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Professor Frank Windmeijer

Professorial Research Fellow

Nuffield College

+44 (0)1865 272872

Biographical Sketch

  • 2005-2019 Professor of Econometrics, University of Bristol
  • 2002-2005 Co-Director, Centre for Microdata Methods and Practice
  • 1996-2005 Senior Researcher, Institute for Fiscal Studies
  • 1994-1996 ERC Post-Doc, University College London
  • 1992-1994 Visiting Assistant Professor, Australian National University

Research Interests

  • Dynamic panel/longitudinal data estimation methods
  • Causal inference
  • Instrumental variables estimation, weak/invalid instruments
  • Mendelian randomisation

Selected Publications

  • Windmeijer F, H Farbmacher, N Davies and G Davey Smith. On the Use of the Lasso for Instrumental Variables Estimation with Some Invalid Instruments. Journal of the American Statistical Association 114, 1339-1350, 2019.
  • Clarke P and F Windmeijer. Instrumental Variable Estimators for Binary Outcomes, Journal of the American Statistical Association 107, 1638-1652, 2012.
  • Newey W and F Windmeijer. Generalised Method of Moments with Many Weak Moment Conditions, Econometrica 77, 687-719, 2009.
  • Windmeijer F. A Finite Sample Correction for the Variance of Linear Efficient Two-Step GMM Estimators, Journal of Econometrics 126, 25-51, 2005.