Overview
Eric Zivot is a professor of economics at the University of Washington (Seattle) specializing in time-series econometrics and financial econometrics. He is co-author of the widely used textbook Modeling Financial Time Series with S-PLUS and contributed to identification-robust IV inference literature through his work on weak instruments with Stock, Nelson, and Startz, and through Kleibergen and Zivot (2003).
Key Contributions / Features
- Kleibergen and Zivot (2003): Co-established the Bayesian foundations of LIML/2SLS and weak-instrument behavior of Bayesian IV posteriors.
- Zivot, Startz, and Nelson (1998): "Valid Confidence Intervals and Inference in the Presence of Weak Instruments" — early influential study of weak-instrument inference, used as Monte Carlo benchmark in the 2003 paper.
- Wang and Zivot (1998): "Inference on Structural Parameters in Instrumental Variables Regression with Weak Instruments" — Econometrica paper on weak-instrument robust testing.
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