Professor Frank Windmeijer

Professorial Research Fellow, Deputy Head of Department

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

Google Scholar

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

Windmeijer, F. (2025) “The robust F-statistic as a test for weak instruments”, Journal of Econometrics [Preprint].

Lin, Y. et al. (2024) “On the instrumental variable estimation with many weak and invalid instruments”, Journal of the Royal Statistical Society: Statistical Methodology Series B, 86(4), pp. 1068–1088.

Windmeijer, F. (2023) “The Robust F-Statistic as a Test for Weak Instruments.”

Davies, N. et al. (2023) “The causal effects of education on adult health, mortality and income: evidence from Mendelian randomization and the raising of the school leaving age”, International Journal of Epidemiology, 52(6), pp. 1878–1886.

Apfel, N. and Windmeijer, F. (2022) “The Falsification Adaptive Set in Linear Models with Instrumental Variables that Violate the Exclusion or Conditional Exogeneity Restriction.”

Liang, X., Sanderson, E. and Windmeijer, F. (2022) “Selecting Valid Instrumental Variables in Linear Models with Multiple Exposure Variables: Adaptive Lasso and the Median-of-Medians Estimator”, arXiv.

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.”

Lin, Y. et al. (2022) “On the instrumental variable estimation with many weak and invalid instruments”, arXiv.

Li, C. et al. (2022) “Binary outcomes, OLS, 2SLS and IV probit”, Econometric Reviews, 41(8), pp. 859–876.

Van de Sijpe, N. and Windmeijer, F. (2022) “On the power of the conditional likelihood ratio and related tests for weak-instrument robust inference”, Journal of Econometrics, 235(1), pp. 82–104.