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
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.
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.
Juodis, A. and Reese, S. (2026). Five lessons for applied researchers from twenty years of common correlated effects estimation Journal of Econometrics, 253.
Cai, J.J., Lin, Y., Schaumburg, J. and Wang, C. (2026). Estimation and inference for the persistence of extremely high temperatures Econometrics Journal.
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
Principles and Flexibility in Multiple Testing
Jelle Goeman (Leiden University Medical Center)
- Erasmus Econometric Institute Series
Seminar
| Amsterdam | 12:00 - 13:00
Efficient Volatility-Managed Portfolios
Christian Conrad (Heidelberg University, Germany)
- Econometrics Seminars and Workshop Series
Seminar
| Rotterdam | 12:00 - 13:00
Liquidity-Adjusted Expected Shortfall Tests
Ekaterina Kazak (University of Birmingham)
- Erasmus Econometric Institute Series
Seminar
| Rotterdam | 12:00 - 13:00
Title to be announced
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
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