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.
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.
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.
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.
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.
Upcoming events
Seminar
| Rotterdam | 12:00 - 13:00
Title to be announced
Andrei Zeleneev (University College London)
- Erasmus Econometric Institute Series
Seminar
| Rotterdam | 12:00 - 13:00
Bayesian Double Machine Learning for Causal Inference
Laura Liu (University of Pittsburgh, United States)
- Erasmus Econometric Institute Series
Seminar
| Amsterdam | 12:00 - 13:00
Title to be announced
Wei Miao (KU Leuven, Belgium)
- Econometrics Seminars and Workshop Series
Seminar
| Amsterdam | 09:30 - 18:00
UvA- KU Leuven Workshop on Panel Data Econometrics
Speakers to be announced
- Econometrics Seminars and Workshop Series
Seminar
| Rotterdam | 12:00 - 13:00
Title to be announced
Yannick Hoga (Universität Duisburg-Essen, Germany)
- Erasmus Econometric Institute 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