contact

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


  • Faculteit Economie en Bedrijfskunde
    Sectie Econometrie & Statistiek
  • Valckenierstraat  65
    1018 XE  Amsterdam
  • J.F.Kiviet@uva.nl

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

Positions

 

Emeritus Professor of Econometrics UvA (since 2013)
Nanyang Visiting Professor NTU, Singapore (2011-); 
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 

2014

2013

2012

2009

  • J.F. Kiviet (2009). Econometric analysis of panel data: editorial introduction. Singapore Economic Review, 54 (3), 313-317.

2007

  • J.F. Kiviet (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.
  • J.F. Kiviet & J. Niemczyk (2007). The asymptotic and finite sample distributions of OLS and simple IV in simultaneous equations. Computational Statistics and Data Analysis, 51 (7), 3296-3318.

2006

2005

2003

2002

2000

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

1999

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

1998

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

1997

  • J.F. Kiviet & J-M. Dufour (1997). Exact Tests in Single Equation Autoregressive Distributed Lag Models. Journal of Econometrics, 80, 325-353.

1996

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

1995

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

2010

2009

2006

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

2004

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

2003

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

2002

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

2001

  • J.F. Kiviet & G.D.A. Phillips (2001). Moment Approximation for Least Squares Estimators in Dynamic Regression Models with a Unit Root. Discussion paper - Tinbergen Institute, 118/4.

1998

  • J.F. Kiviet (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.
  • D.G.A. Phillips & J.F. Kiviet (1998). Degrees of freedom adjustment for disturbance variance estimators in dynamic regression models. The Econometrics Journal, 1, 44-70.
  • J.F. Kiviet & J.M. Dufour (1998). Exact inference in first-order autoregressive distributed lag models. Econometrica, 66, 79-104.

1997

  • N.P.A. van Giersbergen & J.F. Kiviet (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.
  • J.F. Kiviet & G.D.A. Philips (1997). Degrees of Freedom Adjustment for Disturbance Variance Estimators in Dynamic Regression Models. Discussion paper - Tinbergen Institute, 97-085/4.

1996

  • J.F. Kiviet & G.D.A. Phillips (1996). Higher-order asymptotic expansions of the least-squares estimation bias in first-order dynamic regression models. (TI discussion paper, 96-167/7). Amsterdam: Tinbergen Institute.
  • J.F. Kiviet & G.D.A. Phillips (1996). The bias of the ordinary least squares estimator in simultaneous equation models (TI discussion paper, 96-152/7). Amsterdam: Tinbergen Institute.
  • N.P.A. van Giersbergen & J.F. Kiviet (1996). Bootstrapping a stable AD model; weak versus strong exogeneity (TI discussion paper, 96-4/7). Amsterdam: Tinbergen Institute.

1995

  • J.F. Kiviet & G.D.A. Phillips (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.
  • J.F. Kiviet & J-M. Dufour (1995). Exact tests in single equation autoregressive distributed lag models. (intern rapport, TI discussion paper, no 7-95-065). : .

1994

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

1993

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

1992

  • J.F. Kiviet & W. Krämer (1992). Bias in s2 in the linear regression model with correlated errors. Review of Economics and Statistics, 74, 362-365.
  • J.F. Kiviet & G.D.A. Phillips (1992). Exact similar tests for unit roots and cointegration. Oxford Bulletin of Economics and Statistics, 54 (3), 349-367.

1991

  • J.F. Kiviet (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 (Lecture notes in economics and mathematical systems, 366) (pp. 404-418). Berlin: Springer.
  • J.F. Kiviet, W. Krämer & J. Breitung (1991). The null distribution of the F-test in the linear regression model with autocorrelated disturbances. Statistica, 50 (4), 503-509.
  • J.F. Kiviet, W. Krämer & J. Breitung (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 (Lecture notes in economics and mathematical systems, 366) (pp. 419-428). Berlin: Springer.

1987

  • J.F. Kiviet & G. de Ridder (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.
  • J.F. Kiviet & G.D.A. Phillips (1987). Testing strategies for model specification. Mathematics and computation, 20, 237-269.

1986

  • J.F. Kiviet (1986). On the rigour of some messpecification test for modelling dynamic relationships. The Review of Economic Studies, 53, 241-261.

1985

  • J.F. Kiviet (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.

1980

  • J.F. Kiviet (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.

2011

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

2005

2014

2012

2011

2007

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

2006

2005

2002

2001

1987

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