Fotograaf: FEB

dhr. prof. dr. F.R. (Frank) Kleibergen


  • Faculteit Economie en Bedrijfskunde
    Sectie Quantitative Economics
  • Bezoekadres
    REC E
    Roetersstraat 11  Amsterdam
    Kamernummer: 4.31
  • Postadres:
    Postbus  15867
    1001 NJ  Amsterdam
  • F.R.Kleibergen@uva.nl
    T: 0205254397
    T: 0205254252

Positions

2015- Professor of Econometrics, University of Amsterdam
2003-2015 Professor of Economics at Brown University

Education

MA in Econometrics, Erasmus University Rotterdam (1990);
PhD in Econometrics, Erasmus University Rotterdam (1994).

Research interests

GMM with weak instruments, uniform inference; identification; dynamic panel data; Factor models in finance.

Curriculum Vitae

2015

2014

  • Kleibergen, F., & Mavroeidis, S. (2014). Identification issues in limited-information Bayesian analysis of structural macroeconomic models. Journal of Applied Econometrics, 29(7), 1183-1207. DOI: 10.1002/jae.2398 [details]

2012

  • Guggenberger, P., Kleibergen, F., Mavroeidis, S., & 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. DOI: 10.3982/ECTA8953 [details]

2009

  • Kleibergen, F. (2009). Tests of risk premia in linear factor models. Journal of Econometrics, 149(2), 149-173. DOI: 10.1016/j.jeconom.2009.01.013 [details]
  • Kleibergen, F., & Mavroeidis, S. (2009). Rejoinder. Journal of Business & Economic Statistics, 27(3), 331-339. DOI: 10.1198/jbes.2009.08350 [details]
  • Kleibergen, F., & Mavroeidis, S. (2009). Weak instrument robust tests in GMM and the new Keynesian Phillips curve. Journal of Business & Economic Statistics, 27(3), 293-311. DOI: 10.1198/jbes.2009.08280 [details]

2008

  • Kleibergen, F. R. (2008). Testing. In New Palgrave Dictionary of Economics. (pp. 1-8). Palgrave-Macmillian. [details]

2007

  • Kleibergen, F. R. (2007). Generalizing weak intrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics. Journal of Econometrics, 139(1), 181-216. DOI: 10.1016/j.jeconom.2006.06.010 [details]
  • Hoogerheide, L., Kleibergen, F. R., & 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. DOI: 10.1016/j.jeconom.2006.05.015 [details]

2006

  • Kleibergen, F. R., & Paap, R. (2006). Generalized Reduced Rank Tests using the Singular Value Decomposition. Journal of Econometrics, 133(1), 97-126. DOI: 10.1016/j.jeconom.2005.02.011 [details]

2005

2004

  • Kleibergen, F. R. (2004). Invariant Bayesian Inference in Regression Models that is robust against the Jeffreys-Lindleys Paradox. Journal of Econometrics, 123(2), 227-258. DOI: 10.1016/j.jeconom.2003.12.009 [details]
  • Kleibergen, F. R. (2004). Testing Subsets of Structural Parameters in the IV Regression Model. Review of Economics and Statistics, 86(1), 418-423. DOI: 10.1162/003465304774201833 [details]

2003

  • Kleibergen, F. R., & Bekker, P. (2003). Finite Sample Instrumental Variables Inference using an Asymptotically Pivotal Statistic. Econometric Theory, 19, 744-753. DOI: 10.1017/S0266466603195023 [details]
  • Kleibergen, F. R., & Groen, J. (2003). Likelihood Based Cointegreation Analysis in Panels of Vector Error Correction Models. Journal of Business & Economic Statistics, 21, 295-318. DOI: 10.1198/073500103288618972 [details]
  • Kleibergen, F. R., & Zivot, E. (2003). Bayesian and Classical Approaches to Instrumental Variable Regression. Journal of Econometrics, 114, 29-72. DOI: 10.1016/S0304-4076(02)00219-1 [details]

2002

  • Kleibergen, F. R. (2002). Pivotal statistics for testing structural parameters in instrumental variables regression. Econometrica, 70, 1781-1804. DOI: 10.1111/1468-0262.00353 [details]
  • Kleibergen, F. R., & Paap, R. (2002). Priors, posterior odds and Bayes factors in bayesian analyses of coinegration. Journal of Econometrics, 111, 223-249. DOI: 10.1016/S0304-4076(02)00105-7 [details]

2001

  • Houweling, P., Hoek, J., & Kleibergen, F. R. (2001). The Joint Estimation of Term Structures and Credit Spreads. Journal of Empirical Finance, 8, 297-323. [details]

2006

  • Kleibergen, F. R. (2006). Expansions of GMM statistics and the bootstrap. (UvA-Econometrics Working Paper; No. 2006/09). Amsterdam: Faculteit Economie en Bedrijfskunde. [details]

2013

  • Bun, M. J. G., & Kleibergen, F. (2013). Identification and inference in moments based analysis of linear dynamic panel data models. (UvA-Econometrics Discussion Paper; No. 2013/07). University of Amsterdam. [details] [PDF]
  • Kleibergen, F., & Zhan, Z. (2013). Unexplained factors and their effects on second pass R-squared's and t-tests. Brown University. [details] [PDF]
  • Kleibergen, F., & Mavroeidis, S. (2013). Identification issues in limited-information Bayesian analysis of structural macroeconomic models. Brown University. [details]

2011

  • Bun, M., & Kleibergen, F. (2011). Identification in linear dynamic panel data models. (UvA - econometrics discussion paper; No. 2011/04). Amsterdam: Universiteit van Amsterdam. [details]
  • Kleibergen, F. R., & Mavroeidis, S. (2011). Identification robust priors for Bayesian Analysis in DSGE-models. Providence, Rhode Island 02912, USA: Brown University. [details]
  • Kleibergen, F. (2011). Improved accuracy of weak instument robust GMM statistics through bootstrap and Edgeworth approximations. Providence, Rhode Island: Brown University. [details]
  • Kleibergen, F., & Mavroeidis, S. (2011). Inference on subsets of parameters in linear IV without assuming identification. Providence, Rhode Island: Brown University. [details]

2007

  • Kleibergen, F. R., & Mavroeidis, S. (2007). Inference on subsets of parameters in GMM without assuming identification. (UvA - Econometrics Working Paper; No. 2007/07). Amsterdam: Faculteit Economie en Bedrijfskunde. [details]

2005

  • Kleibergen, F. R. (2005). Subset Statistics in the linear IV regression model. (UvA econometrics discussion paper; No. 2005/08). Amsterdam: Faculteit Economie en Bedrijfskunde. [details] [PDF]
  • Kleibergen, F. R. (2005). Tests of risk premia in linear factor models. (UvA Econometrics Discussion paper; No. 2005/09). Amsterdam: Faculteit Economie en Bedrijfskunde. [details] [PDF]

2003

  • Kleibergen, F. R. (2003). Expansions of GMM statistics that indicate their properties under weak and/or many instruments and the bootstrap. (UvA Econometrics Discussion Paper; No. 2003/10). Amsterdam: Department of Quantitative Economics. [details] [PDF]
  • Kleibergen, F. (2003). Invariant Bayesian Inference in Regression Models that is robust against the Jeffreys-Lindley's paradox. (UvA Econometrics Discussion Paper; No. 2002/22). Amsterdam: Department of Quantitative Economics. [details] [PDF]
  • Kleibergen, F. (2003). Orthogonal statistics and the density of the liml estimator. (UvA Econometrics Discussion Paper; No. 2003/11). Amsterdam: Department of Quantitative Economics. [details] [PDF]

2002

  • Kleibergen, F. R. (2002). Two independent pivotal statistics that test location and misspecification and add-up to the Anderson-Rubin statistic. (UvA Econometrics Discussion Paper; No. 2002/24). Amsterdam: Department of Quantitative Economics. [details] [PDF]
  • Kleibergen, F. R., & Paap, R. (2002). Generalized reduced rank tests using the singular value decomposition. (UvA Econometrics Discussion Paper; No. 2002/25). Amsterdam: Department of Quantitative Economics. [details] [PDF]
  • Kleibergen, F. (2002). Testing parameters in GMM without assuming that they are identifiied. (UvA Econometrics Discussion Paper; No. 2002/23). Amsterdam: Department of Quantitative Economics. [details] [PDF]

2001

  • Kleibergen, F. R. (2001). How to overcome the Jeffreys-Lindleys Paradox for invariant Bayesian Inference in Regression Models. (Tinbergen Institute Discussion Paper; No. TI 2001-073/4). Amsterdam / Rotterdam: Tinbergen Institute. [details]
  • Kleibergen, F. R. (2001). Testing parameters in GMM without assuming that they are identified. (Tinbergen Institute Discussion Paper; No. TI 2001-067/4). Amsterdam / Rotterdam: Tinbergen Institute. [details]
  • Bekker, P., & Kleibergen, F. R. (2001). Finite-sample instrumental variables Inference using an Asymptotically Pivotal Statistic. (Tinbergen Institute Discussion paper; No. TI 2001-055/4). Amsterdam / Rotterdam: Tinbergen Institute. [details]

2000

  • Kleibergen, F. R. (2000). Exact test statistics and distributions of maximum likelihood estimation that result from orthogonal parameters. (Tinbergen Institute Discussion Paper; No. TI 2000-039/4). Amsterdam / Rotterdam: Tinbergen Institute. [details]
  • Kleibergen, F. R. (2000). Pivotal statistics for testing structural parameters in instrumental variables regression. (Tinbeergen Institute Discussion paper; No. TI 2000-055/4). Amsterdam / Rotterdam: Tinbergen Institute. [details]
  • Kleibergen, F. R. (2000). Pivotal statistics for testing subsets of structural parameters in the IV Regression Model. (Tinbergen Institute Discussion Paper; No. TI 2000-088/4). Amsterdam / Rotterdam: Tinbergen Institute. [details]
  • Kleibergen, F. R., & Hoek, H. (2000). Bayesian analysis of ARMA models. (Tinbergen Institute Discussion Paper; No. 0TI 2000-027/4). Amsterdam / Rotterdam: Tinbergen Institute. [details]
  • Kleibergen, F. R., Kleijn, R., & Paap, R. (2000). The Bayesian Score Statistic. (Tinbergen Institute Discussion Paper; No. TI 2000-035/4). Amsterdam / Rotterdam: Tinbergen Institute. [details]

1999

  • Houweling, P., Hoek, J., & Kleibergen, F. R. (1999). The joint estimation of term structures and credit spreads. (Tinbergen Institute Discussion Paper; No. TI 1999-027/4). Amsterdam / Rotterdam: Tinbergen Institute. [details]
  • Kleibergen, F. R., & Groen, J. (1999). Likelyhood-based cointegration analysis in panels of vector error correction models. (Tinbergen Institute Discussion Paper; No. TI 1999-055/4). Amsterdam / Rotterdam: Tinbergen Institute. [details]
This list of publications is extracted from the UvA-Current Research Information System. Questions? Ask the library or the Pure staff of your faculty / institute. Log in to Pure to edit your publications.
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