Professor Frank Windmeijer
Head of Department, Professorial Research Fellow
Fellow of the British Academy
Fellow of the International Association for Applied Econometrics
Co-Editor of the Journal of Applied Econometrics
Associate Editor of the Journal of the American Statistical Association
Recent publication:
The robust F-statistic as a test for weak instruments , Journal of Econometrics
Stata code for command gfweakivtest
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
- Causal inference
- Instrumental variables estimation, weak/invalid instruments
- Mendelian randomisation
Publications
Kasenally, F., Guan, R. and Windmeijer, F. (2026) “Two-Sample IV: Efficient Two-Step Estimation and Tests for Overidentification and Weak-Instruments.”
Hoekstra, J. and Windmeijer, F. (2026) “Best Feasible Conditional Critical Values for a More Powerful Subvector Anderson-Rubin Test.”
Lane, S. and Windmeijer, F. (2025) “Overidentification testing with weak instruments and heteroskedasticity.”
Windmeijer, F. (2023) “The Robust F-Statistic as a Test for Weak Instruments.”
Apfel, N. and Windmeijer, F. (2022) “The Generalized Falsification Adaptive Set for Violations of the Exclusion Restriction and Exogeneity.”
Windmeijer, F. (2022) “Weak Instruments, First-Stage Heteroskedasticity, the Robust F-Test and a GMM Estimator with the Weight Matrix Based on First-Stage Residuals.”