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Home | People | Frank Kleibergen
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Frank Kleibergen

Research Fellow

University
University of Amsterdam
Research field
Econometrics
Interests
Econometrics, Panel Data

Key publications

List of publications

F.R. Kleibergen and Prosper Dovonon and Alastair Hall. 2018. Inference in second order identified models. Journal of Econometrics, 0304-4076

F. Kleibergen and Z. Zhan. 2018. Identification-robust inference on risk premia of mimicking portfolios of non-traded factors. Journal of Financial Econometrics, 16, 155--190, 1479-8417

F.R. Kleibergen and P. Guggenberger and S. Mavroeidis. 2018. A more powerful subvector Anderson-Rubin test in linear instrumental variables regression. Quantitative Finance, 1469-7688

F. Kleibergen and Z. Zhan. 2015. Unexplained factors and their effects on second pass R-squared’s. Journal of Econometrics, 189, 101--116, 0304-4076

F. Kleibergen and S. Mavroeidis. 2014. Identification issues in limited-information Bayesian analysis of structural macroeconomic models. Journal of Applied Econometrics, 29, 1183--1207, 0883-7252

P. Guggenberger and F. Kleibergen and S. Mavroeidis and L. Chen. 2012. On the asymptotic sizes of subset Anderson-Rubin and Lagrange multiplier tests in linear instrumental variables regression. Econometrica, 80, 2649--2666, 0012-9682

F. Kleibergen and S. Mavroeidis. 2009. Rejoinder. Journal of Business \& Economic Statistics, 27, 331--339, 0735-0015

F. Kleibergen and S. Mavroeidis. 2009. Weak instrument robust tests in GMM and the new Keynesian Phillips curve. Journal of Business \& Economic Statistics, 27, 293--311, 0735-0015

F. Kleibergen. 2009. Tests of risk premia in linear factor models. Journal of Econometrics, 149, 149--173, 0304-4076

F.R. Kleibergen. 2007. Generalizing weak intrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics. Journal of Econometrics, 139, 181--216, 0304-4076

L.F. Hoogerheide and F. Kleibergen 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, 63--103, 0304-4076

F.R. Kleibergen and R. Paap. 2006. Generalized Reduced Rank Tests using the Singular Value Decomposition. Journal of Econometrics, 133, 97--126, 0304-4076

F.R. Kleibergen. 2005. Testing Parameters in GMM without assuming that they are identified. Econometrica, 73, 1103--1124, 0012-9682

F.R. Kleibergen. 2004. Testing Subsets of Structural Parameters in the IV Regression Model. Review of Economics and Statistics, 86, 418--423, 0034-6535

F.R. Kleibergen. 2004. Invariant Bayesian Inference in Regression Models that is robust against the Jeffreys-Lindleys Paradox. Journal of Econometrics, 123, 227--258, 0304-4076

F.R. Kleibergen and J. Groen. 2003. Likelihood Based Cointegreation Analysis in Panels of Vector Error Correction Models. Journal of Business \& Economic Statistics, 21, 295--318, 0735-0015

F.R. Kleibergen and E. Zivot. 2003. Bayesian and Classical Approaches to Instrumental Variable Regression. Journal of Econometrics, 114, 29--72, 0304-4076

F.R. Kleibergen and P. Bekker. 2003. Finite Sample Instrumental Variables Inference using an Asymptotically Pivotal Statistic. Econometric Theory, 19, 744--753, 0266-4666

F.R. Kleibergen. 2002. Pivotal statistics for testing structural parameters in instrumental variables regression. Econometrica, 70, 1781--1804, 0012-9682

F.R. Kleibergen and R. Paap. 2002. Priors, posterior odds and Bayes factors in bayesian analyses of coinegration. Journal of Econometrics, 111, 223--249, 0304-4076

P. Houweling and J. Hoek and F.R. Kleibergen. 2001. The Joint Estimation of Term Structures and Credit Spreads. Journal of Empirical Finance, 8, 297--323, 0927-5398