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Frank Kleibergen

Personal Details

First Name:Frank
Middle Name:
Last Name:Kleibergen
Suffix:
RePEc Short-ID:pkl31
[This author has chosen not to make the email address public]
https://www.uva.nl/profiel/k/l/f.r.kleibergen/f.r.kleibergen.html
Terminal Degree:1994 Econometrisch Instituut; Faculteit der Economische Wetenschappen; Erasmus Universiteit Rotterdam (from RePEc Genealogy)

Affiliation

Amsterdam School of Economics
Faculteit Economie en Bedrijfskunde
Universiteit van Amsterdam

Amsterdam, Netherlands
http://feb.uva.nl/asehome/
RePEc:edi:asuvanl (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Software

Working papers

  1. Frank Kleibergen & Lingwei Kong, 2023. "Identification Robust Inference for the Risk Premium in Term Structure Models," Papers 2307.12628, arXiv.org.
  2. Frank Kleibergen & Zhaoguo Zhan, 2022. "Misspecification and Weak Identification in Asset Pricing," Papers 2206.13600, arXiv.org.
  3. Patrik Guggenberger & Frank Kleibergen & Sophocles Mavroeidis, 2021. "A Powerful Subvector Anderson Rubin Test in Linear Instrumental Variables Regression with Conditional Heteroskedasticity," Papers 2103.11371, arXiv.org, revised Oct 2022.
  4. Maurice J. G. Bun & Frank Kleibergen, 2021. "Identification robust inference for moments based analysis of linear dynamic panel data models," Papers 2105.08346, arXiv.org.
  5. Frank Kleibergen & Zhaoguo Zhan, 2021. "Double robust inference for continuous updating GMM," Papers 2105.08345, arXiv.org.
  6. Patrik Guggenberger & Frank Kleibergen & Sophocles Mavroeidis, 2020. "A Test for Kronecker Product Structure Covariance Matrix," Papers 2010.10961, arXiv.org, revised Jan 2022.
  7. Prosper Dovonon & Alastair R. Hall & Frank Kleibergen, 2017. "Inference in Second-Order Identified Models," Economics Discussion Paper Series 1703, Economics, The University of Manchester.
  8. Frank Kleibergen & Zhaoguo Zhan, 2014. "Unexplained factors and their effects on second pass R-squared’s," UvA-Econometrics Working Papers 14-05, Universiteit van Amsterdam, Dept. of Econometrics.
  9. Maurice J.G. Bun & Frank Kleibergen, 2013. "Identification and inference in moments based analysis of linear dynamic panel data models," UvA-Econometrics Working Papers 13-07, Universiteit van Amsterdam, Dept. of Econometrics.
  10. Hoogerheide, L.F. & Kleibergen, F.R. & van Dijk, H.K., 2006. "Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data," Econometric Institute Research Papers EI 2006-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  11. Richard Paap & Frank Kleibergen, 2004. "Generalized Reduced Rank Tests using the Singular Value Decomposition," Econometric Society 2004 Australasian Meetings 195, Econometric Society.
  12. Frank Kleibergen, 2004. "Expansions of GMM statistics that indicate their properties under weak and/or many instruments and the bootstrap," Econometric Society 2004 North American Summer Meetings 408, Econometric Society.
  13. Frank Kleibergen, 2004. "Higher order approximations of IV statistics that indicate their properties under weak or many instruments," Econometric Society 2004 North American Winter Meetings 199, Econometric Society.
  14. Frank Kleibergen, 2002. "Two Independent Pivotal Statistics that test Location and Misspecification and add up to the Anderson-Rubin Statistic," Tinbergen Institute Discussion Papers 02-064/4, Tinbergen Institute.
  15. Bekker, Paul A. & Kleibergen, Frank, 2001. "Finite-sample instrumental variables inference using an asymptotically pivotal statistic," CCSO Working Papers 200109, University of Groningen, CCSO Centre for Economic Research.
  16. Frank Kleibergen, 2001. "Testing Parameters in GMM without Assuming that they are identified," Tinbergen Institute Discussion Papers 01-067/4, Tinbergen Institute.
  17. Frank Kleibergen, 2001. "How to overcome the Jeffreys-Lindleys Paradox for Invariant Bayesian Inference in Regression Models," Tinbergen Institute Discussion Papers 01-073/4, Tinbergen Institute.
  18. Kleibergen, F.R. & Kleijn, R.H. & Paap, R., 2000. "The Bayesian Score Statistic," Econometric Institute Research Papers EI 2000-16/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  19. Frank Kleibergen, 2000. "Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression," Tinbergen Institute Discussion Papers 00-055/4, Tinbergen Institute.
  20. Frank R. Kleibergen, 2000. "Pivotal Statistics for Testing Subsets of Structural Parameters in the IV Regression Model," Tinbergen Institute Discussion Papers 00-088/4, Tinbergen Institute.
  21. Frank R. Kleibergen, 2000. "Exact Test Statistics and Distributions of Maximum Likelihood Estimators that result from Orthogonal Parameters," Tinbergen Institute Discussion Papers 00-039/4, Tinbergen Institute.
  22. Frank R. Kleibergen & Henk Hoek, 2000. "Bayesian Analysis of ARMA Models," Tinbergen Institute Discussion Papers 00-027/4, Tinbergen Institute.
  23. Houweling, P. & Hoek, J. & Kleibergen, F.R., 1999. "The Joint Estimation of Term Structures and Credit Spreads," Econometric Institute Research Papers EI 9916-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  24. Jan J.J. Groen & Frank R. Kleibergen, 1999. "Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models," Tinbergen Institute Discussion Papers 99-055/4, Tinbergen Institute.
  25. Kleibergen, F.R. & Franses, Ph.H.B.F., 1999. "Cointegration in a periodic vector autoregression," Econometric Institute Research Papers EI 9906-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  26. Kleibergen, F.R. & Paap, R., 1998. "Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration," Econometric Institute Research Papers EI 9821, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  27. Kleibergen, F.R. & Zivot, E., 1998. "Bayesian and classical approaches to instrumental variable regression," Econometric Institute Research Papers EI 9835, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  28. Kleibergen, F.R., 1998. "Conditional densities in econometrics," Econometric Institute Research Papers EI 9853, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  29. Kleibergen, F.R., 1998. "An alternative approach for constructing small sample and limiting distributions of maximum likelihood estimators," Econometric Institute Research Papers EI 9844, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  30. Kleibergen, F.R. & Urbain, J-P. & van Dijk, H.K., 1997. "Oil Price Shocks and Long Run Price and Import Demand Behavior," Econometric Institute Research Papers EI 9709-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  31. Kleibergen, F.R. & van Dijk, H.K., 1997. "Bayesian Simultaneous Equations Analysis using Reduced Rank Structures," Econometric Institute Research Papers EI 9714/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  32. Kleibergen, F.R., 1997. "Reduced Rank Regression using Generalized Method of Moments Estimators with extensions to structural breaks in cointegration models," Econometric Institute Research Papers EI 9722/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  33. Kleibergen, F.R. & Paap, R., 1996. "Priors, Posterior Odds and Lagrange Multiplier Statistics in Bayesian Analyses of Cointegration," Econometric Institute Research Papers EI 9668-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  34. Kleibergen, F., 1996. "Reduced Rank of Regression Using Generalized Method of Moments Estimators," Discussion Paper 1996-20, Tilburg University, Center for Economic Research.
  35. Kleibergen, F.R., 1996. "Equality Restricted Random Variables: Densities and Sampling Algorithms," Econometric Institute Research Papers EI 9662-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  36. Kleibergen, F.R. & Hoek, H., 1995. "Bayesian Analysis of ARMA models using Noninformative Priors," Econometric Institute Research Papers EI 9553-/B, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

    repec:dnb:wormem:646 is not listed on IDEAS

Articles

  1. Frank Kleibergen & Lingwei Kong & Zhaoguo Zhan, 2023. "Rejoinder on: Identification Robust Testing of Risk Premia in Finite Samples," Journal of Financial Econometrics, Oxford University Press, vol. 21(2), pages 311-315.
  2. Guggenberger, Patrik & Kleibergen, Frank & Mavroeidis, Sophocles, 2023. "A test for Kronecker Product Structure covariance matrix," Journal of Econometrics, Elsevier, vol. 233(1), pages 88-112.
  3. Frank Kleibergen & Lingwei Kong & Zhaoguo Zhan, 2023. "Identification Robust Testing of Risk Premia in Finite Samples," Journal of Financial Econometrics, Oxford University Press, vol. 21(2), pages 263-297.
  4. Bun, Maurice J.G. & Kleibergen, Frank, 2022. "Identification Robust Inference For Moments-Based Analysis Of Linear Dynamic Panel Data Models," Econometric Theory, Cambridge University Press, vol. 38(4), pages 689-751, August.
  5. Kleibergen, Frank, 2021. "Efficient size correct subset inference in homoskedastic linear instrumental variables regression," Journal of Econometrics, Elsevier, vol. 221(1), pages 78-96.
  6. Dovonon, Prosper & Hall, Alastair R. & Kleibergen, Frank, 2020. "Inference in second-order identified models," Journal of Econometrics, Elsevier, vol. 218(2), pages 346-372.
  7. Frank Kleibergen & Zhaoguo Zhan, 2018. "Identification-Robust Inference on Risk Premia of Mimicking Portfolios of Non-traded Factors," Journal of Financial Econometrics, Oxford University Press, vol. 16(2), pages 155-190.
  8. Kleibergen, Frank & Zhan, Zhaoguo, 2015. "Unexplained factors and their effects on second pass R-squared’s," Journal of Econometrics, Elsevier, vol. 189(1), pages 101-116.
  9. Frank Kleibergen & Sophocles Mavroeidis, 2014. "Identification Issues In Limited‐Information Bayesian Analysis Of Structural Macroeconomic Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(7), pages 1183-1209, November.
  10. Patrik Guggenberger & Frank Kleibergen & Sophocles Mavroeidis & Linchun Chen, 2012. "On the Asymptotic Sizes of Subset Anderson–Rubin and Lagrange Multiplier Tests in Linear Instrumental Variables Regression," Econometrica, Econometric Society, vol. 80(6), pages 2649-2666, November.
  11. Kleibergen, Frank & Mavroeidis, Sophocles, 2009. "Rejoinder," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(3), pages 331-339.
  12. Kleibergen, Frank & Mavroeidis, Sophocles, 2009. "Weak Instrument Robust Tests in GMM and the New Keynesian Phillips Curve," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(3), pages 293-311.
  13. Kleibergen, Frank, 2009. "Tests of risk premia in linear factor models," Journal of Econometrics, Elsevier, vol. 149(2), pages 149-173, April.
  14. Hoogerheide, Lennart & Kleibergen, Frank & van Dijk, Herman K., 2007. "Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data," Journal of Econometrics, Elsevier, vol. 138(1), pages 63-103, May.
  15. Kleibergen, Frank, 2007. "Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics," Journal of Econometrics, Elsevier, vol. 139(1), pages 181-216, July.
  16. Kleibergen, Frank & Paap, Richard, 2006. "Generalized reduced rank tests using the singular value decomposition," Journal of Econometrics, Elsevier, vol. 133(1), pages 97-126, July.
  17. Frank Kleibergen, 2005. "Testing Parameters in GMM Without Assuming that They Are Identified," Econometrica, Econometric Society, vol. 73(4), pages 1103-1123, July.
  18. Kleibergen, Frank, 2004. "Invariant Bayesian inference in regression models that is robust against the Jeffreys-Lindley's paradox," Journal of Econometrics, Elsevier, vol. 123(2), pages 227-258, December.
  19. Frank Kleibergen, 2004. "Testing Subsets of Structural Parameters in the Instrumental Variables," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 418-423, February.
  20. Bekker, Paul & Kleibergen, Frank, 2003. "Finite-Sample Instrumental Variables Inference Using An Asymptotically Pivotal Statistic," Econometric Theory, Cambridge University Press, vol. 19(5), pages 744-753, October.
  21. Groen, Jan J J & Kleibergen, Frank, 2003. "Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(2), pages 295-318, April.
  22. Kleibergen, Frank & Zivot, Eric, 2003. "Bayesian and classical approaches to instrumental variable regression," Journal of Econometrics, Elsevier, vol. 114(1), pages 29-72, May.
  23. Kleibergen, Frank & Paap, Richard, 2002. "Priors, posteriors and bayes factors for a Bayesian analysis of cointegration," Journal of Econometrics, Elsevier, vol. 111(2), pages 223-249, December.
  24. Frank Kleibergen, 2002. "Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression," Econometrica, Econometric Society, vol. 70(5), pages 1781-1803, September.
  25. Houweling, Patrick & Hoek, Jaap & Kleibergen, Frank, 2001. "The joint estimation of term structures and credit spreads," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 297-323, July.
  26. Frank Kleibergen & Herman van Dijk & Jean-Pierre Urbain, 1999. "Oil Price Shocks and Long Run Price and Import Demand Behavior," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 51(3), pages 399-417, September.
  27. Kleibergen, Frank & van Dijk, Herman K., 1998. "Bayesian Simultaneous Equations Analysis Using Reduced Rank Structures," Econometric Theory, Cambridge University Press, vol. 14(6), pages 701-743, December.
  28. Franses, Philip Hans & Kleibergen, Frank, 1996. "Unit roots in the Nelson-Plosser data: Do they matter for forecasting?," International Journal of Forecasting, Elsevier, vol. 12(2), pages 283-288, June.
  29. Kleibergen, Frank & van Dijk, Herman K., 1994. "On the Shape of the Likelihood/Posterior in Cointegration Models," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 514-551, August.
  30. Kleibergen, Frank & van Dijk, Herman K., 1994. "Direct cointegration testing in error correction models," Journal of Econometrics, Elsevier, vol. 63(1), pages 61-103, July.
  31. Kleibergen, F & Van Dijk, H K, 1993. "Non-stationarity in GARCH Models: A Bayesian Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages 41-61, Suppl. De.

Software components

  1. Frank Kleibergen & Mark E Schaffer & Frank Windmeijer, 2007. "RANKTEST: Stata module to test the rank of a matrix," Statistical Software Components S456865, Boston College Department of Economics, revised 29 Sep 2020.

More information

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Statistics

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This author is among the top 5% authors according to these criteria:
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  2. Number of Distinct Works, Weighted by Simple Impact Factor
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  6. Number of Citations
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  10. Number of Citations, Weighted by Recursive Impact Factor
  11. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  12. Number of Citations, Weighted by Number of Authors
  13. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  14. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
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  16. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  17. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  18. Number of Registered Citing Authors
  19. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  20. Number of Journal Pages, Weighted by Simple Impact Factor
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  22. Number of Journal Pages, Weighted by Number of Authors
  23. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
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  25. Number of Abstract Views in RePEc Services over the past 12 months
  26. Number of Downloads through RePEc Services over the past 12 months
  27. Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
  28. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
  29. Euclidian citation score
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Co-authorship network on CollEc

Featured entries

This author is featured on the following reading lists, publication compilations, Wikipedia, or ReplicationWiki entries:
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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 23 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (19) 1999-02-22 1999-09-01 2000-06-29 2000-06-29 2000-11-29 2001-07-17 2001-09-10 2002-07-12 2003-01-19 2004-10-30 2004-10-30 2015-01-14 2017-03-12 2020-11-09 2021-04-05 2021-05-24 2021-05-24 2022-08-08 2023-08-28. Author is listed
  2. NEP-ETS: Econometric Time Series (7) 1999-08-27 2000-06-29 2004-10-30 2004-10-30 2013-08-31 2021-04-05 2022-02-21. Author is listed
  3. NEP-FIN: Finance (1) 1999-05-10
  4. NEP-LAB: Labour Economics (1) 2001-09-10
  5. NEP-MON: Monetary Economics (1) 1999-05-10
  6. NEP-ORE: Operations Research (1) 2022-02-21
  7. NEP-UPT: Utility Models and Prospect Theory (1) 2023-08-28

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