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Home | People | Frank Kleibergen
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Frank Kleibergen

Faculty

University
University of Amsterdam
Research field
Data Science
Interests
Panel Data

Publications

Kleibergen, F. and Zhan, Z. (2020). Robust Inference for Consumption-Based Asset Pricing The Journal of Finance, 75(1):507--550.

Kleibergen, F. (2020). Efficient size correct subset inference in homoskedastic linear instrumental variables regression Journal of Econometrics, :.

Dovonon, P., Hall, A. and Kleibergen, F. (2020). Inference in second-order identified models Journal of Econometrics, 218(2):346--372.

Kleibergen, F., Guggenberger, P. and Mavroeidis, S. (2019). A more powerful subvector Anderson-Rubin test in linear instrumental variables regression Quantitative Economics, :487.

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.F., Kleibergen, F.R. 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.