Frank Kleibergen
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Kleibergen |
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Universiteit van Amsterdam
/ Faculteit Economie en Bedrijfskunde
/ Amsterdam School of Economics
Research profile
author of:
- Identification and inference in moments based analysis of linear dynamic panel data models (RePEc:ame:wpaper:1307)
by Maurice J.G. Bun & Frank Kleibergen - Unexplained factors and their effects on second pass R-squared’s (RePEc:ame:wpaper:1405)
by Frank Kleibergen & Zhaoguo Zhan - A Test for Kronecker Product Structure Covariance Matrix (RePEc:arx:papers:2010.10961)
by Patrik Guggenberger & Frank Kleibergen & Sophocles Mavroeidis - A Powerful Subvector Anderson Rubin Test in Linear Instrumental Variables Regression with Conditional Heteroskedasticity (RePEc:arx:papers:2103.11371)
by Patrik Guggenberger & Frank Kleibergen & Sophocles Mavroeidis - Double robust inference for continuous updating GMM (RePEc:arx:papers:2105.08345)
by Frank Kleibergen & Zhaoguo Zhan - Identification robust inference for moments based analysis of linear dynamic panel data models (RePEc:arx:papers:2105.08346)
by Maurice J. G. Bun & Frank Kleibergen - Misspecification and Weak Identification in Asset Pricing (RePEc:arx:papers:2206.13600)
by Frank Kleibergen & Zhaoguo Zhan - Identification Robust Inference for the Risk Premium in Term Structure Models (RePEc:arx:papers:2307.12628)
by Frank Kleibergen & Lingwei Kong - Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models (RePEc:bes:jnlbes:v:21:y:2003:i:2:p:295-318)
by Groen, Jan J J & Kleibergen, Frank - Weak Instrument Robust Tests in GMM and the New Keynesian Phillips Curve (RePEc:bes:jnlbes:v:27:i:3:y:2009:p:293-311)
by Kleibergen, Frank & Mavroeidis, Sophocles - Rejoinder (RePEc:bes:jnlbes:v:27:i:3:y:2009:p:331-339)
by Kleibergen, Frank & Mavroeidis, Sophocles - RANKTEST: Stata module to test the rank of a matrix (RePEc:boc:bocode:s456865)
by Frank Kleibergen & Mark E Schaffer & Frank Windmeijer - On the Shape of the Likelihood/Posterior in Cointegration Models (RePEc:cup:etheor:v:10:y:1994:i:3-4:p:514-551_00)
by Kleibergen, Frank & van Dijk, Herman K. - Bayesian Simultaneous Equations Analysis Using Reduced Rank Structures (RePEc:cup:etheor:v:14:y:1998:i:06:p:701-743_14)
by Kleibergen, Frank & van Dijk, Herman K. - Finite-Sample Instrumental Variables Inference Using An Asymptotically Pivotal Statistic (RePEc:cup:etheor:v:19:y:2003:i:05:p:744-753_19)
by Bekker, Paul & Kleibergen, Frank - Identification Robust Inference For Moments-Based Analysis Of Linear Dynamic Panel Data Models (RePEc:cup:etheor:v:38:y:2022:i:4:p:689-751_2)
by Bun, Maurice J.G. & Kleibergen, Frank - Unknown item RePEc:dnb:wormem:646 (paper)
- Generalized Reduced Rank Tests using the Singular Value Decomposition (RePEc:ecm:ausm04:195)
by Richard Paap & Frank Kleibergen - Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression (RePEc:ecm:emetrp:v:70:y:2002:i:5:p:1781-1803)
by Frank Kleibergen - Testing Parameters in GMM Without Assuming that They Are Identified (RePEc:ecm:emetrp:v:73:y:2005:i:4:p:1103-1123)
by Frank Kleibergen - On the Asymptotic Sizes of Subset Anderson–Rubin and Lagrange Multiplier Tests in Linear Instrumental Variables Regression (RePEc:ecm:emetrp:v:80:y:2012:i:6:p:2649-2666)
by Patrik Guggenberger & Frank Kleibergen & Sophocles Mavroeidis & Linchun Chen - Expansions of GMM statistics that indicate their properties under weak and/or many instruments and the bootstrap (RePEc:ecm:nasm04:408)
by Frank Kleibergen - Higher order approximations of IV statistics that indicate their properties under weak or many instruments (RePEc:ecm:nawm04:199)
by Frank Kleibergen - Priors, posteriors and bayes factors for a Bayesian analysis of cointegration (RePEc:eee:econom:v:111:y:2002:i:2:p:223-249)
by Kleibergen, Frank & Paap, Richard - Bayesian and classical approaches to instrumental variable regression (RePEc:eee:econom:v:114:y:2003:i:1:p:29-72)
by Kleibergen, Frank & Zivot, Eric - Invariant Bayesian inference in regression models that is robust against the Jeffreys-Lindley's paradox (RePEc:eee:econom:v:123:y:2004:i:2:p:227-258)
by Kleibergen, Frank - Generalized reduced rank tests using the singular value decomposition (RePEc:eee:econom:v:133:y:2006:i:1:p:97-126)
by Kleibergen, Frank & Paap, Richard - Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data (RePEc:eee:econom:v:138:y:2007:i:1:p:63-103)
by Hoogerheide, Lennart & Kleibergen, Frank & van Dijk, Herman K. - Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics (RePEc:eee:econom:v:139:y:2007:i:1:p:181-216)
by Kleibergen, Frank - Tests of risk premia in linear factor models (RePEc:eee:econom:v:149:y:2009:i:2:p:149-173)
by Kleibergen, Frank - Unexplained factors and their effects on second pass R-squared’s (RePEc:eee:econom:v:189:y:2015:i:1:p:101-116)
by Kleibergen, Frank & Zhan, Zhaoguo - Inference in second-order identified models (RePEc:eee:econom:v:218:y:2020:i:2:p:346-372)
by Dovonon, Prosper & Hall, Alastair R. & Kleibergen, Frank - Efficient size correct subset inference in homoskedastic linear instrumental variables regression (RePEc:eee:econom:v:221:y:2021:i:1:p:78-96)
by Kleibergen, Frank - A test for Kronecker Product Structure covariance matrix (RePEc:eee:econom:v:233:y:2023:i:1:p:88-112)
by Guggenberger, Patrik & Kleibergen, Frank & Mavroeidis, Sophocles - Direct cointegration testing in error correction models (RePEc:eee:econom:v:63:y:1994:i:1:p:61-103)
by Kleibergen, Frank & van Dijk, Herman K. - The joint estimation of term structures and credit spreads (RePEc:eee:empfin:v:8:y:2001:i:3:p:297-323)
by Houweling, Patrick & Hoek, Jaap & Kleibergen, Frank - Unit roots in the Nelson-Plosser data: Do they matter for forecasting? (RePEc:eee:intfor:v:12:y:1996:i:2:p:283-288)
by Franses, Philip Hans & Kleibergen, Frank - Bayesian Analysis of ARMA models using Noninformative Priors (RePEc:ems:eureir:1363)
by Kleibergen, F.R. & Hoek, H. - Equality Restricted Random Variables: Densities and Sampling Algorithms (RePEc:ems:eureir:1396)
by Kleibergen, F.R. - Priors, Posterior Odds and Lagrange Multiplier Statistics in Bayesian Analyses of Cointegration (RePEc:ems:eureir:1398)
by Kleibergen, F.R. & Paap, R. - Reduced Rank Regression using Generalized Method of Moments Estimators with extensions to structural breaks in cointegration models (RePEc:ems:eureir:1410)
by Kleibergen, F.R. - Bayesian Simultaneous Equations Analysis using Reduced Rank Structures (RePEc:ems:eureir:1414)
by Kleibergen, F.R. & van Dijk, H.K. - Oil Price Shocks and Long Run Price and Import Demand Behavior (RePEc:ems:eureir:1418)
by Kleibergen, F.R. & Urbain, J-P. & van Dijk, H.K. - Conditional densities in econometrics (RePEc:ems:eureir:1524)
by Kleibergen, F.R. - An alternative approach for constructing small sample and limiting distributions of maximum likelihood estimators (RePEc:ems:eureir:1529)
by Kleibergen, F.R. - Bayesian and classical approaches to instrumental variable regression (RePEc:ems:eureir:1540)
by Kleibergen, F.R. & Zivot, E. - Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration (RePEc:ems:eureir:1551)
by Kleibergen, F.R. & Paap, R. - Cointegration in a periodic vector autoregression (RePEc:ems:eureir:1561)
by Kleibergen, F.R. & Franses, Ph.H.B.F. - The Joint Estimation of Term Structures and Credit Spreads (RePEc:ems:eureir:1586)
by Houweling, P. & Hoek, J. & Kleibergen, F.R. - Generalized Reduced Rank Tests using the Singular Value Decomposition (RePEc:ems:eureir:1681)
by Kleibergen, F.R. & Paap, R. - The Bayesian Score Statistic (RePEc:ems:eureir:18192)
by Kleibergen, F.R. & Kleijn, R.H. & Paap, R. - Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data (RePEc:ems:eureir:7247)
by Hoogerheide, L.F. & Kleibergen, F.R. & van Dijk, H.K. - Bayesian and Classical Approaches to Instrumental Variable Regression (RePEc:fth:washer:0063)
by Frank Kleibergen & Eric Zivot - Finite-sample instrumental variables inference using an asymptotically pivotal statistic (RePEc:gro:rugccs:200109)
by Bekker, Paul A. & Kleibergen, Frank - Finite-sample instrumental variables inference using an asymptotically pivotal statistic (RePEc:gro:rugsom:01f38)
by Bekker, Paul A. & Kleibergen, Frank - Non-stationarity in GARCH Models: A Bayesian Analysis (RePEc:jae:japmet:v:8:y:1993:i:s:p:s41-61)
by Kleibergen, F & Van Dijk, H K - Inference in Second-Order Identified Models (RePEc:man:sespap:1703)
by Prosper Dovonon & Alastair R. Hall & Frank Kleibergen - Identification-Robust Inference on Risk Premia of Mimicking Portfolios of Non-traded Factors (RePEc:oup:jfinec:v:16:y:2018:i:2:p:155-190.)
by Frank Kleibergen & Zhaoguo Zhan - Identification Robust Testing of Risk Premia in Finite Samples (RePEc:oup:jfinec:v:21:y:2023:i:2:p:263-297.)
by Frank Kleibergen & Lingwei Kong & Zhaoguo Zhan - Rejoinder on: Identification Robust Testing of Risk Premia in Finite Samples (RePEc:oup:jfinec:v:21:y:2023:i:2:p:311-315.)
by Frank Kleibergen & Lingwei Kong & Zhaoguo Zhan - A Powerful Subvector Anderson Rubin Test in Linear Instrumental Variables Regression with Conditional Heteroskedasticity (RePEc:oxf:wpaper:960)
by Patrik Guggenberge & Frank Kleibergen & Sophocles Mavroeidis - A Test for Kronecker Product Structure Covariance Matrix (RePEc:oxf:wpaper:962)
by Patrik Guggenberge & Frank Kleibergen & Sophocles Mavroeidis - Oil Price Shocks and Long Run Price and Import Demand Behavior (RePEc:spr:aistmt:v:51:y:1999:i:3:p:399-417)
by Frank Kleibergen & Herman van Dijk & Jean-Pierre Urbain - Bayesian Analysis of ARMA Models using Noninformative Priors (RePEc:tin:wpaper:19970006)
by Frank Kleibergen & Henk Hoek - Bayesian Simultaneous Equations Analysis using Reduced Rank Structures (RePEc:tin:wpaper:19980025)
by Frank Kleibergen & Herman K. van Dijk - The Joint Estimation of Term Structures and Credit Spreads (RePEc:tin:wpaper:19990027)
by Patrick Houweling & Jaap Hoek & Frank Kleibergen - Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models (RePEc:tin:wpaper:19990055)
by Jan J.J. Groen & Frank R. Kleibergen - Bayesian Analysis of ARMA Models (RePEc:tin:wpaper:20000027)
by Frank R. Kleibergen & Henk Hoek - The Bayesian Score Statistic (RePEc:tin:wpaper:20000035)
by Frank Kleibergen & Richard Kleijn & Richard Paap - Exact Test Statistics and Distributions of Maximum Likelihood Estimators that result from Orthogonal Parameters (RePEc:tin:wpaper:20000039)
by Frank R. Kleibergen - Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression (RePEc:tin:wpaper:20000055)
by Frank Kleibergen - Pivotal Statistics for Testing Subsets of Structural Parameters in the IV Regression Model (RePEc:tin:wpaper:20000088)
by Frank R. Kleibergen - Finite-Sample Instrumental Variables Inference using an Asymptotically Pivotal Statistic (RePEc:tin:wpaper:20010055)
by Paul A. Bekker & Frank Kleibergen - Testing Parameters in GMM without Assuming that they are identified (RePEc:tin:wpaper:20010067)
by Frank Kleibergen - How to overcome the Jeffreys-Lindleys Paradox for Invariant Bayesian Inference in Regression Models (RePEc:tin:wpaper:20010073)
by Frank Kleibergen - Two Independent Pivotal Statistics that test Location and Misspecification and add up to the Anderson-Rubin Statistic (RePEc:tin:wpaper:20020064)
by Frank Kleibergen - Generalized Reduced Rank Tests using the Singular Value Decomposition (RePEc:tin:wpaper:20030003)
by Frank Kleibergen & Richard Paap - Reduced Rank of Regression Using Generalized Method of Moments Estimators (RePEc:tiu:tiucen:5caf1c0c-d988-4184-acf7-dd2bb52bc500)
by Kleibergen, F. - Bayesian analysis of ARMA models using noninformative priors (RePEc:tiu:tiucen:81684a10-935f-49c4-b5ab-0ac35f7bfd2b)
by Kleibergen, F.R. & Hoek, H. - Reduced Rank of Regression Using Generalized Method of Moments Estimators (RePEc:tiu:tiutis:5caf1c0c-d988-4184-acf7-dd2bb52bc500)
by Kleibergen, F. - Bayesian analysis of ARMA models using noninformative priors (RePEc:tiu:tiutis:81684a10-935f-49c4-b5ab-0ac35f7bfd2b)
by Kleibergen, F.R. & Hoek, H. - Testing Subsets of Structural Parameters in the Instrumental Variables (RePEc:tpr:restat:v:86:y:2004:i:1:p:418-423)
by Frank Kleibergen - Bayesian and Classical Approaches to Instrumental Variable Regression (RePEc:udb:wpaper:0063)
by Frank Kleibergen & Eric Zivot - Bayesian and Classical Approaches to Instrumental Variable Regression (RePEc:udb:wpaper:uwec-2002-21-p)
by Frank Kleibergen & Eric Zivot - Identification Issues In Limited‐Information Bayesian Analysis Of Structural Macroeconomic Models (RePEc:wly:japmet:v:29:y:2014:i:7:p:1183-1209)
by Frank Kleibergen & Sophocles Mavroeidis - Bayesian and Classical Approaches to Instrumental Variables Regression (RePEc:wpa:wuwpem:9812002)
by Frank Kleibergen & Eric Zivot