Details about Jan Frederik Kiviet

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 2024-01-11. Update your information in the RePEc Author Service.

Short-id: pki2

---

Jump to Journal Articles Chapters Software Items

Working Papers

2020

1. Causes of haze and its health effects in Singapore: a replication study
   Working Papers, Stellenbosch University, Department of Economics
   Also in MPRA Paper, University Library of Munich, Germany (2019)
   See also Journal Article CAUSES OF HAZE AND ITS HEALTH EFFECTS IN SINGAPORE: A REPLICATION STUDY, The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd. (2020) (2020)
2. Instrument-free inference under confined regressor endogeneity; derivations and applications
   Working Papers, Stellenbosch University, Department of Economics View citations (3)
   Also in MPRA Paper, University Library of Munich, Germany (2019) View citations (1)
3. kinkyreg: Instrument-free inference for linear regression models with endogenous regressors
   London Stata Conference 2020, Stata Users Group View citations (2)
   See also Journal Article kinkyreg: Instrument-free inference for linear regression models with endogenous regressors, Stata Journal, StataCorp LP (2021) View citations (28) (2021)

2019

4. Microeconometric Dynamic Panel Data Methods: Model Specification and Selection Issues
   MPRA Paper, University Library of Munich, Germany View citations (3)
   See also Journal Article Microeconometric dynamic panel data methods: Model specification and selection issues, Econometrics and Statistics, Elsevier (2020) View citations (28) (2020)

2016

5. 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 Social Sciences, Economic Growth Centre
6. Discriminating between (in)valid external instruments and (in)valid exclusion restrictions
   Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre View citations (1)
   Also in UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics (2015)
   See also Journal Article Discriminating between (in)valid External Instruments and (in)valid Exclusion Restrictions, Journal of Econometric Methods, De Gruyter (2017) View citations (9) (2017)
7. Testing the impossible: identifying exclusion restrictions
   UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics
   See also Journal Article Testing the impossible: Identifying exclusion restrictions, Journal of Econometrics, Elsevier (2020) View citations (52) (2020)
8. 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 Social Sciences, Economic Growth Centre View citations (9)
   Also in UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics (2015)
   See also Journal Article When is it really justifiable to ignore explanatory variable endogeneity in a regression model?, Economics Letters, Elsevier (2016) View citations (9) (2016)

2015

9. Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models
   CESifo Working Paper Series, CESifo View citations (4)
   Also in Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre (2014)
   See also Journal Article Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models, Econometrics, MDPI (2017) View citations (19) (2017)
10. 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 Social Sciences, Economic Growth Centre View citations (1)

2014

11. Efficiency Gains by Modifying GMM Estimation in Linear Models under Heteroskedasticity
    CESifo Working Paper Series, CESifo View citations (7)
    Also in UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics (2014) View citations (7)
    Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre (2014) View citations (7)
12. Hong Kong: A Bridge Connecting Mainland China and the International Market
    Economic Growth Centre Working Paper Series, Nanyang Technological University, School of Social Sciences, Economic Growth Centre

2013

13. 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 Social Sciences, Economic Growth Centre
    See also Chapter On the Limiting and Empirical Distributions of IV Estimators When Some of the Instruments are Actually Endogenous, Advances in Econometrics, Emerald Group Publishing Limited (2014) View citations (1) (2014)

2012

14. 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 Social Sciences, Economic Growth Centre View citations (1)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2012) View citations (1)
    See also Journal Article Identification and inference in a simultaneous equation under alternative information sets and sampling schemes, Econometrics Journal, Royal Economic Society (2013) View citations (36) (2013)
15. 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 Social Sciences, Economic Growth Centre View citations (1)
    See also Journal Article Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models, Computational Statistics & Data Analysis, Elsevier (2014) View citations (6) (2014)
16. 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 Social Sciences, Economic Growth Centre View citations (9)
    See also Journal Article The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation, Econometrics and Statistics, Elsevier (2017) View citations (2) (2017)

2006

17. The Asymptotic and Finite Sample Distributions of OLS and Simple IV in Simultaneous Equations
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article The asymptotic and finite sample distributions of OLS and simple IV in simultaneous equations, Computational Statistics & Data Analysis, Elsevier (2007) View citations (22) (2007)

2005

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

2004

19. The Effects of Dynamic Feedbacks on LS and MM Estimator Accuracy in Panel Data Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models, Journal of Econometrics, Elsevier (2006) View citations (168) (2006)
20. Viewing the Relative Efficiency of IV Estimators in Models with Lagged and Instantaneous Feedbacks
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    See also Journal Article Viewing the relative efficiency of IV estimators in models with lagged and instantaneous feedbacks, Computational Statistics & Data Analysis, Elsevier (2005) View citations (9) (2005)

2002

21. 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
22. On the Diminishing Returns of Higher-order Terms in Asymptotic Expansions of Bias
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
    See also Journal Article On the diminishing returns of higher-order terms in asymptotic expansions of bias, Economics Letters, Elsevier (2003) View citations (295) (2003)

2001

23. How to implement the Bootstrap in Static or Stable Dynamic Regression Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute
24. Moment Approximation for Least Squares Estimators in Dynamic Regression Models with a Unit Root
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
    Also in Discussion Papers, University of Exeter, Department of Economics (1998) View citations (4)
25. The Accuracy of Inference in Small Samples of Dynamic Panel Data Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (28)

2000

26. Improved Coefficient and Variance Estimation in Stable First-Order Dynamic Regression Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (7)

1999

27. Higher-Order Asymptotic Expansions of the Least-Squares Estimation Bias in First-Order Dynamic Regression Models
    Discussion Papers, University of Exeter, Department of Economics View citations (3)
    See also Journal Article Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models, Computational Statistics & Data Analysis, Elsevier (2012) View citations (14) (2012)
28. The Bias of the 2SLS Variance Estimator
    Discussion Papers, University of Exeter, Department of Economics View citations (2)

1995

29. Exact Inference Methods for First-Order Autoregressive Distributed Lag Models
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (31)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations (2)
    See also Journal Article Exact Inference Methods for First-Order Autoregressive Distributed Lag Models, Econometrica, Econometric Society (1998) View citations (71) (1998)
30. Exact Tests Structural Change in First-Order Dynamic Models
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (1)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations (2)
31. Exact Tests in Single Equation Autoregressive Distributed Lag Models
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (1)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations (3)
    See also Journal Article Exact tests in single equation autoregressive distributed lag models, Journal of Econometrics, Elsevier (1997) View citations (29) (1997)

1989

32. Bias of s2 in Linear Regression Model with correlated errors
    University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business
    See also Journal Article Bias of SDE 2 in the Linear Regression Model with Correlated Errors, The Review of Economics and Statistics, MIT Press (1992) View citations (5) (1992)

1988

33. 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
    Also in University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business (1988)

1986

34. BIAS CORRECTION IN LAGGED-DEPENDENT VARIABLE MODELS
    University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business

1985

35. TESTING STRATEGIES FOR MODEL SPECIFICATION
    University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business
36. THE IMPORTANCE AND PERFORMANCE OF TESTS FOR THE SELECTION OF INSTRUMENTAL VARIABLES
    University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business

1984

37. BOOTSTRAP INFERENCE IN LAGGED_DEPENDENT VARIABLE MODELS
    University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business
38. MODEL SELECTION TEST PROCEDUES IN A SINGLE LINEAR EQUATION OF A DYNAMIC SIMULTANEOUS SYSTEM AND THEIR DEFECTS IN SMALL SAMPLES
    University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business View citations (2)
    Also in University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business (1984) View citations (2)
    See also Journal Article Model selection test procedures in a single linear equation of a dynamic simultaneous system and their defects in small samples, Journal of Econometrics, Elsevier (1985) View citations (15) (1985)

1981

39. On the Rigour of some Specification Tests for Modeling Dynamic Relationships
    University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business View citations (1)

1977

40. Non-detection of the serial correlation in least squares regression; frequency and consequences
    University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business View citations (1)

1976

41. The bias of Ordinary least squares variance estimators when the disturbances follow a stationary first-order autoregressive scheme
    University of Amsterdam, Actuarial Science and Econometrics Archive, University of Amsterdam, Faculty of Economics and Business

Journal Articles

2023

1. Instrument-free inference under confined regressor endogeneity and mild regularity
   Econometrics and Statistics, 2023, 25, (C), 1-22 View citations (10)

2021

2. Instrument approval by the Sargan test and its consequences for coefficient estimation
   Economics Letters, 2021, 205, (C) View citations (6)
3. kinkyreg: Instrument-free inference for linear regression models with endogenous regressors
   Stata Journal, 2021, 21, (3), 772-813 View citations (28)
   See also Working Paper kinkyreg: Instrument-free inference for linear regression models with endogenous regressors, London Stata Conference 2020 (2020) View citations (2) (2020)

2020

4. CAUSES OF HAZE AND ITS HEALTH EFFECTS IN SINGAPORE: A REPLICATION STUDY
   The Singapore Economic Review (SER), 2020, 65, (06), 1367-1387
   See also Working Paper Causes of haze and its health effects in Singapore: a replication study, Working Papers (2020) (2020)
5. Microeconometric dynamic panel data methods: Model specification and selection issues
   Econometrics and Statistics, 2020, 13, (C), 16-45 View citations (28)
   See also Working Paper Microeconometric Dynamic Panel Data Methods: Model Specification and Selection Issues, MPRA Paper (2019) View citations (3) (2019)
6. Testing the impossible: Identifying exclusion restrictions
   Journal of Econometrics, 2020, 218, (2), 294-316 View citations (52)
   See also Working Paper Testing the impossible: identifying exclusion restrictions, UvA-Econometrics Working Papers (2016) (2016)

2018

7. A Critical Appraisal of Studies Analyzing Co-movement of International Stock Markets
   Annals of Economics and Finance, 2018, 19, (1), 151-196

2017

8. Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models
   Econometrics, 2017, 5, (1), 1-54 View citations (19)
   See also Working Paper Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models, CESifo Working Paper Series (2015) View citations (4) (2015)
9. Discriminating between (in)valid External Instruments and (in)valid Exclusion Restrictions
   Journal of Econometric Methods, 2017, 6, (1), 9 View citations (9)
   See also Working Paper Discriminating between (in)valid external instruments and (in)valid exclusion restrictions, Economic Growth Centre Working Paper Series (2016) View citations (1) (2016)
10. The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation
    Econometrics and Statistics, 2017, 2, (C), 1-21 View citations (2)
    See also Working Paper The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation, Economic Growth Centre Working Paper Series (2012) View citations (9) (2012)

2016

11. When is it really justifiable to ignore explanatory variable endogeneity in a regression model?
    Economics Letters, 2016, 145, (C), 192-195 View citations (9)
    See also Working Paper When is it really justifiable to ignore explanatory variable endogeneity in a regression model?, Economic Growth Centre Working Paper Series (2016) View citations (9) (2016)

2014

12. Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models
    Computational Statistics & Data Analysis, 2014, 76, (C), 424-448 View citations (6)
    See also Working Paper Improved Variance Estimation of Maximum Likelihood Estimators in Stable First-Order Dynamic Regression Models, Economic Growth Centre Working Paper Series (2012) View citations (1) (2012)

2013

13. Identification and inference in a simultaneous equation under alternative information sets and sampling schemes
    Econometrics Journal, 2013, 16, (1), S24-S59 View citations (36)
    See also Working Paper Identification and Inference in a Simultaneous Equation Under Alternative Information Sets and Sampling Schemes, Economic Growth Centre Working Paper Series (2012) View citations (1) (2012)

2012

14. 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 View citations (6)
15. 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 View citations (14)
    See also Working Paper Higher-Order Asymptotic Expansions of the Least-Squares Estimation Bias in First-Order Dynamic Regression Models, Discussion Papers (1999) View citations (3) (1999)
16. Monte Carlo Simulation for Econometricians
    Foundations and Trends(R) in Econometrics, 2012, 5, (1–2), 1-181 View citations (16)

2009

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

2007

18. The asymptotic and finite sample distributions of OLS and simple IV in simultaneous equations
    Computational Statistics & Data Analysis, 2007, 51, (7), 3296-3318 View citations (22)
    See also Working Paper The Asymptotic and Finite Sample Distributions of OLS and Simple IV in Simultaneous Equations, Tinbergen Institute Discussion Papers (2006) (2006)

2006

19. The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models
    Journal of Econometrics, 2006, 132, (2), 409-444 View citations (168)
    See also Working Paper The Effects of Dynamic Feedbacks on LS and MM Estimator Accuracy in Panel Data Models, Tinbergen Institute Discussion Papers (2004) (2004)

2005

20. Moment approximation for least-squares estimators in dynamic regression models with a unit root &ast
    Econometrics Journal, 2005, 8, (2), 115-142 View citations (12)
21. Viewing the relative efficiency of IV estimators in models with lagged and instantaneous feedbacks
    Computational Statistics & Data Analysis, 2005, 49, (2), 417-444 View citations (9)
    See also Working Paper Viewing the Relative Efficiency of IV Estimators in Models with Lagged and Instantaneous Feedbacks, Tinbergen Institute Discussion Papers (2004) (2004)

2003

22. On the diminishing returns of higher-order terms in asymptotic expansions of bias
    Economics Letters, 2003, 79, (2), 145-152 View citations (295)
    See also Working Paper On the Diminishing Returns of Higher-order Terms in Asymptotic Expansions of Bias, Tinbergen Institute Discussion Papers (2002) View citations (1) (2002)

2002

23. 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 View citations (18)

1999

24. Alternative bias approximations in first-order dynamic reduced form models
    Journal of Economic Dynamics and Control, 1999, 23, (7), 909-928 View citations (4)

1998

25. Degrees of freedom adjustment for disturbance variance estimators in dynamic regression models
    Econometrics Journal, 1998, 1, (RegularPapers), 44-70 View citations (7)
26. Exact Inference Methods for First-Order Autoregressive Distributed Lag Models
    Econometrica, 1998, 66, (1), 79-104 View citations (71)
    See also Working Paper Exact Inference Methods for First-Order Autoregressive Distributed Lag Models, Cahiers de recherche (1995) View citations (31) (1995)

1997

27. Exact tests in single equation autoregressive distributed lag models
    Journal of Econometrics, 1997, 80, (2), 325-353 View citations (29)
    See also Working Paper Exact Tests in Single Equation Autoregressive Distributed Lag Models, Cahiers de recherche (1995) View citations (1) (1995)

1996

28. Bootstrapping a Stable AD Model: Weak vs Strong Exogeneity
    Oxford Bulletin of Economics and Statistics, 1996, 58, (4), 631-56 View citations (6)
29. Exact tests for structural change in first-order dynamic models
    Journal of Econometrics, 1996, 70, (1), 39-68 View citations (58)
30. The bias of the ordinary least squares estimator in simultaneous equation models
    Economics Letters, 1996, 53, (2), 161-167 View citations (9)

1995

31. Neglected dynamics in panel data models; consequences and detection in finite samples*
    Statistica Neerlandica, 1995, 49, (3), 343-361 View citations (5)
32. On bias, inconsistency, and efficiency of various estimators in dynamic panel data models
    Journal of Econometrics, 1995, 68, (1), 53-78 View citations (1183)
33. The bias of OLS, GLS, and ZEF estimators in dynamic seemingly unrelated regression models
    Journal of Econometrics, 1995, 69, (1), 241-266 View citations (11)

1994

34. Bias assessment and reduction in linear error-correction models
    Journal of Econometrics, 1994, 63, (1), 215-243 View citations (23)
35. Structure and dynamics in econometrics
    Journal of Econometrics, 1994, 63, (1), 1-5

1993

36. Alternative Bias Approximations in Regressions with a Lagged-Dependent Variable
    Econometric Theory, 1993, 9, (1), 62-80 View citations (40)

1992

37. Bias of SDE 2 in the Linear Regression Model with Correlated Errors
    The Review of Economics and Statistics, 1992, 74, (2), 362-65 View citations (5)
    See also Working Paper Bias of s2 in Linear Regression Model with correlated errors, University of Amsterdam, Actuarial Science and Econometrics Archive (1989) (1989)
38. Exact Similar Tests for Unit Roots and Cointegration
    Oxford Bulletin of Economics and Statistics, 1992, 54, (3), 349-67 View citations (22)

1986

39. On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships
    The Review of Economic Studies, 1986, 53, (2), 241-261 View citations (57)

1985

40. 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 View citations (15)
    See also Working Paper MODEL SELECTION TEST PROCEDUES IN A SINGLE LINEAR EQUATION OF A DYNAMIC SIMULTANEOUS SYSTEM AND THEIR DEFECTS IN SMALL SAMPLES, University of Amsterdam, Actuarial Science and Econometrics Archive (1984) View citations (2) (1984)

Chapters

2014

1. On the Limiting and Empirical Distributions of IV Estimators When Some of the Instruments are Actually Endogenous
   A chapter in Essays in Honor of Peter C. B. Phillips, 2014, vol. 33, pp 425-490 View citations (1)
   See also Working Paper On the limiting and empirical distributions of IV estimators when some of the instruments are actually endogenous, Nanyang Technological University, School of Social Sciences, Economic Growth Centre (2013) (2013)

Software Items

2021

1. KINKYREG: Stata module to perform kinky least squares estimation and inference
   Statistical Software Components, Boston College Department of Economics