Welcome! I am Professor of Econometric Theory and Data Science at the Department of Economics, Econometrics and Finance, University of Groningen.
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My research interests include macroeconomic forecasting and causal inference with high-dimensional data.
Some news items
May 12: The paper Where Should Firms Implement Differential Privacy in Targeting? Implications for Profitability, joint work with Gilian Ponte, Thomas Reutterer, and Jaap Wieringa was accepted for publication by the Journal of Marketing Research
February 13: arXived Transformer-based CoVaR: Systemic Risk in Textual Information, joint work with Junyu Chen, Lingwei Kong, and Weining Wang.
2025
October 23: I was awarded a Vidi grant from the Dutch Research Council for the project What happens there, matters here: the econometrics of latent connections
October 5: The paper Identification- and many moment-robust inference via invariant moment conditions, joint work with Hans Ligtenberg, was accepted for publication by the Journal of Econometrics
On July 3, Hans Ligtenberg succesfully defended his PhD thesis "Estimation and inference with many and weak instrumental variables"!
June 12: arXived Diffusion index forecasts under weaker loadings: PCA, ridge regression, and random projections, joint work with Bart Keijsers.
May 29: Gilian Ponte won the EMAC–Enginius Doctoral Dissertation Competition Award for his thesis: Differential Privacy and Marketing Analytics! See also here for an interview with Gilian on our IJRM paper.
On March 27, I will be guest panelist at the Virtual Time Series Seminar for the paper by Áureo de Paula, Yingxing Li and Weining Wang Low-Rank and Sparse Network Regression presented by Weining.
2024
19 December: #13 in the top 25 (by publications) of Assistant/Associate Professors in The Netherlands as calculated by ESB (Economisch Statistische Berichten).
On October 31, I will give a seminar at Harvard/MIT seminar in Econometrics presenting "Inference on LATEs with covariates", joint work with Didier Nibbering.
The paper "Uniform inference in linear error-in-variables models: divide-and-conquer" joint work with Artūras Juodis was accepted for publication by Econometric Reviews.
On September 19, Jhordano Aguilar Loyo succesfully defended his PhD thesis "Grouping in panel data models"!
On September 2-3, Weining Wang and I will organize a workshop on Causal Inference and Machine Learning. See www.groningenmetricsmeet.com for details!
From September 2024 onwards, I am program director of the MSc Econometrics, Operations Research and Actuarial Studies.
On June 10, Gilian Ponte succesfully defended his PhD thesis "Differential Privacy & Marketing Analytics"!
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