I am associate professor in econometrics at the Department of Quantitative Economics of the School of Business and Economics, Maastricht University.
My main research interests lie in the statistical analysis of time series data, combining techniques on the interface between econometrics, statistics and data science. Much of my research involves uncertainty quantification, often using the bootstrap, and the analysis of high-dimensional "Big Data" time series. Among the applications I consider are, long-run trends in macroeconomic and climatological time series, inference on risk measures for financial series, and the forecasting of macroeconomic and financial time series.
I currently have a NWO Vidi grant on Inference for High-Dimensional Econometric Time Series, and am a member of the Dutch Young Academy (De Jonge Akademie).
On this website you can find my CV, information about my research and teaching, as well as software and code to implement several of the econometric and statistical techniques I developed. Finally I collected some useful links and media appearances.
On July 5-6, 2021, we organize the online Workshop on Dimensionality Reduction and Inference in High-Dimensional Time Series. Please see the website for further details and call for papers.
Dr. Stephan Smeekes
Associate Professor in Econometrics
Department of Quantitative Economics
School of Business and Economics
P.O. Box 616
6200 MD Maastricht
Tongersestraat 53 – Room A3.06
6211 LM Maastricht
Tel: +31 43 388 38 56
Fax: +31 43 388 20 00