Kleibergen, F. and Kong, L. (2024). Identification robust inference for the risk premium in term structure models Journal of Econometrics, :.
Frank Kleibergen
University
University of Amsterdam
E-mail
Research field
Econometrics
Interests
Econometrics, Panel Data
Website
Key publications
Guggenberger, P., Kleibergen, F. and Mavroeidis, S. (2023). A Test for Kronecker Product Structure Covariance Matrix Journal of Econometrics, 223(1):88--112.
Kleibergen, F. (2021). Efficient size correct subset inference in homoskedastic linear instrumental variables regression Journal of Econometrics, 221(1):78--96.
Kleibergen, F. and Zhan, Z. (2020). Robust Inference for Consumption-Based Asset Pricing The Journal of Finance, 75(1):507--550.
Dovonon, P., Hall, A. and Kleibergen, F. (2020). Inference in second-order identified models Journal of Econometrics, 218(2):346--372.
Kleibergen, F. and Zhan, Z. (2015). Unexplained factors and their effects on second pass R-squared’s Journal of Econometrics, 189(1):101--116.
Kleibergen, F. and Mavroeidis, S. (2014). Identification issues in limited-information Bayesian analysis of structural macroeconomic models Journal of Applied Econometrics, 29(7):1183--1207.
Guggenberger, P., Kleibergen, F., Mavroeidis, S. and Chen, L. (2012). On the asymptotic sizes of subset Anderson-Rubin and Lagrange multiplier tests in linear instrumental variables regression Econometrica, 80(6):2649--2666.
Kleibergen, F. and Mavroeidis, S. (2009). Rejoinder Journal of Business and Economic Statistics, 27(3):331--339.
Kleibergen, F. and Mavroeidis, S. (2009). Weak instrument robust tests in GMM and the new Keynesian Phillips curve Journal of Business and Economic Statistics, 27(3):293--311.
Kleibergen, F. (2009). Tests of risk premia in linear factor models Journal of Econometrics, 149(2):149--173.
Kleibergen, F. (2007). Generalizing weak intrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics Journal of Econometrics, 139(1):181--216.
Hoogerheide, L., Kleibergen, F. and van Dijk, H.K. (2007). Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data Journal of Econometrics, 138(1):63--103.
Kleibergen, F.(. and Paap, R. (2006). Generalized reduced rank tests using the singular value decomposition. Journal of Econometrics, 133(1):97--126.
Kleibergen, F. (2005). Testing Parameters in GMM without assuming that they are identified Econometrica, 73(4):1103--1124.
Kleibergen, F. (2004). Testing Subsets of Structural Parameters in the IV Regression Model Review of Economics and Statistics, 86(1):418--423.
Kleibergen, F. (2004). Invariant Bayesian Inference in Regression Models that is robust against the Jeffreys-Lindleys Paradox Journal of Econometrics, 123(2):227--258.
Kleibergen, F. and Groen, J. (2003). Likelihood Based Cointegreation Analysis in Panels of Vector Error Correction Models Journal of Business and Economic Statistics, 21:295--318.
Kleibergen, F. and Zivot, E. (2003). Bayesian and Classical Approaches to Instrumental Variable Regression Journal of Econometrics, 114:29--72.
Kleibergen, F. (2002). Pivotal statistics for testing structural parameters in instrumental variables regression Econometrica, 70:1781--1804.
Kleibergen, F. and Paap, R. (2002). Priors, posterior odds and Bayes factors in bayesian analyses of coinegration Journal of Econometrics, 111:223--249.
List of publications
Kleibergen, F. and Kong, L. (2024). Identification robust inference for the risk premium in term structure models Journal of Econometrics, :.
Guggenberger, P., Kleibergen, F. and Mavroeidis, S. (2023). A Test for Kronecker Product Structure Covariance Matrix Journal of Econometrics, 223(1):88--112.
Kleibergen, F., Kong, L. and zhan, Z. (2023). Rejoinder on: Identification Robust Testing of Risk Premia in Finite Samples Journal of Financial Econometrics, :1--5.
Kleibergen, F., Kong, L. and Zhan, Z. (2023). Identification Robust Testing of Risk Premia in Finite Samples Journal of Financial Econometrics, 21(2):263–297.
Kleibergen, F., Mavroeidis, S. and Guggenberger, P. (2023). A powerful subvector Anderson-Rubin test in linear instrumental variables regression with conditional heteroskedastictiy Econometric Theory, :.
Bun, M. and Kleibergen, F. (2022). Identification robust inference for moments-based analysis of linear dynamic panel data models Econometric Theory, 38(4):689--751.
Kleibergen, F. (2021). Efficient size correct subset inference in homoskedastic linear instrumental variables regression Journal of Econometrics, 221(1):78--96.
Kleibergen, F. and Zhan, Z. (2020). Robust Inference for Consumption-Based Asset Pricing The Journal of Finance, 75(1):507--550.
Dovonon, P., Hall, A. and Kleibergen, F. (2020). Inference in second-order identified models Journal of Econometrics, 218(2):346--372.
Guggenberger, P., Kleibergen, F. and Mavroeidis, S. (2019). A more powerful subvector Anderson Rubin test in linear instrumental variables regression Quantitative Economics, 10(2):487--526.
Kleibergen, F. and Zhan, Z. (2018). Identification-robust inference on risk premia of mimicking portfolios of non-traded factors Journal of Financial Econometrics, 16(2):155--190.
Kleibergen, F. and Zhan, Z. (2015). Unexplained factors and their effects on second pass R-squared’s Journal of Econometrics, 189(1):101--116.
Kleibergen, F. and Mavroeidis, S. (2014). Identification issues in limited-information Bayesian analysis of structural macroeconomic models Journal of Applied Econometrics, 29(7):1183--1207.
Guggenberger, P., Kleibergen, F., Mavroeidis, S. and Chen, L. (2012). On the asymptotic sizes of subset Anderson-Rubin and Lagrange multiplier tests in linear instrumental variables regression Econometrica, 80(6):2649--2666.
Kleibergen, F. and Mavroeidis, S. (2009). Rejoinder Journal of Business and Economic Statistics, 27(3):331--339.
Kleibergen, F. and Mavroeidis, S. (2009). Weak instrument robust tests in GMM and the new Keynesian Phillips curve Journal of Business and Economic Statistics, 27(3):293--311.
Kleibergen, F. (2009). Tests of risk premia in linear factor models Journal of Econometrics, 149(2):149--173.
Kleibergen, F. (2007). Generalizing weak intrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics Journal of Econometrics, 139(1):181--216.
Hoogerheide, L., Kleibergen, F. and van Dijk, H.K. (2007). Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data Journal of Econometrics, 138(1):63--103.
Kleibergen, F.(. and Paap, R. (2006). Generalized reduced rank tests using the singular value decomposition. Journal of Econometrics, 133(1):97--126.
Kleibergen, F. (2005). Testing Parameters in GMM without assuming that they are identified Econometrica, 73(4):1103--1124.
Kleibergen, F. (2004). Testing Subsets of Structural Parameters in the IV Regression Model Review of Economics and Statistics, 86(1):418--423.
Kleibergen, F. (2004). Invariant Bayesian Inference in Regression Models that is robust against the Jeffreys-Lindleys Paradox Journal of Econometrics, 123(2):227--258.
Kleibergen, F. and Bekker, P. (2003). Finite Sample Instrumental Variables Inference using an Asymptotically Pivotal Statistic Econometric Theory, 19:744--753.
Kleibergen, F. and Groen, J. (2003). Likelihood Based Cointegreation Analysis in Panels of Vector Error Correction Models Journal of Business and Economic Statistics, 21:295--318.
Kleibergen, F. and Zivot, E. (2003). Bayesian and Classical Approaches to Instrumental Variable Regression Journal of Econometrics, 114:29--72.
Kleibergen, F. (2002). Pivotal statistics for testing structural parameters in instrumental variables regression Econometrica, 70:1781--1804.
Kleibergen, F. and Paap, R. (2002). Priors, posterior odds and Bayes factors in bayesian analyses of coinegration Journal of Econometrics, 111:223--249.
Houweling, P., Hoek, J. and Kleibergen, F. (2001). The Joint Estimation of Term Structures and Credit Spreads Journal of Empirical Finance, 8:297--323.