Fotograaf: FEB

dhr. prof. dr. J.F. (Jan) Kiviet


  • Faculteit Economie en Bedrijfskunde
    Sectie Quantitative Economics
  • Bezoekadres
    REC E
    Roetersstraat 11  Amsterdam
    Kamernummer: E4.32
  • Postadres:
    Postbus  15867
    1001 NJ  Amsterdam
  • J.F.Kiviet@uva.nl

"Economie verdient een harde aanpak/ Economics deserves hard methods"

Positions

 

Emeritus Professor of Econometrics UvA (since 2013);

Visiting Professor, University of Salamanca (2016- );
Visiting Professor NTU, Singapore (2011-2016); 
Full Professor of Econometrics UvA (1989-2013);
Elected member of the Royal Netherlands Academy of Arts and Sciences (since 2009);
Fellow of the Journal of Econometrics (since 2006);
Fellow of the Tinbergen Institute.

Career

Director research group UvA-Econometrics (1989-2011);
Head of Department of Quantitative Economics (1997-2002);
Senior Lecturer, University of Amsterdam (1987-1989);
PhD in Economics, University of Amsterdam (1987);
Lecturer, University of Amsterdam (1974-1987);
MSc in Econometrics, University of Amsterdam (1974).

Research programme

UvA-Econometrics

Research interests

Dynamic Models, Panel Data Analysis, Finite Sample Issues, Asymptotic Expansions, Exact Inference, Bootstrap, Monte Carlo Simulation, History of Statistics and Econometrics.

Dissertation title

Testing linear econometric models, promotor: prof. dr. J.S. Cramer, 20 February 1987

Personal webpage

My personal homepage 

2017

  • Kiviet, J. F. (2017). Discriminating between (in)valid external instruments and (in)valid exclusion restrictions. Journal of Econometric Methods, 6(1). DOI: 10.1515/jem-2016-0005, https://doi.org/10.1515/jem-2016-0005 [details]
  • Kiviet, J. F., Pleus, M., & Poldermans, R. W. (2017). Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models. Econometrics[details]

2016

  • Kiviet, J. F. (2016). When is it really justifiable to ignore explanatory variable endogeneity in a regression model? Economics Letters, 145, 192-195. DOI: 10.1016/j.econlet.2016.06.021 [details]

2014

  • Kiviet, J. F., & Phillips, G. D. A. (2014). Improved variance estimation of maximum likelihood estimators in stable first-order dynamic regression models. Computational Statistics and Data Analysis, 76, 424-448. DOI: 10.1016/j.csda.2013.09.021 [details]
  • Kiviet, J. F., & Niemczyk, J. (2014). On the limiting and empirical distribution of IV estimators when some of the instruments are actually endogenous. In Y. Chang, T. B. Fomby, & J. Y. Park (Eds.), Essays in honor of Peter C.B. Phillips. (pp. 425-490). (Advances in Econometrics; No. 33). Bingley, UK: Emerald Group Publishing Limited. DOI: 10.1108/S0731-905320140000033013 [details]

2013

  • Kiviet, J. F. (2013). Identification and inference in a simultaneous equation under alternative information sets and sampling schemes. Econometrics Journal, 16(1), S24-S59. DOI: 10.1111/j.1368-423X.2012.00386.x [details]

2012

  • Kiviet, J. F. (2012). Monte Carlo simulation for econometricians. Foundations and Trends® in Econometrics, 5(1-2), 1-181. DOI: 10.1561/0800000011 [details]
  • Kiviet, J. F., & Phillips, G. D. A. (2012). Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models. Computational Statistics and Data Analysis, 56(11), 3705-3729. DOI: 10.1016/j.csda.2010.07.013 [details]
  • Kiviet, J. F., & Niemczyk, J. (2012). Comparing the asymptotic and empirical (un)conditional distributions of OLS and IV in a linear static simultaneous equation. Computational Statistics and Data Analysis, 56(11), 3567-3586. DOI: 10.1016/j.csda.2010.07.028 [details]

2009

2007

  • Kiviet, J. F. (2007). Judging Contending Estimators by Simulation: Tournaments in Dynamic Panel Data Models. In G. D. A. Phillips, & E. Tzavalis (Eds.), The Refinement of Econometric Estimation and Test Procedures: Finite Sample and Asymptotic Analysis. (pp. 282-318-Ch. 11). Cambridge: Cambridge University Press. [details]
  • Kiviet, J. F., & Niemczyk, J. (2007). The asymptotic and finite sample distributions of OLS and simple IV in simultaneous equations. Computational Statistics and Data Analysis, 51(7), 3296-3318. DOI: 10.1016/j.csda.2006.09.024 [details]

2006

  • Bun, M. J. G., & Kiviet, J. F. (2006). The Effects of Dynamic Feedbacks on LS and MM Estimator Accuracy in Panel Data Models. Journal of Econometrics, 132(2), 409-444. DOI: 10.1016/j.jeconom.2005.02.006 [details]

2005

  • Joseph, A. S., & Kiviet, J. F. (2005). Viewing the relative efficiency of IV estimators in models with lagged and instantaneous feedbacks. Computational Statistics and Data Analysis, 49(2), 417-444. DOI: 10.1016/j.csda.2004.05.031 [details]
  • Kiviet, J. F., & Phillips, G. D. A. (2005). Moment approximation for least squares estimators in dynamic regression models with a unit root. The Econometrics Journal, 8(2), 115-142. DOI: 10.1111/j.1368-423X.2005.00156.x [details]

2003

  • Bun, M. J. G., & Kiviet, J. F. (2003). On the Diminishing Returns of Higher-Order Terms in Asymptotic Expansions of Bias. Economics Letters, 79(2), 145-152. DOI: 10.1016/S0165-1765(02)00299-9 [details]

2002

  • van Giersbergen, N. P. A., & Kiviet, J. F. (2002). How to implement the bootstrap in static or stable dynamic regression models. Journal of Econometrics, 108, 133-156. DOI: 10.1016/S0304-4076(01)00132-4 [details]

2000

  • Kiviet, J. F., & Phillips, G. D. A. (2000). The Bias of the 2SLS Variance Estimator. Economics Letters, (66), 7-15. [details]

1999

  • Kiviet, J. F. (1999). Expectations of expansions for estimators in a dynamic panel data model; some results for weakly exogenous regressors. In K. Lahiri, C. Hsiao, L. F. Lee, & M. H. Pesaran (Eds.), Analysis of Panels and Limited Dependent Variable Models. (pp. 199-225). Cambridge: Cambridge University Press. [details]
  • Kiviet, J. F., Phillips, G. D. A., & Schipp, B. (1999). Alternative bias approximations in first order dynamic reduced form models. Journal of Economic Dynamics & Control, (23), 909-928. [details]

1998

  • Kiviet, J. F., & Phillips, G. D. A. (1998). Degrees of Freedom Adjustment for Disturbance Variance Estimators in Dynamic Regression Models. The Econometrics Journal, 1, 44-70. [details]
  • Dufour, J-M., & Kiviet, J. F. (1998). Exact Inference in First-Order Autoregressive Distributed Lag Models. Econometrica, (66), 79-104. [details]

1997

  • Kiviet, J. F., & Dufour, J-M. (1997). Exact Tests in Single Equation Autoregressive Distributed Lag Models. Journal of Econometrics, 80, 325-353. DOI: 10.1016/S0304-4076(97)00048-1 [details]

1996

  • Kiviet, J. F., & Philips, G. D. A. (1996). The bias of the ordinary least squares estimator in simultaneous equation models. Economics Letters, 53, 61-67. DOI: 10.1016/S0165-1765(96)00895-6 [details]
  • van Giersbergen, N. P. A., & Kiviet, J. F. (1996). Bootstrapping a stable AD model; weak versus strong exogeneity. Oxford Bulletin of Economics and Statistics, 58, 631-656. [details]
  • Dufour, J-M., & Kiviet, J. F. (1996). Exact tests for structural change in first-order dynamic models. Journal of Econometrics, 70, 39-68. DOI: 10.1016/0304-4076(94)01683-6 [details]

1995

  • Kiviet, J. F. (1995). On bias, inconsistency and efficiency of various estimators in dynamic panel data models. Journal of Econometrics, 68, 53-78. DOI: 10.1016/0304-4076(94)01643-E [details]
  • Kiviet, J. F., Phillips, G. D. A., & Schipp, B. (1995). The bias of OLS, GLS and ZEF estimators in dynamic seemingly unrelated regression models. Journal of Econometrics, 69, 241-266. DOI: 10.1016/0304-4076(94)01670-U [details]
  • van den Doel, I. T., & Kiviet, J. F. (1995). Neglected dynamics in dynamic panel data models; consequences and detection in finite samples. Statistica Neerlandica, 49, 343-361. [details]

2010

  • Kiviet, J. F., & Niemczyk, J. (2010). Comparing the asymptotic and empirical (un)conditional distributions of OLS and IV in a linear static simultaneous equation. (UvA-Econometrics discussion paper; No. 2010/01). Amsterdam: Amsterdam School of Economics, Department of Quantitative Economics. [details]

2009

  • Kiviet, J. F., & Phillips, G. D. A. (2009). Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models. (UvA-Econometrics Discussion Paper; No. 2009/09). Amsterdam: Faculteit Economie en Bedrijfskunde. [details]
  • Kiviet, J. F., & Niemczyk, J. (2009). The asymptotic and finite sample (un)conditional distributions of OLS and simple IV in simultaneous equations. (UvA-Econometrics Discussion Paper; No. 2009/01). Amsterdam: Faculteit Economie en Bedrijfskunde. [details]

2006

  • Kiviet, J. F., & Niemczyk, J. (2006). The Asymptotic and Finite Sample Distributions of OLS and Simple IV in Simultaneous Equations. (Tinbergen Institute Discussion Paper; No. #06-078/4). Amsterdam: Faculteit Economie en Bedrijfskunde. [details]

2004

  • Bun, M. J. G., & Kiviet, J. F. (2004). The effects of dynamic feedbacks on LS and MM estimator accuracy in panel data models. (UvA econometrics discussion paper; No. 2002/05). Amsterdam: Universiteit van Amsterdam. [details] [PDF]
  • Joseph, A. F., & Kiviet, J. F. (2004). Viewing the relative efficiency of IV estimators in models with lagged and instantaneous feedbacks. (UvA-econometrics discussion paper; No. 2003-08). Amsterdam: Universiteit van Amsterdam. [details] [PDF]

2003

  • Bun, M. J. G., & Kiviet, J. F. (2003). On the diminishing returns of higher-order terms in asymptotic expansions of bias. Economics Letters, 79(2), 145-152. DOI: 10.1016/S0165-1765(02)00299-9 [details]
  • Kiviet, J. F., & Phillips, G. D. A. (2003). Improved coefficient and variance estimation in stable first-order dynamic regression models. (UvA-econometrics discussion papers; No. 2002/02). Amsterdam: Universiteit van Amsterdam. [details] [PDF]
  • Kiviet, J. F., & Phillips, G. D. A. (2003). Moment approximation for least squares estimators in dynamic regression models with a unit root. (UvA-econometrics discussion paper; No. 2003/03). Amsterdam: Universiteit van Amsterdam. [details] [PDF]
  • Kiviet, J. F., & Phillips, G. D. A. (2003). Moment approximation for least squares estimators in dynamic regression models with a unit root. Unknown Publisher. [details] [PDF]

2002

  • Bun, M. J. G., & Kiviet, J. F. (2002). Efficiency profiles of MM estimators in dynamic panel data models. Amsterdam: Universiteit van Amsterdam. [details] [PDF]
  • Bun, M. J. G., & Kiviet, J. F. (2002). On the diminishing returns of higher-order terms in asymptotic expansions of bias. (Tinbergen Institute Discussion Paper; No. TI 2002-099/4). Unknown Publisher. [details] [PDF]
  • Bun, M. J. G., & Kiviet, J. F. (2002). On the diminishing returns of higher-order terms in asymptotic expansions of bias. (UvA-econometrics discussion paper; No. 2002/06). Amsterdam: Universiteit van Amsterdam. [details] [PDF]
  • Bun, M. J. G., & Kiviet, J. F. (2002). The effects of dynamic feedbacks on LS and MM estimator. (Tinbergen Institute Discussion Paper). Unknown Publisher. [details] [PDF]

1998

  • Kiviet, J. F. (1998). Expectations of expansions for estimators in a dynamic panel data model; some results for weakly-exogeneous regressors. Discussion paper - Tinbergen Institute, TI98-027/4[details]
  • Kiviet, J. F., & Dufour, J. M. (1998). Exact inference in first-order autoregressive distributed lag models. Econometrica, 66, 79-104. DOI: 10.2307/2998541 [details]
  • Phillips, D. G. A., & Kiviet, J. F. (1998). Degrees of freedom adjustment for disturbance variance estimators in dynamic regression models. The Econometrics Journal, 1, 44-70. [details]

1997

  • Kiviet, J. F., & Philips, G. D. A. (1997). Degrees of Freedom Adjustment for Disturbance Variance Estimators in Dynamic Regression Models. Discussion paper - Tinbergen Institute, 97-085/4[details]
  • van Giersbergen, N. P. A., & Kiviet, J. F. (1997). bootstrapping a stable AD model: weak versus strong exogeneity. In A. Banerjee, & D. F. Hendry (Eds.), The econometrics of economic policy. (pp. 61-86). Oxford: Blackwell. [details]

1996

  • Kiviet, J. F., & Phillips, G. D. A. (1996). Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models. (TI discussion paper; No. 96-167/7). Amsterdam: Tinbergen Institute. [details] [PDF]
  • Kiviet, J. F., & Phillips, G. D. A. (1996). The bias of the ordinary least squares estimator in simultaneous equation models. (TI discussion paper; No. 96-152/7). Amsterdam: Tinbergen Institute. [details]
  • van Giersbergen, N. P. A., & Kiviet, J. F. (1996). Bootstrapping a stable AD model; weak versus strong exogeneity. (TI discussion paper; No. 96-4/7). Amsterdam: Tinbergen Institute. [details]

1995

  • Kiviet, J. F., & Dufour, J-M. (1995). Exact tests in single equation autoregressive distributed lag models. (TI discussion paper; No. 7-95-065). Unknown Publisher. [details]
  • Kiviet, J. F., & Phillips, G. D. A. (1995). Almost unbiased estimation in dynamic simultaneous equations through a small disturbance correction. In C. R. McKenzie (Ed.), Proceedings of the Osaka Econometrics conference. (pp. 329-356). Osaka, Japan: Osaka University. [details]

1994

  • Kiviet, J. F., & Phillips, G. D. A. (1994). Bias assessment and reduction in linear error-correction models. Journal of Econometrics, 63, 215-243. DOI: 10.1016/0304-4076(93)01566-5 [details]
  • Kiviet, J. F., & van Dijk, H. K. (1994). Structure and dynamics in econometrics (editors' introduction). Journal of Econometrics, 63, 1-5. DOI: 10.1016/0304-4076(93)01558-4 [details]
  • Kiviet, J. F., & van den Doel, I. T. (1994). Asymptotic consequences of neglected dynamics in individual effect models. Statistica Neerlandica, 48, 71-85. [details]

1993

  • Kiviet, J. F., & Phillips, G. D. A. (1993). Alternative bias approximations in regressions with a lagged dependent variable. Econometric Theory, 9, 62-80. DOI: 10.1017/S0266466600007337 [details]
  • Kiviet, J. F., & Phillips, G. D. A. (1993). Exact similar tests for the root of a first-order autoregressive regression model. Acta universitatis lodziensis folia oeconomica, 132, 65-97. [details]

1992

  • Kiviet, J. F., & Krämer, W. (1992). Bias in s2 in the linear regression model with correlated errors. Review of Economics and Statistics, 74, 362-365. DOI: 10.2307/2109673 [details]
  • Kiviet, J. F., & Phillips, G. D. A. (1992). Exact similar tests for unit roots and cointegration. Oxford Bulletin of Economics and Statistics, 54(3), 349-367. DOI: 10.1111/j.1468-0084.1992.tb00006.x [details]

1991

  • Kiviet, J. F. (1991). Tighter bounds for the effects of ARMA disturbances on tests for regression coefficients. In J. Gruber (Ed.), Econometric decision models: new methods of modelling and applications. (pp. 404-418). (Lecture notes in economics and mathematical systems; No. 366). Berlin: Springer. [details]
  • Kiviet, J. F., Krämer, W., & Breitung, J. (1991). The null distribution of the F-test in the linear regression model with autocorrelated disturbances. Statistica, 50(4), 503-509. [details]
  • Kiviet, J. F., Krämer, W., & Breitung, J. (1991). True vs. nominal size of the F-test in the linear regression model with autocorrelated errors. In J. Gruber (Ed.), Econometric decision models: new methods of modelling and applications. (pp. 419-428). (Lecture notes in economics and mathematical systems; No. 366). Berlin: Springer. [details]

1987

  • Kiviet, J. F., & Phillips, G. D. A. (1987). Testing strategies for model specification. Applied Mathematics and Computation, 20, 237-269. DOI: 10.1016/0096-3003(86)90007-X [details]
  • Kiviet, J. F., & de Ridder, G. (1987). On the rationale for and scope of regression models in econometrics. In R. D. H. Heijmans, & H. Neudecker (Eds.), The practice of econometrics: studies on demand, forecasting, money and income. (pp. 223-246). Dordrecht: Kluwer Academic Publishers. [details]

1986

  • Kiviet, J. F. (1986). On the rigour of some messpecification test for modelling dynamic relationships. The Review of Economic Studies, 53, 241-261. DOI: 10.2307/2297649 [details]

1985

  • Kiviet, J. F. (1985). Model selection test procedures in a single linear equation of a dynamic simultaneous system and their defects in small samples. Journal of Econometrics, 28, 327-362. DOI: 10.1016/0304-4076(85)90004-1 [details]

1980

  • Kiviet, J. F. (1980). Effects of ARMA errors on tests for regression coefficients: comments on Vinod's paper; improved and additional results. Journal of the American Statistical Association, 75, 353-358. DOI: 10.2307/2287458 [details]

2011

  • Kiviet, J. F. (2011). Maulding the method of moments into kinky least squares. Aenorm, 19(72), 13-16. [details]

2005

  • Kiviet, J. F. (2005). Over de Wald van de Wald toets en de Wold van de Wold decompositie stelling. Aenorm, 13(49), 26-28. [details]

2015

  • Pleus, M. (2015). Implementations of tests on the exogeneity of selected variables and their performance in practice Amsterdam: Tinbergen Institute [details] [PDF]

2009

  • Niemczyk, J. (2009). Consequences and detection of invalid exogeneity conditions Amsterdam: Thela Thesis [details / files]

1987

  • Kiviet, J. F. (1987). Testing linear econometric models [details]

2016

  • Kiviet, J. F. (2016). Discriminating between (in)valid external instruments and (in)valid exclusion restrictions. (UvA-Econometrics Discussion Paper; No. 2015/04). Amsterdam: Amsterdam School of Economics, University of Amsterdam. [details] [PDF]
  • Kiviet, J. F. (2016). Testing the impossible: identifying exclusion restrictions. (UvA-Econometrics 2016/03). [details]

2015

  • Kiviet, J. F. (2015). When is it really justifiable to ignore explanatory variable endogeneity in a regression model? (UvA-Econometrics Discussion Paper; No. 2015/05). Amsterdam: Amsterdam School of Economics, University of Amsterdam. [details] [PDF]

2014

  • Kiviet, J. F., & Feng, Q. (2014). Efficiency gains by modifying GMM estimation in linear models under heteroskedasticity. (EGC Report; No. 2014/13). Singapore: Nanyang Technological University. [details]
  • Kiviet, J. F., Pleus, M., & Poldermans, R. (2014). Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models. (UvA-Econometrics Discussion Paper; No. 2014/09). Amsterdam: University of Amsterdam. [details]
  • Chen, Z., Kiviet, J. F., & Huang, W. (2014). Hong Kong: a bridge connecting mainland China and the international market. (EGC Report; No. 2014/06). Singapore: Nanyang Technological University. [details]

2012

  • Kiviet, J. F. (2012). Identification and inference in a simultaneous equation under alternative information sets and sampling schemes. (Tinbergen Institute Discussion Papers; No. TI 2012-128/III). Amsterdam: Tinbergen Institute. [details]

2011

  • Kiviet, J. F. (2011). Identification and inference in a simultaneous equation under alternative information sets and sampling schemes. (UvA - Econometrics discussion paper; No. 2011/02). Amsterdam: Universiteit van Amsterdam. [details]
  • Kiviet, J. F. (2011). Mauling the method of moments into kinky least squares. (UvA-Econometrics Discussion paper; No. 2011/03). Amsterdam: Universiteit van Amsterdam. [details] [PDF]
  • Kiviet, J. F., & Pleus, M. (2011). The performance of tests on endogeneity of subsets of explanatory variables scanned by simulation. (UvA-Econometrics Discussion Paper; No. 2011/13). Amsterdam: Universiteit van Amsterdam. [details] [PDF]

2007

  • Kiviet, J. F. (2007). On the optimal weighting matrix for the GMM system estimator in dynamic panel data models. (UvA - Econometrics Working Paper; No. 2007/08). Amsterdam: Faculteit Economie en Bedrijfskunde. [details]

2006

  • Kiviet, J. F., & Niemczyk, J. (2006). On the limiting and empirical distribution of IV estimators when some of the instruments are invalid. (UvA-Econometrics Working Paper; No. 2006/02). Amsterdam: Faculteit Economie en Bedrijfskunde. [details] [PDF]

2005

  • Kiviet, J. F., & Niemczyk, J. (2005). The asymptotic and finite sample distribution of OLS and IV in simultaneous equations. (UvA econometrics discussion paper; No. 2005/01). Amsterdam: Faculteit Economie en Bedrijfskunde. [details] [PDF]

2002

  • Bun, M. J. G., & Kiviet, J. F. (2002). Efficiency profiles of MM estimators in dynamic panel data models. Amsterdam: Department of Quantitative Economics. [details] [PDF]

2001

  • Bun, M. J. G., & Kiviet, J. F. (2001). The Accuracy of Inference in Small Samples of Dynamic Panel Data Models. (Tinbergen Institute Discussion Paper; No. 2001-006/4). Amsterdam: Tinbergen Institute. [details] [PDF]
  • Kiviet, J. F., & Phillips, G. D. A. (2001). Moment Approximation for Least Squares Estimators in Dynamic Regression Models with a Unit Root. (Tinbergen Institute Discussion Paper; No. TI 2001-118/4). Amsterdam / Rotterdam: Tinbergen Institute. [details]
  • van Giersbergen, N. P. A., & Kiviet, J. F. (2001). How to implement the bootstrap in static or stable dynamic regression models. (Tinbergen Institute Discussion Paper; No. TI 2001-119/4). Amsterdam / Rotterdam: Tinbergen Institute. [details]

Spreker

  • Kiviet, Jan (speaker) (11-12-2016): Specification of dynamic panel data models: An empirical application to corporate finance, CFE-2016, Sevilla, Spain.
  • Kiviet, Jan (speaker) (17-6-2016): When is it really justifiable to ignore explanatory variable endogeneity in a regression model?, NESG, Leuven, Belgium.
This list of publications is extracted from the UvA-Current Research Information System. Questions? Ask the library or the Pure staff of your faculty / institute. Log in to Pure to edit your publications.

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