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Econometric Methods for Forecasting and Data Science with Applications in Finance, Economics and Business

Due to the Covid-19 outbreak this course is postponed to 2021. Students who registered for 2020 will receive a full refund of their payment. 

Summer 2021. Location: Amsterdam Zuidas

The importance of developing appropriate quantitative models and methods for risk-assessment, climate-impact scenarios, energy policy, house market prices, and big data analyses generally are well understood in the academic and professional worlds. The developments in new technologies for econometric modelling, analysis and forecasting of (big) data in finance, economics and business are moving forwards rapidly. In this summer school we will treat a number of these developments in much detail. In each case we start with the basics of the methodology and theory, we illustrate their use and their importance, we implement the basic methods in a computer lab, and we review the latest developments in the academic and professional literature. Given the interdisciplinary nature of the summer school, we start with a review of the basic methods and theory in each case. More specifically, we aim to treat the latest developments in univariate time series models, dynamic econometric models, volatility models, dynamic factor models, state space models, time-varying location and scale models, etc. The practical use of econometric methods in the context of specific applications are assessed in individual cases targeted towards the backgrounds of the participants.


The summer course welcomes (research) master students, PhD students, post-docs and professionals with a quantitative background and who are interested in learning state-of-the art econometrics and data science forecasting methods.

Admission requirements

A formal background in quantitative studies (mathematics, statistics, econometrics, engineering, etc.) is required from students (at the level of a first year course in a Master study), but no formal background in Econometrics or Statistics will be assumed.

Academic directors Prof. Dr. S.J. Koopman (Vrije Universiteit Amsterdam)
Dr. F. Blasques (Vrije Universiteit Amsterdam)
Degree program Certificate
Credits Participants who joined at least 80% of all sessions will receive a certificate of participation stating that the summer school is equivalent to a work load of 3 ECTS. Note that it is the student’s own responsibility to get these credits registered at their university.
Mode Short-term
Language English
Venue The course takes place at Tinbergen Institute Amsterdam, Gustav Mahlerplein 117, 1082 MS Amsterdam.
Capacity 40 participants
Application deadline t.b.a.
Apply here  


Summer School