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Details about Frank Kleibergen

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Homepage:http://www.econ.brown.edu/fac/Frank_Kleibergen
Workplace:Amsterdam School of Economics, Faculteit Economie en Bedrijfskunde (Faculty of Economics and Business), Universiteit van Amsterdam (University of Amsterdam), (more information at EDIRC)

Access statistics for papers by Frank Kleibergen.

Last updated 2015-12-04. Update your information in the RePEc Author Service.

Short-id: pkl31


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Working Papers

2014

  1. Unexplained factors and their effects on second pass R-squared’s
    UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics Downloads

2013

  1. Identification and inference in moments based analysis of linear dynamic panel data models
    UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics Downloads View citations (4)

2006

  1. Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
    See also Journal Article in Journal of Econometrics (2007)

2004

  1. Expansions of GMM statistics that indicate their properties under weak and/or many instruments and the bootstrap
    Econometric Society 2004 North American Summer Meetings, Econometric Society Downloads View citations (5)
  2. Generalized Reduced Rank Tests using the Singular Value Decomposition
    Econometric Society 2004 Australasian Meetings, Econometric Society Downloads View citations (6)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2003) Downloads View citations (3)

    See also Journal Article in Journal of Econometrics (2006)
  3. Higher order approximations of IV statistics that indicate their properties under weak or many instruments
    Econometric Society 2004 North American Winter Meetings, Econometric Society

2003

  1. Bayesian and Classical Approaches to Instrumental Variable Regression
    Working Papers, University of Washington, Department of Economics View citations (36)
    Also in Econometrics, EconWPA (1998) Downloads View citations (14)
    Working Papers, University of Washington, Department of Economics (1998) View citations (4)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1998) View citations (3)
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1998) Downloads View citations (3)

    See also Journal Article in Journal of Econometrics (2003)

2001

  1. Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models
    WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department Downloads View citations (15)
    See also Journal Article in Journal of Business & Economic Statistics (2003)

2000

  1. The Bayesian Score Statistic
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads

1999

  1. Cointegration in a periodic vector autoregression
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (1)
  2. The Joint Estimation of Term Structures and Credit Spreads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
    See also Journal Article in Journal of Empirical Finance (2001)

1998

  1. An alternative approach for constructing small sample and limiting distributions of maximum likelihood estimators
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads
  2. Conditional densities in econometrics
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (2)
  3. Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (3)
    See also Journal Article in Journal of Econometrics (2002)

1997

  1. Bayesian Simultaneous Equations Analysis using Reduced Rank Structures
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads View citations (2)
    See also Journal Article in Econometric Theory (1998)
  2. Oil Price Shocks and Long Run Price and Import Demand Behavior
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
    See also Journal Article in Annals of the Institute of Statistical Mathematics (1999)
  3. Reduced Rank Regression using Generalized Method of Moments Estimators with extensions to structural breaks in cointegration models
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads

1996

  1. Equality Restricted Random Variables: Densities and Sampling Algorithms
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
  2. Priors, Posterior Odds and Lagrange Multiplier Statistics in Bayesian Analyses of Cointegration
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads

1995

  1. Bayesian Analysis of ARMA models using Noninformative Priors
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute Downloads

Journal Articles

2009

  1. Rejoinder
    Journal of Business & Economic Statistics, 2009, 27, (3), 331-339 Downloads
  2. Tests of risk premia in linear factor models
    Journal of Econometrics, 2009, 149, (2), 149-173 Downloads View citations (16)
  3. Weak Instrument Robust Tests in GMM and the New Keynesian Phillips Curve
    Journal of Business & Economic Statistics, 2009, 27, (3), 293-311 Downloads View citations (60)

2007

  1. Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics
    Journal of Econometrics, 2007, 139, (1), 181-216 Downloads View citations (28)
  2. Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data
    Journal of Econometrics, 2007, 138, (1), 63-103 Downloads View citations (25)
    See also Working Paper (2006)

2006

  1. Generalized reduced rank tests using the singular value decomposition
    Journal of Econometrics, 2006, 133, (1), 97-126 Downloads View citations (531)
    See also Working Paper (2004)

2005

  1. Testing Parameters in GMM Without Assuming that They Are Identified
    Econometrica, 2005, 73, (4), 1103-1123 Downloads View citations (91)

2004

  1. Invariant Bayesian inference in regression models that is robust against the Jeffreys-Lindley's paradox
    Journal of Econometrics, 2004, 123, (2), 227-258 Downloads View citations (5)
  2. Testing Subsets of Structural Parameters in the Instrumental Variables
    The Review of Economics and Statistics, 2004, 86, (1), 418-423 Downloads View citations (7)

2003

  1. Bayesian and classical approaches to instrumental variable regression
    Journal of Econometrics, 2003, 114, (1), 29-72 Downloads View citations (39)
    See also Working Paper (2003)
  2. FINITE-SAMPLE INSTRUMENTAL VARIABLES INFERENCE USING AN ASYMPTOTICALLY PIVOTAL STATISTIC
    Econometric Theory, 2003, 19, (05), 744-753 Downloads View citations (5)
  3. Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models
    Journal of Business & Economic Statistics, 2003, 21, (2), 295-318 View citations (50)
    See also Working Paper (2001)

2002

  1. Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
    Econometrica, 2002, 70, (5), 1781-1803 Downloads View citations (124)
  2. Priors, posteriors and bayes factors for a Bayesian analysis of cointegration
    Journal of Econometrics, 2002, 111, (2), 223-249 Downloads View citations (48)
    See also Working Paper (1998)

2001

  1. The joint estimation of term structures and credit spreads
    Journal of Empirical Finance, 2001, 8, (3), 297-323 Downloads View citations (9)
    See also Working Paper (1999)

1999

  1. Oil Price Shocks and Long Run Price and Import Demand Behavior
    Annals of the Institute of Statistical Mathematics, 1999, 51, (3), 399-417 Downloads View citations (1)
    See also Working Paper (1997)

1998

  1. BAYESIAN SIMULTANEOUS EQUATIONS ANALYSIS USING REDUCED RANK STRUCTURES
    Econometric Theory, 1998, 14, (06), 701-743 Downloads View citations (65)
    See also Working Paper (1997)

1996

  1. Unit roots in the Nelson-Plosser data: Do they matter for forecasting?
    International Journal of Forecasting, 1996, 12, (2), 283-288 Downloads View citations (7)

1994

  1. Direct cointegration testing in error correction models
    Journal of Econometrics, 1994, 63, (1), 61-103 Downloads View citations (17)
  2. On the Shape of the Likelihood/Posterior in Cointegration Models
    Econometric Theory, 1994, 10, (3-4), 514-551 Downloads View citations (62)

1993

  1. Non-stationarity in GARCH Models: A Bayesian Analysis
    Journal of Applied Econometrics, 1993, 8, (S), S41-61 Downloads View citations (26)

Software Items

2015

  1. RANKTEST: Stata module to test the rank of a matrix using the Kleibergen-Paap rk statistic
    Statistical Software Components, Boston College Department of Economics Downloads View citations (6)
 
Page updated 2017-04-25