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
Juodis, A. and Reese, S. (2026). Five lessons for applied researchers from twenty years of common correlated effects estimation Journal of Econometrics, 253.
Chen, L. and Zhou, C. (2026). High-dimensional inference for extreme value indices Journal of the American Statistical Association.
Cai, J.J., Lin, Y., Schaumburg, J. and Wang, C. (2026). Estimation and inference for the persistence of extremely high temperatures Econometrics Journal.
DtextquoterightInnocenzo, E., Lucas, A., Schwaab, B. and Zhang, X. (2026). Joint Extreme Value-at-Risk and Expected Shortfall Dynamics with a Single Integrated Tail Shape Parameter Journal of Business and Economic Statistics, 44(4):1193--1205.
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.
Upcoming events
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
Seminar
| Rotterdam | 12:00 - 13:00
Multivariate Inference for Dynamic Systemic Risk Measures
Nikolaus Hautsch (University of Vienna, Austria)
- Erasmus Econometric Institute Series
Workshop
| Amsterdam | 09:00 - 17:00
Econometric Game
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