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Details about Jan Frederik Kiviet

E-mail:
Homepage:https://sites.google.com/site/homepagejfk/
Phone:+31 20 525 4252
Postal address:Amsterdam School of Economics University of Amsterdam P.O. Box 15867 1001 NJ Amsterdam The Netherlands
Workplace:Amsterdam School of Economics, Faculteit Economie en Bedrijfskunde (Faculty of Economics and Business), Universiteit van Amsterdam (University of Amsterdam), (more information at EDIRC)

Access statistics for papers by Jan Frederik Kiviet.

Last updated 2017-06-02. Update your information in the RePEc Author Service.

Short-id: pki2


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Working Papers

2016

  1. A critical appraisal of studies analyzing co-movement of international stock markets with a focus on East-Asian indices
    Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Humanities and Social Sciences, Economic Growth Centre Downloads
  2. Discriminating between (in)valid external instruments and (in)valid exclusion restrictions
    Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Humanities and Social Sciences, Economic Growth Centre Downloads View citations (1)
    Also in UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics (2015) Downloads

    See also Journal Article in Journal of Econometric Methods (2017)
  3. Testing the impossible: identifying exclusion restrictions
    UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics Downloads
  4. When is it really justifiable to ignore explanatory variable endogeneity in a regression model?
    Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Humanities and Social Sciences, Economic Growth Centre Downloads View citations (1)
    Also in UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics (2015) Downloads

    See also Journal Article in Economics Letters (2016)

2015

  1. Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models
    CESifo Working Paper Series, CESifo Group Munich Downloads
    Also in Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Humanities and Social Sciences, Economic Growth Centre (2014) Downloads

    See also Journal Article in Econometrics (2017)
  2. On the integration of China's main stock exchange with the international financial market
    Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Humanities and Social Sciences, Economic Growth Centre Downloads

2014

  1. Efficiency Gains by Modifying GMM Estimation in Linear Models under Heteroskedasticity
    UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics Downloads View citations (4)
    Also in CESifo Working Paper Series, CESifo Group Munich (2014) Downloads View citations (4)
    Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Humanities and Social Sciences, Economic Growth Centre (2014) Downloads View citations (5)
  2. Hong Kong: A Bridge Connecting Mainland China and the International Market
    Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Humanities and Social Sciences, Economic Growth Centre Downloads

2013

  1. On the limiting and empirical distributions of IV estimators when some of the instruments are actually endogenous
    Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Humanities and Social Sciences, Economic Growth Centre Downloads

2012

  1. Identification and Inference in a Simultaneous Equation Under Alternative Information Sets and Sampling Schemes
    Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Humanities and Social Sciences, Economic Growth Centre Downloads
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2012) Downloads

    See also Journal Article in Econometrics Journal (2013)
  2. Improved Variance Estimation of Maximum Likelihood Estimators in Stable First-Order Dynamic Regression Models
    Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Humanities and Social Sciences, Economic Growth Centre Downloads View citations (1)
    See also Journal Article in Computational Statistics & Data Analysis (2014)
  3. The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation
    Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Humanities and Social Sciences, Economic Growth Centre Downloads View citations (8)
    See also Journal Article in Econometrics and Statistics (2017)

2006

  1. The Asymptotic and Finite Sample Distributions of OLS and Simple IV in Simultaneous Equations
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Computational Statistics & Data Analysis (2007)

2005

  1. Judging Contending Estimators by Simulation: Tournaments in Dynamic Panel Data Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads

2004

  1. The Effects of Dynamic Feedbacks on LS and MM Estimator Accuracy in Panel Data Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Journal of Econometrics (2006)
  2. Viewing the Relative Efficiency of IV Estimators in Models with Lagged and Instantaneous Feedbacks
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Computational Statistics & Data Analysis (2005)

2002

  1. Efficiency profiles of MM estimators in dynamic panel data models
    10th International Conference on Panel Data, Berlin, July 5-6, 2002, International Conferences on Panel Data Downloads
  2. On the Diminishing Returns of Higher-order Terms in Asymptotic Expansions of Bias
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    See also Journal Article in Economics Letters (2003)

2001

  1. How to implement the Bootstrap in Static or Stable Dynamic Regression Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
  2. Moment Approximation for Least Squares Estimators in Dynamic Regression Models with a Unit Root
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads
    Also in Discussion Papers, Exeter University, Department of Economics (1998) View citations (4)
  3. The Accuracy of Inference in Small Samples of Dynamic Panel Data Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute Downloads View citations (6)

2000

  1. Improved Coefficient and Variance Estimation in Stable First-Order Dynamic Regression Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (6)

1999

  1. Higher-Order Asymptotic Expansions of the Least-Squares Estimation Bias in First-Order Dynamic Regression Models
    Discussion Papers, Exeter University, Department of Economics View citations (3)
    See also Journal Article in Computational Statistics & Data Analysis (2012)
  2. The Bias of the 2SLS Variance Estimator
    Discussion Papers, Exeter University, Department of Economics View citations (2)

1995

  1. Exact Inference Methods for First-Order Autoregressive Distributed Lag Models
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (30)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) Downloads View citations (1)

    See also Journal Article in Econometrica (1998)
  2. Exact Tests Structural Change in First-Order Dynamic Models
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) Downloads
  3. Exact Tests in Single Equation Autoregressive Distributed Lag Models
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques Downloads View citations (3)
    Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995)

    See also Journal Article in Journal of Econometrics (1997)

1988

  1. BIAS REDUCTION IN A DYNAMIC REGRESSION MODEL: A COMPARISON OF JACKNIFED AND BIAS CORRECTED LEAST SQUARES ESTIMATORS
    Working Papers, Universiteit Amsterdam - Institute of Actuarial Sciences and Econometrics

Journal Articles

2017

  1. Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models
    Econometrics, 2017, 5, (1), 1-54 Downloads
    See also Working Paper (2015)
  2. Discriminating between (in)valid External Instruments and (in)valid Exclusion Restrictions
    Journal of Econometric Methods, 2017, 6, (1), 9 Downloads
    See also Working Paper (2016)
  3. The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation
    Econometrics and Statistics, 2017, 2, (C), 1-21 Downloads
    See also Working Paper (2012)

2016

  1. When is it really justifiable to ignore explanatory variable endogeneity in a regression model?
    Economics Letters, 2016, 145, (C), 192-195 Downloads View citations (1)
    See also Working Paper (2016)

2014

  1. Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models
    Computational Statistics & Data Analysis, 2014, 76, (C), 424-448 Downloads View citations (1)
    See also Working Paper (2012)

2013

  1. Identification and inference in a simultaneous equation under alternative information sets and sampling schemes
    Econometrics Journal, 2013, 16, (1), S24-S59 View citations (19)
    See also Working Paper (2012)

2012

  1. Comparing the asymptotic and empirical (un)conditional distributions of OLS and IV in a linear static simultaneous equation
    Computational Statistics & Data Analysis, 2012, 56, (11), 3567-3586 Downloads View citations (5)
  2. Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models
    Computational Statistics & Data Analysis, 2012, 56, (11), 3705-3729 Downloads View citations (4)
    See also Working Paper (1999)
  3. Monte Carlo Simulation for Econometricians
    Foundations and Trends(R) in Econometrics, 2012, 5, (1–2), 1-181 Downloads View citations (7)

2009

  1. ECONOMETRIC ANALYSIS OF PANEL DATA: EDITORIAL INTRODUCTION
    The Singapore Economic Review (SER), 2009, 54, (03), 313-317 Downloads

2007

  1. The asymptotic and finite sample distributions of OLS and simple IV in simultaneous equations
    Computational Statistics & Data Analysis, 2007, 51, (7), 3296-3318 Downloads View citations (11)
    See also Working Paper (2006)

2006

  1. The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models
    Journal of Econometrics, 2006, 132, (2), 409-444 Downloads View citations (79)
    See also Working Paper (2004)

2005

  1. Moment approximation for least-squares estimators in dynamic regression models with a unit root &ast
    Econometrics Journal, 2005, 8, (2), 115-142 Downloads View citations (6)
  2. Viewing the relative efficiency of IV estimators in models with lagged and instantaneous feedbacks
    Computational Statistics & Data Analysis, 2005, 49, (2), 417-444 Downloads View citations (9)
    See also Working Paper (2004)

2003

  1. On the diminishing returns of higher-order terms in asymptotic expansions of bias
    Economics Letters, 2003, 79, (2), 145-152 Downloads View citations (149)
    See also Working Paper (2002)

2002

  1. How to implement the bootstrap in static or stable dynamic regression models: test statistic versus confidence region approach
    Journal of Econometrics, 2002, 108, (1), 133-156 Downloads View citations (12)

1999

  1. Alternative bias approximations in first-order dynamic reduced form models
    Journal of Economic Dynamics and Control, 1999, 23, (7), 909-928 Downloads View citations (3)

1998

  1. Degrees of freedom adjustment for disturbance variance estimators in dynamic regression models
    Econometrics Journal, 1998, 1, (RegularPapers), 44-70 View citations (6)
  2. Exact Inference Methods for First-Order Autoregressive Distributed Lag Models
    Econometrica, 1998, 66, (1), 79-104 View citations (59)
    See also Working Paper (1995)

1997

  1. Exact tests in single equation autoregressive distributed lag models
    Journal of Econometrics, 1997, 80, (2), 325-353 Downloads View citations (26)
    See also Working Paper (1995)

1996

  1. Bootstrapping a Stable AD Model: Weak vs Strong Exogeneity
    Oxford Bulletin of Economics and Statistics, 1996, 58, (4), 631-56 View citations (5)
  2. Exact tests for structural change in first-order dynamic models
    Journal of Econometrics, 1996, 70, (1), 39-68 Downloads View citations (52)
  3. The bias of the ordinary least squares estimator in simultaneous equation models
    Economics Letters, 1996, 53, (2), 161-167 Downloads View citations (8)

1995

  1. On bias, inconsistency, and efficiency of various estimators in dynamic panel data models
    Journal of Econometrics, 1995, 68, (1), 53-78 Downloads View citations (647)
  2. The bias of OLS, GLS, and ZEF estimators in dynamic seemingly unrelated regression models
    Journal of Econometrics, 1995, 69, (1), 241-266 Downloads View citations (8)

1994

  1. Bias assessment and reduction in linear error-correction models
    Journal of Econometrics, 1994, 63, (1), 215-243 Downloads View citations (22)
  2. Structure and dynamics in econometrics
    Journal of Econometrics, 1994, 63, (1), 1-5 Downloads

1993

  1. Alternative Bias Approximations in Regressions with a Lagged-Dependent Variable
    Econometric Theory, 1993, 9, (01), 62-80 Downloads View citations (38)

1992

  1. Bias of SDE 2 in the Linear Regression Model with Correlated Errors
    The Review of Economics and Statistics, 1992, 74, (2), 362-65 Downloads View citations (5)
  2. Exact Similar Tests for Unit Roots and Cointegration
    Oxford Bulletin of Economics and Statistics, 1992, 54, (3), 349-67 View citations (21)

1986

  1. On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships
    Review of Economic Studies, 1986, 53, (2), 241-261 Downloads View citations (38)

1985

  1. Model selection test procedures in a single linear equation of a dynamic simultaneous system and their defects in small samples
    Journal of Econometrics, 1985, 28, (3), 327-362 Downloads View citations (12)

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Page updated 2017-08-17