Econometrics

The research of the Econometrics group focusses on developing methods and models to study dynamics in economic behavior of individuals, organizations, markets and economies. It is concentrated in the following area: methods and models for analyzing multivariate economic time series and panel data.

Model specification, cointegration, common features, weak exogeneity, separation, reduced rank models, graphical interaction models for time series, and pooling information are studied in multivariate time series and dynamic panel data models.

The methods developed are applied to macroeconomic data, firm innovation data, household data and to financial time series.

The research of the group is part of the program Money, Finance and Econometrics. The group collaborates with researchers from other departments, in particular from the groups in Finance and Monetary Economics. The group deliberately pursues a policy of openess to cooperation in (applied) econometric research in other areas of business and economics.

Among recent applications it is worth mentioning projects such as:

forecasting international growth rates
consumption and investment behavior
modeling value-at-risk
measuring volatility of financial assets
modeling intraday transactions data
dynamics and financing of innovation, and firm performance
multifactor asset pricing models
duration models

The faculty members of the Econometrics group are

Marco Avarucci
Denis de Crombrugghe
Michael Eichler
Christian Gengenbach
Alain Hecq
Christian Kerckhoffs
Sébastien Laurent
Jacques Mairesse
Pierre Mohnen
Alain Monfort
Giovanni Motta
Franz Palm
Gerard Pfann
Wladimir Raymond
Sybrand Schim van der Loeff
Stephan Smeekes
Dirk Tempelaar
Jean-Pierre Urbain

PhD students currently affiliated with the Econometrics group are

Chico Blasques (also Economics group)
Bart Diris (also Finance group)
Hans Manner
Amaresh Tiwari
Dennis Türk
Jeroen van den Berg (also Economics group)
Lei Wan

The head of the Econometrics group is

Prof.dr. Franz C. Palm
Department of Quantitative Economics
School of Business and Economics
Maastricht University
PO Box 616
6200 MD Maastricht
The Netherlands
Telephone ++ 31 43 388 38 33
Fax ++ 31 43 388 48 74
E-mail f.palm@maastrichtuniversity.nl