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

News

In memoriam Prof. dr. Nol Merkies

Recently, our former colleague and dean professor Nol Merkies, founding father of Econometrics at Vrije Universiteit Amsterdam, passed away. Read the In Memoriam (in Dutch) here. He will be dearly missed.

(May 2021)

JOURNAL OF ECONOMETRICS PUBLISHED ARTICLE BY GEERT MESTERS

The article Detecting granular time series in large panels by Geert Mesters is published by the Journal of Econometrics.

(May 2021)

TEAM VU AMSTERDAM 2ND IN ECONOMETRIC GAME 2021

Thirty universities from all over the world participated in the yearly Econometric Game on the 8th and 9th of April. The delegation of VU Amsterdam consisting of Quint Wiersma (PhD student & team captain), Mariia Artemova (PhD student), Niels Ota (MSc student) and Arne Plateau (MSc student), performed great and solved the case studies successfully. The jury of this prestigious competition for students in econometrics rewarded our team with a second place!

(April 2021)

ARTICLE BY GEERT MESTERS PUBLISHED BY JOURNAL OF MONOTARY ECONOMICS

The article The Phillips multiplier by Geert Mesters is published by the Journal of Monetary Economics.

(April 2021)

MARC NIENTKER RECEIVED HONOURABLE MENTION FOR PHD THESIS

The Netherlands Society for Statistics and Operations Research (VVSOR in Dutch) awarded Marc Nientker an honourable mention regarding the Willem R. van Zwet award, which is annually bestowed on an excellent Ph.D. in statistics or operations research, obtained at a Dutch university. Marc successfully defended his PhD thesis On the stability of stochastic dynamic systems and their use in econometrics on 9 October 2019 under the supervision of Siem Jan Koopman and Francisco Blasques.

(March 2021)

ARTICLE BY ERIC BEUTNER ACCEPTED BY ELECTRONIC JOURNAL OF STATISTICS

The article “A Justification of Conditional Confidence Intervals" by Eric Beutner and his co-authors Alexander Heinemann and Stephan Smeekes is accepted for publication in Electronic Journal of Statistics.

(March 2021)

ARTICLE BY Sunčica Vujić PUBLISHED BY ECONOMICS OBSERVATORY

Economics Observatory recently published the article Did the vote for Brexit lead to a rise in hate crime? by Sunčica Vujić.

(March 2021)

JOURNAL OF ECONOMETRICS PUBLISHES ARTICLE BY HANDE KARABIYIK

The article On the robustness of the pooled CCE estimator by Hande Karabiyik will be published in the next issue of the Journal of Econometrics.

(February 2021)

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

Siem 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

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)

PAPER BY GEERT MESTERS PUBLISHED IN QUARTERLY JOURNAL OF ECONOMICS

The paper Identifying Modern Macro Equations with Old Shocks by Geert Mesters is published by the Quarterly Journal of Economics.

(November 2020)

Mariia Artemova awarded teaching assistant of the year

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

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

(November 2020)

VIDI grant for Julia Schaumburg

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)

ARTICLE BY LUCA ROSSINI PUBLICED IN BAYESIAN ANALYSIS

The International Society for Bayesian Analysis published an article by Luca Rossini in its electronic journal Bayesian Analysis: Hierarchical species sampling models.

(September 2020)

MARINA FRIEDRICH AND ERIC BEUTNER PUBLISH ARTICLE IN 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

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

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

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

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

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

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

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

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

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

(March 2020)

Francqui Chair for Siem Jan Koopman

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

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

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, 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

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)