelen, VU EOR alumna and current Tinbergen Institute MPhil student will be hired to conduct research during Spring 2019 under the supervision of Siem Jan Koopman.

(November 2018)


Paper accepted to the Journal of Applied Econometrics

JournalofAppliedEconometrics

CCE Estimation of Factor‐Augmented Regression Models with more Factors than Observables  by Hande Karabiyik is accepted to the Journal of Applied Econometrics.

(November 2018)




VIDI grant for Neil Olver

Neil OlverNeil Olver has started his Vidi grant (€800.000) by NWO for his research ‘Usable algorithms for network optimization’. Networks of many kinds have been growing in size and importance. The same mathematical problems about efficiently designing and utilizing networks occur in many different contexts. This project will uncover new algorithms for these problems that are faster, more accurate and more revealing. He is an Assistant Professor in the Department of Econometrics and Operations Research.

(October 2018)

VENI grant for Geert Mesters

mestersGeert Mesters has started his Veni Grant by NWO for his research ‘Testing Networks’. Network structures have large implications for aggregate output in economics and financial stability in finance. A key difficulty is that these networks are typically not observed. In this research we develop methodology that facilitates testing different network structures that are estimated from large time series panels. He is assistant professor at the Universitat Pompeu Fabra in Barcelona and will conduct his Veni research at the Department of Econometrics and Operations Research.

(September 2018)

Forthcoming paper in Social Choice and Welfare

scw The paper ‘A Bargaining Experiment with Asymmetric Institutions and Preferences’ by Harold Houba is forthcoming in the journal Social Choice and Welfare. Read paper .

(September 2018)

Paper accepted to Environmental Modelling & Software

ems The paper 'Implementation of stochastic multi attribute analysis (SMAA) in comparative environmental assessments' co-authored by Reinout Heijungs has been accepted to Environmental Modelling & Software.

(August 2018)


Ilka van de Werve Fellow at NCSR

werve Since July, Ilka van de Werve is a fellow of the Life-course Cluster at The Netherlands Institute for the Study of Crime and Law Enforcement (NSCR). Read more .

(July 2018)

Julia Schaumberg awarded a Lamfalussy Fellowship

schaumberg In April Julia Schaumburg was awarded a Lamfalussy Fellowship by the European Central Bank for her proposal "Networking the Yield Curve". Read more .

(April 2018)