Kleibergen, F. and Zhan, Z. (2020). Robust Inference for Consumption-Based Asset Pricing The Journal of Finance, 75(1):507--550.
Frank Kleibergen
University
University of Amsterdam
E-mail
Research field
Data Science and Econometrics
Interests
Econometrics, Panel Data
Website
Key publications
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. (2005). Testing Parameters in GMM without assuming that they are identified Econometrica, 73(4):1103--1124.
Kleibergen, F. (2002). Pivotal statistics for testing structural parameters in instrumental variables regression Econometrica, 70:1781--1804.
Publications
Kleibergen, F. and Kong, L. (2024). Identification robust inference for the risk premium in term structure models Journal of Econometrics, :.
Guggenberger, P., Kleibergen, F. and Mavroeidis, S. (2023). A Test for Kronecker Product Structure Covariance Matrix Journal of Econometrics, 223(1):88--112.
Kleibergen, F., Kong, L. and zhan, Z. (2023). Rejoinder on: Identification Robust Testing of Risk Premia in Finite Samples Journal of Financial Econometrics, :1--5.
Kleibergen, F., Kong, L. and Zhan, Z. (2023). Identification Robust Testing of Risk Premia in Finite Samples Journal of Financial Econometrics, 21(2):263–297.
Kleibergen, F., Mavroeidis, S. and Guggenberger, P. (2023). A powerful subvector Anderson-Rubin test in linear instrumental variables regression with conditional heteroskedastictiy Econometric Theory, :.
Bun, M. and Kleibergen, F. (2022). Identification robust inference for moments-based analysis of linear dynamic panel data models Econometric Theory, 38(4):689--751.
Kleibergen, F. (2021). Efficient size correct subset inference in homoskedastic linear instrumental variables regression Journal of Econometrics, 221(1):78--96.
Kleibergen, F. and Zhan, Z. (2020). Robust Inference for Consumption-Based Asset Pricing The Journal of Finance, 75(1):507--550.
Dovonon, P., Hall, A. and Kleibergen, F. (2020). Inference in second-order identified models Journal of Econometrics, 218(2):346--372.
Guggenberger, P., Kleibergen, F. and Mavroeidis, S. (2019). A more powerful subvector Anderson Rubin test in linear instrumental variables regression Quantitative Economics, 10(2):487--526.
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., Kleibergen, F. 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.