Details about Frank Kleibergen

Access statistics for papers by Frank Kleibergen.

Last updated 2024-03-06. Update your information in the RePEc Author Service.

Short-id: pkl31

Working Papers

2023

1. Identification Robust Inference for the Risk Premium in Term Structure Models
   Papers, arXiv.org View citations (1)

2022

2. A Powerful Subvector Anderson Rubin Test in Linear Instrumental Variables Regression with Conditional Heteroskedasticity
   Papers, arXiv.org View citations (1)
   Also in Economics Series Working Papers, University of Oxford, Department of Economics (2021) View citations (3)
3. A Test for Kronecker Product Structure Covariance Matrix
   Economics Series Working Papers, University of Oxford, Department of Economics View citations (1)
   Also in Papers, arXiv.org (2022) View citations (2)
   See also Journal Article A test for Kronecker Product Structure covariance matrix, Journal of Econometrics, Elsevier (2023) (2023)
4. Misspecification and Weak Identification in Asset Pricing
   Papers, arXiv.org View citations (1)

2021

5. Double robust inference for continuous updating GMM
   Papers, arXiv.org View citations (4)
6. Identification robust inference for moments based analysis of linear dynamic panel data models
   Papers, arXiv.org
   See also Journal Article IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS, Econometric Theory, Cambridge University Press (2022) View citations (1) (2022)

2017

7. Inference in Second-Order Identified Models
   Economics Discussion Paper Series, Economics, The University of Manchester
   See also Journal Article Inference in second-order identified models, Journal of Econometrics, Elsevier (2020) View citations (4) (2020)

2014

8. Unexplained factors and their effects on second pass R-squared’s
   UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics View citations (12)
   See also Journal Article Unexplained factors and their effects on second pass R-squared’s, Journal of Econometrics, Elsevier (2015) View citations (30) (2015)

2013

9. Identification and inference in moments based analysis of linear dynamic panel data models
   UvA-Econometrics Working Papers, Universiteit van Amsterdam, Dept. of Econometrics View citations (14)

2006

10. 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 View citations (1)
    See also Journal Article Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data, Journal of Econometrics, Elsevier (2007) View citations (33) (2007)

2004

11. 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 (5)
12. Generalized Reduced Rank Tests using the Singular Value Decomposition
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (7)
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (2003) View citations (4)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2003) View citations (4)
    See also Journal Article Generalized reduced rank tests using the singular value decomposition, Journal of Econometrics, Elsevier (2006) View citations (1621) (2006)
13. 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

14. Bayesian and Classical Approaches to Instrumental Variable Regression
    Working Papers, University of Washington, Department of Economics View citations (62)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1998) View citations (8)
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1998) View citations (3)
    Working Papers, University of Washington, Department of Economics (1998) View citations (8)
    Econometrics, University Library of Munich, Germany (1998) View citations (14)
    See also Journal Article Bayesian and classical approaches to instrumental variable regression, Journal of Econometrics, Elsevier (2003) View citations (67) (2003)

2002

15. 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 (1)

2001

16. Finite-Sample Instrumental Variables Inference using an Asymptotically Pivotal Statistic
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
    Also in CCSO Working Papers, University of Groningen, CCSO Centre for Economic Research (2001) View citations (2)
    Research Report, University of Groningen, Research Institute SOM (Systems, Organisations and Management) (2001) View citations (2)
    See also Journal Article FINITE-SAMPLE INSTRUMENTAL VARIABLES INFERENCE USING AN ASYMPTOTICALLY PIVOTAL STATISTIC, Econometric Theory, Cambridge University Press (2003) View citations (12) (2003)
17. How to overcome the Jeffreys-Lindleys Paradox for Invariant Bayesian Inference in Regression Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
18. Testing Parameters in GMM without Assuming that they are identified
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    See also Journal Article Testing Parameters in GMM Without Assuming that They Are Identified, Econometrica, Econometric Society (2005) View citations (238) (2005)

2000

19. Bayesian Analysis of ARMA Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
20. Exact Test Statistics and Distributions of Maximum Likelihood Estimators that result from Orthogonal Parameters
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (2)
21. Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (3)
    See also Journal Article Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression, Econometrica, Econometric Society (2002) View citations (260) (2002)
22. Pivotal Statistics for Testing Subsets of Structural Parameters in the IV Regression Model
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (1)
23. The Bayesian Score Statistic
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (2000)

1999

24. Cointegration in a periodic vector autoregression
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (4)
25. Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (10)
    See also Journal Article Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models, Journal of Business & Economic Statistics, American Statistical Association (2003) View citations (105) (2003)
26. The Joint Estimation of Term Structures and Credit Spreads
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
    Also in Tinbergen Institute Discussion Papers, Tinbergen Institute (1999)
    See also Journal Article The joint estimation of term structures and credit spreads, Journal of Empirical Finance, Elsevier (2001) View citations (12) (2001)

1998

27. 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
28. Bayesian Simultaneous Equations Analysis using Reduced Rank Structures
    Tinbergen Institute Discussion Papers, Tinbergen Institute View citations (80)
    Also in Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1997) View citations (2)
    See also Journal Article BAYESIAN SIMULTANEOUS EQUATIONS ANALYSIS USING REDUCED RANK STRUCTURES, Econometric Theory, Cambridge University Press (1998) View citations (85) (1998)
29. Conditional densities in econometrics
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute View citations (4)
30. 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 View citations (5)
    See also Journal Article Priors, posteriors and bayes factors for a Bayesian analysis of cointegration, Journal of Econometrics, Elsevier (2002) View citations (62) (2002)

1997

31. Bayesian Analysis of ARMA Models using Noninformative Priors
    Tinbergen Institute Discussion Papers, Tinbergen Institute
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1995) View citations (1)
    Other publications TiSEM, Tilburg University, School of Economics and Management (1995) View citations (1)
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute (1995) View citations (1)
32. 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 Oil Price Shocks and Long Run Price and Import Demand Behavior, Annals of the Institute of Statistical Mathematics, Springer (1999) View citations (1) (1999)
33. 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

1996

34. Equality Restricted Random Variables: Densities and Sampling Algorithms
    Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute
35. 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
36. Reduced Rank of Regression Using Generalized Method of Moments Estimators
    Discussion Paper, Tilburg University, Center for Economic Research View citations (1)
    Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1996)

Journal Articles

2023

1. A test for Kronecker Product Structure covariance matrix
   Journal of Econometrics, 2023, 233, (1), 88-112
   See also Working Paper A Test for Kronecker Product Structure Covariance Matrix, Economics Series Working Papers (2022) View citations (1) (2022)
2. Identification Robust Testing of Risk Premia in Finite Samples
   Journal of Financial Econometrics, 2023, 21, (2), 263-297 View citations (1)
3. Rejoinder on: Identification Robust Testing of Risk Premia in Finite Samples*
   Journal of Financial Econometrics, 2023, 21, (2), 311-315

2022

4. IDENTIFICATION ROBUST INFERENCE FOR MOMENTS-BASED ANALYSIS OF LINEAR DYNAMIC PANEL DATA MODELS
   Econometric Theory, 2022, 38, (4), 689-751 View citations (1)
   See also Working Paper Identification robust inference for moments based analysis of linear dynamic panel data models, Papers (2021) (2021)

2021

5. Efficient size correct subset inference in homoskedastic linear instrumental variables regression
   Journal of Econometrics, 2021, 221, (1), 78-96 View citations (8)

2020

6. Inference in second-order identified models
   Journal of Econometrics, 2020, 218, (2), 346-372 View citations (4)
   See also Working Paper Inference in Second-Order Identified Models, Economics Discussion Paper Series (2017) (2017)

2018

7. Identification-Robust Inference on Risk Premia of Mimicking Portfolios of Non-traded Factors
   Journal of Financial Econometrics, 2018, 16, (2), 155-190 View citations (8)

2015

8. Unexplained factors and their effects on second pass R-squared’s
   Journal of Econometrics, 2015, 189, (1), 101-116 View citations (30)
   See also Working Paper Unexplained factors and their effects on second pass R-squared’s, UvA-Econometrics Working Papers (2014) View citations (12) (2014)

2014

9. IDENTIFICATION ISSUES IN LIMITED‐INFORMATION BAYESIAN ANALYSIS OF STRUCTURAL MACROECONOMIC MODELS
   Journal of Applied Econometrics, 2014, 29, (7), 1183-1209 View citations (7)

2012

10. On the Asymptotic Sizes of Subset Anderson–Rubin and Lagrange Multiplier Tests in Linear Instrumental Variables Regression
    Econometrica, 2012, 80, (6), 2649-2666 View citations (46)

2009

11. Rejoinder
    Journal of Business & Economic Statistics, 2009, 27, (3), 331-339
12. Tests of risk premia in linear factor models
    Journal of Econometrics, 2009, 149, (2), 149-173 View citations (65)
13. Weak Instrument Robust Tests in GMM and the New Keynesian Phillips Curve
    Journal of Business & Economic Statistics, 2009, 27, (3), 293-311 View citations (128)

2007

14. 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 (52)
15. 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 (33)
    See also Working Paper Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data, Econometric Institute Research Papers (2006) View citations (1) (2006)

2006

16. Generalized reduced rank tests using the singular value decomposition
    Journal of Econometrics, 2006, 133, (1), 97-126 View citations (1621)
    See also Working Paper Generalized Reduced Rank Tests using the Singular Value Decomposition, Econometric Society 2004 Australasian Meetings (2004) View citations (7) (2004)

2005

17. Testing Parameters in GMM Without Assuming that They Are Identified
    Econometrica, 2005, 73, (4), 1103-1123 View citations (238)
    See also Working Paper Testing Parameters in GMM without Assuming that they are identified, Tinbergen Institute Discussion Papers (2001) View citations (3) (2001)

2004

18. Invariant Bayesian inference in regression models that is robust against the Jeffreys-Lindley's paradox
    Journal of Econometrics, 2004, 123, (2), 227-258 View citations (7)
19. Testing Subsets of Structural Parameters in the Instrumental Variables
    The Review of Economics and Statistics, 2004, 86, (1), 418-423 View citations (15)

2003

20. Bayesian and classical approaches to instrumental variable regression
    Journal of Econometrics, 2003, 114, (1), 29-72 View citations (67)
    See also Working Paper Bayesian and Classical Approaches to Instrumental Variable Regression, Working Papers (2003) View citations (62) (2003)
21. FINITE-SAMPLE INSTRUMENTAL VARIABLES INFERENCE USING AN ASYMPTOTICALLY PIVOTAL STATISTIC
    Econometric Theory, 2003, 19, (5), 744-753 View citations (12)
    See also Working Paper Finite-Sample Instrumental Variables Inference using an Asymptotically Pivotal Statistic, Tinbergen Institute Discussion Papers (2001) View citations (2) (2001)
22. Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models
    Journal of Business & Economic Statistics, 2003, 21, (2), 295-318 View citations (105)
    See also Working Paper Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models, Tinbergen Institute Discussion Papers (1999) View citations (10) (1999)

2002

23. Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
    Econometrica, 2002, 70, (5), 1781-1803 View citations (260)
    See also Working Paper Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression, Tinbergen Institute Discussion Papers (2000) View citations (3) (2000)
24. Priors, posteriors and bayes factors for a Bayesian analysis of cointegration
    Journal of Econometrics, 2002, 111, (2), 223-249 View citations (62)
    See also Working Paper Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration, Econometric Institute Research Papers (1998) View citations (5) (1998)

2001

25. The joint estimation of term structures and credit spreads
    Journal of Empirical Finance, 2001, 8, (3), 297-323 View citations (12)
    See also Working Paper The Joint Estimation of Term Structures and Credit Spreads, Econometric Institute Research Papers (1999) (1999)

1999

26. 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 (1)
    See also Working Paper Oil Price Shocks and Long Run Price and Import Demand Behavior, Econometric Institute Research Papers (1997) (1997)

1998

27. BAYESIAN SIMULTANEOUS EQUATIONS ANALYSIS USING REDUCED RANK STRUCTURES
    Econometric Theory, 1998, 14, (6), 701-743 View citations (85)
    See also Working Paper Bayesian Simultaneous Equations Analysis using Reduced Rank Structures, Tinbergen Institute Discussion Papers (1998) View citations (80) (1998)

1996

28. Unit roots in the Nelson-Plosser data: Do they matter for forecasting?
    International Journal of Forecasting, 1996, 12, (2), 283-288 View citations (9)

1994

29. Direct cointegration testing in error correction models
    Journal of Econometrics, 1994, 63, (1), 61-103 View citations (20)
30. On the Shape of the Likelihood/Posterior in Cointegration Models
    Econometric Theory, 1994, 10, (3-4), 514-551 View citations (76)

1993

31. Non-stationarity in GARCH Models: A Bayesian Analysis
    Journal of Applied Econometrics, 1993, 8, (S), S41-61 View citations (35)

Software Items

2020

1. RANKTEST: Stata module to test the rank of a matrix
   Statistical Software Components, Boston College Department of Economics View citations (5)