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

Faculteit Economie en Bedrijfskunde
Sectie Quantitative Economics
Fotograaf: FEB

Bezoekadres
  • Roetersstraat 11
  • Kamernummer: 4.31
Postadres
  • Postbus 15867
    1001 NJ Amsterdam
  • Profile

    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

  • Working papers
  • Publicaties

    2018

    • Kleibergen, F., & Zhan, Z. (2018). Identification-robust inference on risk premia of mimicking portfolios of non-traded factors. Journal of Financial Econometrics, 16(2), 155-190. DOI: 10.1093/jjfinec/nby005  [details] 
    • Kleibergen, F. R., Dovonon, P., & Hall, A. (Accepted/In press). Inference in second order identified models. Journal of Econometrics.
    • Kleibergen, F. R., Guggenberger, P., & Mavroeidis, S. (Accepted/In press). A more powerful subvector Anderson-Rubin test in linear instrumental variables regression. Quantitative Finance.

    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

    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 
    • 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 

    2006

    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.

    Tijdschriftredactie

    • Kleibergen, F. R. (programme committee member) (2018). Society for Financial Econometrics World Meeting (Event), Lugano, Switzerland.
    • Kleibergen, F. R. (programme committee member) (2018). Econometrics Society Meeting (Event), Cologne, Germany.
    • Kleibergen, F. R. (programme committee member) (2018). International Association for Applied Econometrics (IAAE) (Event), Montreal , Canada.
    • Kleibergen, F. R. (member of editorial board) (2018-2030). Journal of Econometrics (Journal).

    Spreker

    • Kleibergen, F. R. (speaker) (7-12-2018). Robust Inference for Consumption-Based Asset Pricing, Advances in Econometrics Conference, London, United Kingdom.
    • Kleibergen, F. R. (speaker) (30-11-2018). Robust Inference for Consumption-Based Asset Pricing, 10th French Econometrics Conference, Paris, France.
    • Kleibergen, F. R. (speaker) (11-10-2018). Robust Inference for Consumption-Based Asset Pricing, 7th RMSE Conference, Koblenz, Germany.
    • Kleibergen, F. R. (speaker) (29-8-2018). Inference in second order identified models, Econometric Society European Meeting, Cologne, Germany.
    • Kleibergen, F. R. (speaker) (28-6-2018). A more powerful subvector Anderson-Rubin test in linear instrumental variables regression, International Association for Applied Econometrics (IAAE) meeting, Montreal, Canada.
    • Kleibergen, F. R. (speaker) (7-6-2018). Robust Inference for Consumption-Based Asset Pricing, University of Nottingham.
    • Kleibergen, F. R. (speaker) (25-5-2018). Robust Inference for Consumption-Based Asset Pricing, Netherlands Econometrics Study Group Meeting , Amsterdam, Netherlands.
    • Kleibergen, F. R. (speaker) (21-4-2018). Robust Inference for Consumption-Based Asset Pricing, Identification in Econometrics Conference, Nashville, United States.
    • Kleibergen, F. R. (speaker) (17-4-2018). Robust Inference for Consumption-Based Asset Pricing, Kennesaw State University.
    • Kleibergen, F. R. (speaker) (6-1-2018). A more powerful subvector Anderson-Rubin test in linear instrumental variables regression, Econometrics Society North-American Winter Meeting .

    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] 
    • Kleibergen, F., & Zhan, Z. (2013). Unexplained factors and their effects on second pass R-squared's and t-tests. Brown University. [details] 
    • 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.
    • 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.

    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] 
    • 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] 

    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] 
    • 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] 
    • 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] 

    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] 
    • 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] 
    • 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] 

    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. Log in to Personal Page Publication Selection tool  to manage the visibility of your publications on this list.
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