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

Lijst

Faculteit Economie en Bedrijfskunde
Sectie Econometrie & Statistiek
Valckenierstraat 65
1018 XE Amsterdam
F.R.Kleibergen@uva.nl
T: 0205254397
T: 0205254252

Profile
Publicaties
Nevenwerkzaamheden

Positions

Professor of Econometrics at the University of Amsterdam
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, Bayesian Econometrics; (Panel and Periodic) Cointegration; Simultaneous Equation Models; Identification; Reduced Rank regressions; ARMA Models; Financial Econometrics; Credit Products.

My personal homepage

My personal homepage at Brown University

2014

F. Kleibergen & S. Mavroeidis (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

2012

P. Guggenberger, F. Kleibergen, S. Mavroeidis & L. Chen (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

2009

F. Kleibergen & S. Mavroeidis (2009). Rejoinder. Journal of Business & Economic Statistics, 27 (3), 331-339.
F. Kleibergen & S. Mavroeidis (2009). Weak instrument robust tests in GMM and the new Keynesian Phillips curve. Journal of Business & Economic Statistics, 27 (3), 293-311.
F. Kleibergen (2009). Tests of risk premia in linear factor models. Journal of Econometrics, 149 (2), 149-173.

2008

F.R. Kleibergen (2008). Testing. In New Palgrave Dictionary of Economics (pp. 1-8). Palgrave-Macmillian.

2007

F.R. Kleibergen (2007). Generalizing weak intrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics. Journal of Econometrics, 139 (1), 181-216.
L. Hoogerheide, F.R. Kleibergen & H.K. van Dijk (2007). Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data. Journal of Econometrics, 138 (1), 63-103.

2006

F.R. Kleibergen & R. Paap (2006). Generalized Reduced Rank Tests using the Singular Value Decomposition. Journal of Econometrics, 133 (1), 97-126.

2005

F.R. Kleibergen (2005). Testing Parameters in GMM without assuming that they are identified. Econometrica, 73 (4), 1103-1124.

2004

F.R. Kleibergen (2004). Invariant Bayesian Inference in Regression Models that is robust against the Jeffreys-Lindleys Paradox. Journal of Econometrics, 123 (2), 227-258.
F.R. Kleibergen (2004). Testing Subsets of Structural Parameters in the IV Regression Model. Review of Economics and Statistics, 86 (1), 418-423.

2003

F.R. Kleibergen & E. Zivot (2003). Bayesian and Classical Approaches to Instrumental Variable Regression. Journal of Econometrics, 114, 29-72.
F.R. Kleibergen & J. Groen (2003). Likelihood Based Cointegreation Analysis in Panels of Vector Error Correction Models. Journal of Business & Economic Statistics, 21, 295-318.
F.R. Kleibergen & P. Bekker (2003). Finite Sample Instrumental Variables Inference using an Asymptotically Pivotal Statistic. Econometric Theory, 19, 744-753.

2002

F.R. Kleibergen & R. Paap (2002). Priors, posterior odds and Bayes factors in bayesian analyses of coinegration. Journal of Econometrics, 111, 223-249.
F.R. Kleibergen (2002). Pivotal statistics for testing structural parameters in instrumental variables regression. Econometrica, 70, 1781-1804.

2001

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

2006

F.R. Kleibergen (2006). Expansions of GMM statistics and the bootstrap. (intern rapport, UvA-Econometrics Working Paper, no 2006/09). Amsterdam: Faculteit Economie en Bedrijfskunde.

2001

F.R. Kleibergen (2001). How to overcome the Jeffreys-Lindleys Paradox for invariant Bayesian Inference in Regression Models. Discussion paper - Tinbergen Institute, 073/4.
F.R. Kleibergen (2001). Testing parameters in GMM without assuming that they are identified. Discussion paper - Tinbergen Institute, 067/4.

2000

F.R. Kleibergen & H.- Hoek (2000). Bayesian Analysis of ARMA models. Discussion paper - Tinbergen Institute, TI 00 (027/4).
F.R. Kleibergen, R. Kleijn & R. Paap (2000). The Bayesian Score Statistic. Discussion paper - Tinbergen Institute, TI 00 (035/4).
F.R. Kleibergen (2000). Pivotal Statistics for testing Subsets of Structural Parameters in the IV Regression Model. Discussion paper - Tinbergen Institute, TI 00 (088/4).
F.R. Kleibergen (2000). Exact Test Statistics and Distributions of Maximum Likelihood Estimation that result from Orthogonal Parameters. Discussion paper - Tinbergen Institute, TI 00 (039/4).
F.R. Kleibergen (2000). Pivotal Statistics for testing Structural Parameters in Instrumental Variables Regression. Discussion paper - Tinbergen Institute, TI 00 (055/4).

1999

F.R. Kleibergen, J. Hoek & P. Houweling (1999). The Joint Estimation of Term Structures and Credit Spreads. Discussion paper - Tinbergen Institute, 99-027/4.
F.R. Kleibergen & J. Groen (1999). Likelyhood-Based Cointegration Analysis in Panels of Vector Error Correction Models. Discussion paper - Tinbergen Institute, TI99-055/4.

2013

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

2011

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

2007

F.R. Kleibergen & S. Mavroeidis (2007). Inference on subsets of parameters in GMM without assuming identification. (intern rapport, UvA - Econometrics Working Paper, no 2007/07). Amsterdam: Faculteit Economie en Bedrijfskunde.

2005

F.R. Kleibergen (2005). Subset Statistics in the linear IV regression model. (intern rapport, UvA econometrics discussion paper, no 2005/08). Amsterdam: Faculteit Economie en Bedrijfskunde.[go to publisher's site]
F.R. Kleibergen (2005). Tests of risk premia in linear factor models. (intern rapport, UvA Econometrics Discussion paper, no 2005/09). Amsterdam: Faculteit Economie en Bedrijfskunde.[go to publisher's site]

2003

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

2002

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

2001

P. Bekker & F.R. Kleibergen (2001). Finite-Sample Instrumental Variables Inference using an Asymptotically Pivotal Statistic. (Preprints, no 055/4). : Tinbergen Institute Discussion paper.

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