Department of Quantitative Economics
The Department of Quantitative Economics teaches and conducts research in the areas of Actuarial Science, Econometrics, Mathematical Economics and Operations Research. Both in teaching and in research it achieves excellent standards. The Department of Quantitative Economics is largely in charge of the BSc programme in Econometrics & Operations Research Econometrics & Operations Research | Maastricht University and the MSc programme in Econometrics & Operations Research Econometrics and Operations Research | Maastricht University. Moreover, the department also offers courses in all other BSc and MSc programmes of the SBE. The department publishes papers in highly ranked international scientific journals, such as Journal of Econometrics, Games and Economic Behaviour, and Operations Research.
Fast facts
- The department has 40–50 members across three research groups, among which adds PhD students
The department is structured in three groups
These groups cooperate in offering courses for various BSc and MSc programmes and organise seminars. The Econometrics groups organises the Econometrics Seminar, the Mathematical Economics groups organises the GSBE-ETBC Seminar and the https://www.maastrichtuniversity.nl/mlse-seminar, the Operations Research group organises the OR lunch seminar.
Focal areas of research are actuarial science, econometrics and statistics, game theory, and combinatorial optimisation. For more details, see Research.
The researchers across the three groups are also part of the Mathematics Centre Maastricht (MCM) Mathematics Centre Maastricht (MCM)
In the Spotlight
- Science & technology
Paper by Stephan Smeekes and Ines Wilms published in Journal of Statistical Software
QE researchers Stephan Smeekes and Ines Wilms have recently published their paper “bootUR: An R Package for Bootstrap Unit Root Tests” in Journal of Statistical Software.
Abstract
Unit root tests form an essential part of any time series analysis. We provide practitioners with a single, unified framework for comprehensive and reliable unit root testing in the R package bootUR. The package's backbone is the popular augmented Dickey-Fuller test paired with a union of rejections principle, which can be performed directly on single time series or multiple (including panel) time series. Accurate inference is ensured through the use of bootstrap methods. The package addresses the needs of both novice users, by providing user-friendly and easy-to-implement functions with sensible default options, as well as expert users, by giving full user-control to adjust the tests to one's desired settings. Our parallelized C++ implementation ensures that all unit root tests are scalable to datasets containing many time series.
The paper can be accessed here: https://doi.org/10.18637/jss.v106.i12
- Quality of life
Antoon Pelsser member of the 2022 Parameters Committee
In the period from February to December 2022, I was a member of the 2022 Parameters Committee. This committee has issued an advice to Minister Schouten of Social Affairs and Employment on the calculation model (“the scenario sets”) that pension funds use to measure the impact of the transition from the old to the new pension system. The law states that this transition must be balanced for all participants in the pension fund, and pension funds must use the calculation model to demonstrate that the transition plan meets the requirements. The link to the report is here: https://www.rijksoverheid.nl/documenten/rapporten/2022/11/29/bijlage-rapport-advies-commissie-parameters-2022
- Science & technology
A test of (weak) certainty independence
Abstract
We provide a test of the axioms of certainty and weak certainty independence in models of decision-making under subjective uncertainty. We show that it is through these two weakenings of the classic independence axiom that prominent ambiguity models retain properties that stand in conflict with the ambiguity-sensitive behavior that is revealed in our experiment. Our findings suggest that this conflict may be of a more fundamental nature than what most of these models can accommodate. Our results call for the use of ambiguity models that can accommodate an ambiguity attitude which depends on the chances of winning.
- Learning & innovation
MMM 2024
The Mathematical Modelling competition Maastricht - also known as the MMM - is an annual international math competition for high school students.
Teams of up to five high school students – mostly travelling from Germany, Belgium and the Netherlands – spend their Saturday afternoon solving mathematical puzzles. Meanwhile, their teachers are free to attend lectures by UM researchers.
Since the start of the competition in 1995, an estimated 40 teams x 5 high school students x 25 years = 5,000 participants found their way to Maastricht.
A German news article on this competition has been posted in the "Rheinische Post".
Toller Erfolg für junge Mathe-Cracks aus Radevormwald
MMM takes place in January. For more information and to sign up:
Visit the MMM website
- Science & technology
Approximation and Convergence of Large Atomic Congestion Games
Abstract
We consider the question of whether and in what sense, Wardrop equilibria provide a good approximation for Nash equilibria in atomic unsplittable congestion games with a large number of small players. We examine two different definitions of small players. In the first setting, we consider games in which each player’s weight is small. In the second setting, we consider an increasing number of players with a unit weight that participate in the game with a decreasingly small probability.
https://pubsonline.informs.org/doi/full/10.1287/moor.2022.1281