Data Science and Econometrics
The Netherlands has a strong tradition in econometrics and data analysis. Data science combines these traditions by focusing on quantitative methods to extract knowledge and insights from structured and unstructured data. The methods contain more traditional econometric methods as well as more novel machine learning methods. Applications are in the fields of marketing, management, economics and focus on both obtaining descriptive as well as causal evidence.
Data Science and Econometrics
The Netherlands has a strong tradition in econometrics and data analysis. Data science combines these traditions by focusing on quantitative methods to extract knowledge and insights from structured and unstructured data. The methods contain more traditional econometric methods as well as more novel machine learning methods. Applications are in the fields of marketing, management, economics and focus on both obtaining descriptive as well as causal evidence.
Our people
Fellows and Faculty
Fellows and Faculty
PhD Students
PhD Students
Key publications
Nolde, N., Zhou, C. and Zhou, M. (2026). Tail risk in the tail: Estimating high quantiles when a related variable is extreme Journal of the American Statistical Association.
Moussa, K., Blasques, F. and Koopman, S.J. (2026). Extremum Monte Carlo Filters: Signal Extraction via Simulation and Regression Journal of Business and Economic Statistics, 44(3):840--852.
Lin, Y., Lucas, A. and Ye, S. (2026). Matrix-valued spatial autoregressions with dynamic heterogeneous spillovers Journal of Econometrics, 258:106323.
Lange, R.J., van Os, B. and van Dijk, D. (2026). Implicit score-driven filters for time-varying parameter models Journal of Econometrics, 255:1--21.
Mayer, A. and Massmann, M. (2026). Least Squares Estimation in Nonstationary Nonlinear Cohort Panels with Learning from Experience Journal of Business and Economic Statistics, 44(1):334--347.
Upcoming events
Seminar
| Rotterdam | 12:00 - 13:00
Bootstrapping Autoregressive Duration Models
Anders Rahbek (University of Copenhagen, Denmark)
- Erasmus Econometric Institute Series
Seminar
| Amsterdam | 16:00 - 16:45
Extremes with Random Covariates
Just de Groot
- PhD Seminars
Seminar
| Rotterdam | 12:00 - 13:00
Learning, Heuristics and Anchored Inflation: How do Different...
Kevin Lee (The University of Nottingham, United Kingdom)
- Erasmus Econometric Institute Series
Seminar
| Amsterdam | 12:00 - 13:00
Sparse Tree-Based Aggregation for Time Series Regressions
Ines Wilms (Maastricht University)
- Econometrics Seminars and Workshop Series
Seminar
| Amsterdam | 12:00 - 13:00
Title to be announced
Kevin Dano (Princeton University, United States)
- Econometrics Seminars and Workshop Series
Academic Distinctions
October 08, 2025
Frank Kleibergen elected Fellow of the Econometric Society
Frank Kleibergen
July 15, 2025
Annika receives an NWO Open Competition SSH XS grant
Annika Camehl
July 04, 2025
NWO Open Competition SSH M Grant
Andre Lucas