Details about Frank Kleibergen

Access statistics for papers by Frank Kleibergen.

Last updated 2009-11-09. Update your information in the RePEc Author Service.

Short-id: pkl31

Working Papers

2006

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

2004

2. 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 View citations
3. Generalized Reduced Rank Tests using the Singular Value Decomposition
   Econometric Society 2004 Australasian Meetings, Econometric Society View citations
   Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2003) View citations
   Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2003) View citations
   See also Journal Article in Journal of Econometrics (2006)
4. 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

5. Bayesian and Classical Approaches to Instrumental Variable Regression
   Working Papers, University of Washington, Department of Economics View citations
   Also in Working Papers, Erasmus University of Rotterdam - Econometric Institute (1998) View citations
   Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1998) View citations
   Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1998) View citations
   Working Papers, University of Washington, Department of Economics (1998) View citations
   Econometrics, EconWPA (1998) View citations
   See also Journal Article in Journal of Econometrics (2003)

2002

6. Two Independent Pivotal Statistics that test Location and Misspecification and add up to the Anderson-Rubin Statistic
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations

2001

7. Finite-sample instrumental variables inference using an asymptotically pivotal statistic
   CCSO Working Papers, University of Groningen, CCSO Centre for Economic Research View citations
   See also Journal Article in Econometric Theory (2003)
8. How to overcome the Jeffreys-Lindleys Paradox for Invariant Bayesian Inference in Regression Models
   Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
9. Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models
   WO Research Memoranda (discontinued), Netherlands Central Bank, Research Department View citations
   Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (1999) View citations
   See also Journal Article in Journal of Business & Economic Statistics (2003)

2000

10. Bayesian Analysis of ARMA Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute
11. Exact Test Statistics and Distributions of Maximum Likelihood Estimators that result from Orthogonal Parameters
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
12. Pivotal Statistics for Testing Subsets of Structural Parameters in the IV Regression Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
13. The Bayesian Score Statistic
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2000)
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (2000)

1999

14. Cointegration in a Periodic Vector Autoregression
    Working Papers, Erasmus University of Rotterdam - Econometric Institute
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1999)
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1999)
15. The Joint Estimation of Term Structures and Credit Spreads
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1999)
    See also Journal Article in Journal of Empirical Finance (2001)

1998

16. An alternative approach for constructing small sample and limiting distributions of maximum likelihood estimators
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
17. Conditional densities in Econometrics
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute View citations
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1998) View citations
18. Prior, Posterios and Bayes Factors for Bayesian Analysis of Cointegration
    Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations
19. Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
    See also Journal Article in Journal of Econometrics (2002)

1997

20. Bayesian Analysis of ARMA Models using Noninformative Priors
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1995) View citations
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1996) View citations
    Discussion Paper, Tilburg University, Center for Economic Research (1995) View citations
21. Bayesian Simultaneous Equations Analysis Using Reduced Rank Structures
    Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1997) View citations
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1996) View citations
    See also Journal Article in Econometric Theory (1998)
22. Cointegration in Multivariate Periodic Time Series Models
    Working Papers, Erasmus University of Rotterdam - Econometric Institute
23. Equality Restricted Random Variables: Densities and Sampling Algorithms
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1996) View citations
    Working Papers, Erasmus University of Rotterdam - Econometric Institute (1996) View citations
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1996) View citations
24. Oil Price Shocks and Long Run Price and Import Demand Behavior
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1997)
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1996) View citations
    See also Journal Article in Annals of the Institute of Statistical Mathematics (1999)
25. Priors, Posterior Odds and Lagrange Multiplier Statistics in Bayesian Analyses of Cointegration
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1996)
    Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1996)
26. Reduced Rank Regression Using Generalized Method of Moments Estimators, with Extensions to Structural Breaks in Cointegration Models
    Working Papers, Erasmus University of Rotterdam - Econometric Institute
    Also in Econometric Institute Report, Erasmus University Rotterdam, Econometric Institute (1997)

1996

27. Reduced rank regression using generalized method of moments estimators
    Discussion Paper, Tilburg University, Center for Economic Research View citations

1995

28. Direct Cointegration Testing in Periodic Vector Autoregressive Models
    Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations

1994

29. A Cointegration Study of Aggregate Imports Using Likelihood Based Testing Principles
    Working Papers, Erasmus University of Rotterdam - Econometric Institute

1993

30. On the Shape of the Likelyhood/Posterior in Cointegration Models
    Working Papers, Erasmus University of Rotterdam - Econometric Institute View citations
    See also Journal Article in Econometric Theory (1994)

1992

31. Nonstationarity in Garch Models: A Bayesian Analysis
    Working Papers, Erasmus University of Rotterdam - Econometric Institute
    See also Journal Article in Journal of Applied Econometrics (1993)

Journal Articles

2009

1. Tests of risk premia in linear factor models
   Journal of Econometrics, 2009, 149, (2), 149-173

2007

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

2006

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

2005

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

2004

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

2003

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

2002

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

2001

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

1999

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

1998

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

1996

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

1994

17. Direct cointegration testing in error correction models
    Journal of Econometrics, 1994, 63, (1), 61-103 View citations
18. On the Shape of the Likelihood/Posterior in Cointegration Models
    Econometric Theory, 1994, 10, (3-4), 514-551 View citations
    See also Working Paper (1993)

1993

19. Non-stationarity in GARCH Models: A Bayesian Analysis
    Journal of Applied Econometrics, 1993, 8, (S), S41-61 View citations
    See also Working Paper (1992)

Software Items

2008

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 View citations