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Citations of
Frank Kleibergen

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

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Working papers

  1. Frank Kleibergen, 2004. "Expansions of GMM statistics that indicate their properties under weak and/or many instruments and the bootstrap," Econometric Society 2004 North American Summer Meetings 408, Econometric Society. [Downloadable!]

    Cited by:

    1. Ben R. Craig & William E. Jackson, III & James B. Thomson, 2006. "Small firm credit market discrimination, SBA-guaranteed lending, and local market economic performance," Working Paper 0613, Federal Reserve Bank of Cleveland. [Downloadable!]
    2. William E.Jackson, III & Ben R. Craig & James B. Thompson, 2006. "Does Small Business Administration guaranteed lending improve economic performance in low–income areas?," Proceedings – Community Affairs Dept. Conferences, Federal Reserve Bank of Kansas City, issue Jul, pages 55-85. [Downloadable!]
    3. Mehmet Caner, 2005. "Higher Order Expansions in GMM with Nearly Weak and Many Nearly Weak Instruments," Working Papers 209, University of Pittsburgh, Department of Economics, revised Jan 2005. [Downloadable!]
    4. Marcelo J. Moreira & Jack R. Porter & Gustavo A. Suarez, 2004. "Bootstrap and Higher-Order Expansion Validity When Instruments May Be Weak," NBER Technical Working Papers 0302, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    5. Ben R. Craig & William E. Jackson, III & James B. Thomson, 2006. "Small-firm credit markets, SBA-guaranteed lending, and economic performance in low-income areas," Working Paper 0601, Federal Reserve Bank of Cleveland. [Downloadable!]

  2. Richard Paap & Frank Kleibergen, 2004. "Generalized Reduced Rank Tests using the Singular Value Decomposition," Econometric Society 2004 Australasian Meetings 195, Econometric Society. [Downloadable!]
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    Published as:

    Cited by:

    1. Sylvia Kaufmann & Peter Kugler, 2006. "Expected Money Growth, Markov Trends and the Instability of Money Demand in the Euro Area," Working Papers 131, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
    2. Jere R. Behrman & John Hoddinott & John A. Maluccio & Reynaldo Martorell, 2009. "Brains versus Brawn: Labor Market Returns to Intellectual and Health Human Capital in a Poor Developing Country," Middlebury College Working Paper Series 0907, Middlebury College, Department of Economics. [Downloadable!]
    3. Hiroyuki Kasahara & Katsumi Shimotsu, 2007. "Nonparametric Identification and Estimation of Multivariate Mixtures," Working Papers 1153, Queen's University, Department of Economics. [Downloadable!]
    4. Luca Fanelli, 2009. "Estimation of quasi-rational DSGE monetary models," Quaderni di Dipartimento 3, Department of Statistics, University of Bologna. [Downloadable!]
    5. Dauphin, Anyck & El Lahga, AbdelRahmen & Fortin, Bernard & Lacroix, Guy, 2008. "Are Children Decision-Makers Within the Household?," IZA Discussion Papers 3728, Institute for the Study of Labor (IZA). [Downloadable!]
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    6. Da Rin, M. & Di Giacomo, M. & Sembenelli, A., 2008. "Firm Entry Dynamics and Taxation of Corporate Profits: Evidence from Europe," Discussion Paper 2008-65, Tilburg University, Center for Economic Research. [Downloadable!]
    7. Stephen G. Donald & Natércia Fortuna & Vladas Pipiras, 2005. "On rank estimation in symmetric matrices: the case of indefinite matrix estimators," FEP Working Papers 167, Universidade do Porto, Faculdade de Economia do Porto. [Downloadable!]
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    8. Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2007. "Enhanced routines for instrumental variables/GMM estimation and testing," Boston College Working Papers in Economics 667, Boston College Department of Economics, revised 05 Sep 2007. [Downloadable!]
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    9. Subha Mani & John Hoddinott & John Strauss, 2009. "Determinants of Schooling Outcomes: Empirical Evidence from Rural Ethiopia," Fordham Economics Discussion Paper Series dp2009-03, Fordham University, Department of Economics. [Downloadable!]
    10. Johannes Becker & Nadine Riedel, 2008. "Cross-Border Tax Effects on Affiliate Investment - Evidence from European Multinationals," Working Papers 0816, Oxford University Centre for Business Taxation. [Downloadable!]
    11. Fredriksson, Per & Mamun, Khawaja, 2009. "Gubernatorial Reputation and Vertical Tax Externalities: All Smoke, No Fire?," Working Papers 2009002, Sacred Heart University, John F. Welch College of Business. [Downloadable!]
    12. Chew Lian Chua & Chin Nam Low, 2007. "Permanent Structural Change in the US Short-Term and Long-Term Interest Rates," Melbourne Institute Working Paper Series wp2007n22, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
    13. Ansgar Belke & Ingo Bordon & Inna Melnykovska & Rainer Schweickert, 2009. "Prospective Membership and Institutional Change in Transition Countries," Kiel Working Papers 1562, Kiel Institute for the World Economy. [Downloadable!]
    14. Melolinna, Marko, 2008. "Using financial markets information to identify oil supply shocks in a restricted VAR," Research Discussion Papers 9/2008, Bank of Finland. [Downloadable!]
    15. Du, Jun & Girma, Sourafel, 2009. "Source of Finance, Growth and Firm Size ? Evidence from China," Working Papers UNU-WIDER Research Paper , World Institute for Development Economic Research (UNU-WIDER). [Downloadable!]
    16. Ansgar Belke & Ingo Bordon & Inna Melnykovska & Rainer Schweickert, 2009. "This paper quantifies the impact of incentives related to potential membership on institutional change as measured by the World Bank Governance Indicators (WBGI). Based on a panel of 25 transition cou," Ruhr Economic Papers 0131, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen. [Downloadable!]
    17. Richard Smith, 2005. "Weak instruments and empirical likelihood: a discussion of the papers by DWK Andrews and JH Stock and Y Kitamura," CeMMAP working papers CWP13/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
    18. Mikael Carlsson & Oskar Nordström Skans, 2009. "Evaluating microfoundations for aggregate price rigidities: evidence from matched firm-level data on product prices and unit labor cost," Working Paper Series 1083, European Central Bank. [Downloadable!]
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    19. Anyck Dauphin & Abdel-Rahmen El Lahga & Bernard Fortin & Guy Lacroix, 2004. "Choix de consommation des ménages en présence de plusieurs décideurs," CIRANO Working Papers 2004s-63, CIRANO. [Downloadable!]
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    20. Matthew Baker & Niklas J. Westelius, 2009. "Crime, Expectations and The Deterrence Hypothesis," Hunter College Department of Economics Working Papers 425, Hunter College: Department of Economics. [Downloadable!]

  3. Frank Kleibergen & Richard Paap, 2003. "Generalized Reduced Rank Tests using the Singular Value Decomposition," Tinbergen Institute Discussion Papers 03-003/4, Tinbergen Institute. [Downloadable!]

    Cited by:

    1. Stephen G. Donald & Natércia Fortuna & Vladas Pipiras, 2005. "On rank estimation in symmetric matrices: the case of indefinite matrix estimators," FEP Working Papers 167, Universidade do Porto, Faculdade de Economia do Porto. [Downloadable!]
      Other versions:
    2. Anyck Dauphin & Abdel-Rahmen El Lahga & Bernard Fortin & Guy Lacroix, 2004. "Choix de consommation des ménages en présence de plusieurs décideurs," CIRANO Working Papers 2004s-63, CIRANO. [Downloadable!]
      Other versions:

  4. Frank Kleibergen, 2002. "Two Independent Pivotal Statistics that test Location and Misspecification and add up to the Anderson-Rubin Statistic," Tinbergen Institute Discussion Papers 02-064/4, Tinbergen Institute. [Downloadable!]

    Cited by:

    1. Frank Kleibergen, 2004. "Expansions of GMM statistics that indicate their properties under weak and/or many instruments and the bootstrap," Econometric Society 2004 North American Summer Meetings 408, Econometric Society. [Downloadable!]

  5. J.J.J. Groen & F. Kleibergen, 2001. "Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models," WO Research Memoranda (discontinued) 646, Netherlands Central Bank, Research Department. [Downloadable!]
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    Published as:

    Cited by:

    1. Michael McMahon & Gabriel Sterne & Jamie Thompson, . "The role of ICT in the global investment cycle," Bank of England working papers 257, Bank of England. [Downloadable!]
    2. António Afonso & Christophe Rault, 2008. "What do we really Know about Fiscal Sustainability in the EU? A Panel Data Diagnostic," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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    3. Martin Wagner & Georg Müller-Fürstenberger, 2004. "The Carbon Kuznets Curve: A Cloudy Picture Emitted by Bad Econometrics?," Diskussionsschriften dp0418, Universitaet Bern, Departement Volkswirtschaft. [Downloadable!]
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    4. Sean Holly & M. Hashem Pesaran & Takashi Yamagata, 2006. "A Spatio-Temporal Model of House Prices in the US," IZA Discussion Papers 2338, Institute for the Study of Labor (IZA). [Downloadable!]
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    5. H. Herwartz & M. Neumann, . "Bootstrap Inference in Single Equation Error Correction Models," Sonderforschungsbereich 373 2000-87, Humboldt Universitaet Berlin.
    6. Westerlund, Joakim & Edgerton, David, 2006. "Simple Tests for Cointegration in Dependent Panels with Structural Breaks," Working Papers 2006:13, Lund University, Department of Economics, revised 28 Jan 2007.
    7. Breitung, J. & Pesaran, M.H., 2005. "Unit Roots and Cointegration in Panels," Cambridge Working Papers in Economics 0535, Faculty of Economics, University of Cambridge. [Downloadable!]
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    8. António Afonso & Christophe Rault, 2007. "What We Really Know about Fiscal Sustainability in the EU? A Panel Data Diagnostic," Working Papers 2007/20, Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon.. [Downloadable!]
    9. Valerie Cerra & Sweta Chaman Saxena, 2008. "The Monetary Model Strikes Back: Evidence from the World," IMF Working Papers 08/73, International Monetary Fund. [Downloadable!]
    10. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2002. "Separation, Weak Exogeneity, And P-T Decomposition In Cointegrated Var Systems With Common Features," Econometric Reviews, Taylor and Francis Journals, vol. 21(3), pages 273-307. [Downloadable!] (restricted)
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    11. Jan J J Groen & Clare Lombardelli, . "Real exchange rates and the relative prices of non-traded and traded goods: an empirical analysis," Bank of England working papers 223, Bank of England. [Downloadable!]
    12. Carlos Andrés Amaya, . "Interest Rate Setting and the Colombian Monetary Transmission Mechanism," Borradores de Economia 352, Banco de la Republica de Colombia. [Downloadable!]
    13. Anindya Banerjee & Massimiliano Marcellino & Chiara Osbat, . "Testing for PPP: Should We Use Panel Methods?," Working Papers 186, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
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    14. Peter Hansen, 2002. "Generalized Reduced Rank Regression," Working Papers 2002-02, Brown University, Department of Economics. [Downloadable!]
    15. David T. Coe & Elhanan Helpman & Alexander W. Hoffmaister, 2008. "International R&D Spillovers and Institutions," IMF Working Papers 08/104, International Monetary Fund. [Downloadable!]
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    16. Jacobson, Tor & Lyhagen, Johan & Larsson, Rolf & Nessén, Marianne, 2002. "Inflation, Exchange Rates and PPP in a Multivariate Panel Cointegration Model," Working Paper Series 145, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
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    17. Deniz Dilan Karaman Örsal & Bernd Droge, 2009. "On the Existence of the Moments of the Asymptotic Trace Statistic," SFB 649 Discussion Papers SFB649DP2009-012, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    18. J.J.J. Groen & F. Kleibergen, 2001. "Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models," WO Research Memoranda (discontinued) 646, Netherlands Central Bank, Research Department. [Downloadable!]
      Other versions:
    19. Stefano Fachin, 2005. "Long-Run Trends in Internal Migrations in Italy: a Study in Panel Cointegration with Dependent Units," Econometrics 0507002, EconWPA. [Downloadable!]
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    20. Di Iorio, Francesca & Fachin, Stefano, 2008. "A note on the estimation of long-run relationships in dependent cointegrated panels," MPRA Paper 12053, University Library of Munich, Germany. [Downloadable!]
    21. Westerlund, Joakim & Basher, Syed A., 2007. "Mixed Signals Among Tests for Panel Cointegration," MPRA Paper 3261, University Library of Munich, Germany. [Downloadable!]
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    22. J.J.J. Groen, 2001. "(EURO) Exchange Rate Predictability and Monetary Fundamentals in a Small Multi-Country Panel," WO Research Memoranda (discontinued) 664, Netherlands Central Bank, Research Department. [Downloadable!]
    23. Wagner, Martin & Hlouskova, Jaroslava, 2007. "The Performance of Panel Cointegration Methods. Results from a Large Scale Simulation Study," Economics Series 210, Institute for Advanced Studies. [Downloadable!]
    24. Deniz Dilan Karaman Örsal, 2007. "Comparison of Panel Cointegration Tests," SFB 649 Discussion Papers SFB649DP2007-029, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
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    25. Hecq, Alain & Palm, Franz C. & Urbain, Jean-Pierre, 2000. "Testing for Common Cyclical Features in Nonstationary Panel Data Models," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    26. Carlos Andrés Amaya G., 2005. "Interest Rate Setting And The Colombian Monetary Transmission Mechanism," BORRADORES DE ECONOMIA 002910, BANCO DE LA REPÚBLICA. [Downloadable!]
    27. Badi H. Baltagi & Chihwa Kao, 2000. "Nonstationary Panels, Cointegration in Panels and Dynamic Panels: A Survey," Center for Policy Research Working Papers 16, Center for Policy Research, Maxwell School, Syracuse University. [Downloadable!]
    28. Luis Eduardo Arango & Luis Fernando Melo, 2006. "Determinantes De La Elección De Administradora De Pensiones: Primeras Estimaciones A Partir De Agregados," BORRADORES DE ECONOMIA 002315, BANCO DE LA REPÚBLICA. [Downloadable!]
    29. Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2006. "Bayesian Inference in a Cointegrating Panel Data Model," Discussion Papers in Economics 06/2, Department of Economics, University of Leicester. [Downloadable!]
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  6. Bekker, Paul A. & Kleibergen, Frank, 2001. "Finite-sample instrumental variables inference using an asymptotically pivotal statistic," Research Report 01F38, University of Groningen, Research Institute SOM (Systems, Organisations and Management). [Downloadable!]
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    Cited by:

    1. D. S. Poskitt & C. L. Skeels, 2005. "Small Concentration Asymptotics and Instrumental Variables Inference," Monash Econometrics and Business Statistics Working Papers 4/05, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
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    2. Frank Kleibergen, 2004. "Expansions of GMM statistics that indicate their properties under weak and/or many instruments and the bootstrap," Econometric Society 2004 North American Summer Meetings 408, Econometric Society. [Downloadable!]
    3. Whitney Newey & Frank Windmeijer, 2005. "GMM with many weak moment conditions," CeMMAP working papers CWP18/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]

  7. Frank Kleibergen, 2001. "How to overcome the Jeffreys-Lindleys Paradox for Invariant Bayesian Inference in Regression Models," Tinbergen Institute Discussion Papers 01-073/4, Tinbergen Institute. [Downloadable!]

    Cited by:

    1. H.K. Van Dijk, 2002. "On Bayesian structural inference in a simultaneous equation model," Econometric Institute Report 263, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]

  8. Frank Kleibergen, 2001. "Testing Parameters in GMM without assuming that they are identified," Tinbergen Institute Discussion Papers 01-067/4, Tinbergen Institute. [Downloadable!]

    Cited by:

    1. Patrik Buggenberger & Richard Smith, 2003. "Generalized empirical likelihood estimators and tests under partial, weak and strong identification," CeMMAP working papers CWP08/03, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
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    2. Frank Kleibergen, 2004. "Expansions of GMM statistics that indicate their properties under weak and/or many instruments and the bootstrap," Econometric Society 2004 North American Summer Meetings 408, Econometric Society. [Downloadable!]

  9. Frank Kleibergen, 2000. "Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression," Tinbergen Institute Discussion Papers 00-055/4, Tinbergen Institute. [Downloadable!]

    Cited by:

    1. Paul A. Bekker & Frank Kleibergen, 2001. "Finite-Sample Instrumental Variables Inference using an Asymptotically Pivotal Statistic," Tinbergen Institute Discussion Papers 01-055/4, Tinbergen Institute. [Downloadable!]
    2. Jung Hur & Yohanes E. Riyanto, 2007. "Organizational Structure and Product Market Competition," Departmental Working Papers wp0705, National University of Singapore, Department of Economics. [Downloadable!]
    3. Peter C.B. Phillips, 2003. "Laws and Limits of Econometrics," Cowles Foundation Discussion Papers 1397, Cowles Foundation, Yale University. [Downloadable!]
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    4. Andreas Pick, 2007. "Financial contagion and tests using instrumental variables," DNB Working Papers 139, Netherlands Central Bank, Research Department. [Downloadable!]
    5. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Applications of Subsampling, Hybrid, and Size-Correction Methods," Cowles Foundation Discussion Papers 1608, Cowles Foundation, Yale University. [Downloadable!]
    6. Peter C.B. Phillips, 2003. "Vision and Influence in Econometrics: John Denis Sargan," Cowles Foundation Discussion Papers 1393, Cowles Foundation, Yale University. [Downloadable!]
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    7. John Chao & Norman Swanson, 2004. "Estimation and Testing Using Jackknife IV in Heteroskedastic Regressions With Many Weak Instruments," Departmental Working Papers 200420, Rutgers University, Department of Economics. [Downloadable!]
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    8. Angelica Gonzalez, 2007. "Empirical Likelihood Estimation in Dynamic Panel Models," ESE Discussion Papers 168, Edinburgh School of Economics, University of Edinburgh. [Downloadable!]
    9. Jinyong Hahn & Atsushi Inoue, 2002. "A Monte Carlo Comparison Of Various Asymptotic Approximations To The Distribution Of Instrumental Variables Estimators," Econometric Reviews, Taylor and Francis Journals, vol. 21(3), pages 309-336. [Downloadable!] (restricted)
    10. Christian Hansen & Jerry Hausman & Whitney Newey, 2006. "Estimation with many instrumental variables," CeMMAP working papers CWP19/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]

  10. Frank R. Kleibergen, 2000. "Exact Test Statistics and Distributions of Maximum Likelihood Estimators that result from Orthogonal Parameters," Tinbergen Institute Discussion Papers 00-039/4, Tinbergen Institute. [Downloadable!]

    Cited by:

    1. F. Kleibergen & R. Kleijn & R. Paap, 2000. "The Bayesian score statistic," Econometric Institute Report 193, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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  11. Patrick Houweling & Jaap Hoek & Frank Kleibergen, 1999. "The Joint Estimation of Term Structures and Credit Spreads," Tinbergen Institute Discussion Papers 99-027/4, Tinbergen Institute. [Downloadable!]
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    Published as:

    Cited by:

    1. Leo Krippner, 2003. "Modelling the Yield Curve with Orthonormalised Laguerre Polynomials: A Consistent Cross-Sectional and Inter-Temporal Approach," Working Papers in Economics 03/02, University of Waikato, Department of Economics. [Downloadable!]

  12. Kleibergen, F.R. & Zivot, E., 1998. "Bayesian and classical approaches to instrumental variable regression," Econometric Institute Report EI 9835 Revision_Date: 20, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]

    Cited by:

    1. Holden, Tom, 2008. "Rational macroeconomic learning in linear expectational models," MPRA Paper 10872, University Library of Munich, Germany. [Downloadable!]
    2. Stanislav Radchenko, 2004. "Limited Information Bayesian Analysis of a Simultaneous Equation with an Autocorrelated Error Term and its Application to the U.S. Gasoline Market," Econometrics 0408001, EconWPA. [Downloadable!]
      Other versions:
    3. F. Kleibergen & R. Kleijn & R. Paap, 2000. "The Bayesian score statistic," Econometric Institute Report 193, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    4. H.K. Van Dijk, 2002. "On Bayesian structural inference in a simultaneous equation model," Econometric Institute Report 263, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    5. Erkki Siivonen & Arto Luoma & Jani Luoto, 2003. "Growth, Institutions and Productivity: An empirical analysis using the Bayesian approach," Research Reports 104, Government Institute for Economic Research Finland (VATT). [Downloadable!]

  13. Frank Kleibergen & Eric Zivot, 1998. "Bayesian and Classical Approaches to Instrumental Variable Regression," Discussion Papers in Economics at the University of Washington 0063, Department of Economics at the University of Washington. [Downloadable!]
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    Published as:

    Cited by:

    1. DUFOUR, Jean-Marie Dufour & KHALAF, Lynda & KICHIAN, Maral, 2005. "Inflation dynamics and the New Keynesian Phillips Curve: an identification robust econometric analysis," Cahiers de recherche 2005-17, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
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    2. Holden, Tom, 2008. "Rational macroeconomic learning in linear expectational models," MPRA Paper 10872, University Library of Munich, Germany. [Downloadable!]
    3. Khalaf, Lynda & Kichian, Maral, 2003. "Are New Keynesian Phillips Curved Identified?," Cahiers de recherche 0312, GREEN. [Downloadable!]
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    4. Chuanming Gao & Kajal Lahiri, 2000. "A Comparison of Some Recent Bayesian and Classical Procedures for Simultaneous Equation Models with Weak Instruments," Econometric Society World Congress 2000 Contributed Papers 0230, Econometric Society. [Downloadable!]
    5. Stanislav Radchenko, 2004. "Limited Information Bayesian Analysis of a Simultaneous Equation with an Autocorrelated Error Term and its Application to the U.S. Gasoline Market," Econometrics 0408001, EconWPA. [Downloadable!]
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    6. Lynda Khalaf & Maral Kichian, 2004. "Estimating New Keynesian Phillips Curves Using Exact Methods," Working Papers 04-11, Bank of Canada. [Downloadable!]
    7. F. Kleibergen & R. Kleijn & R. Paap, 2000. "The Bayesian score statistic," Econometric Institute Report 193, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    8. Dale J. Poirier & Gary Koop & Justin Tobias, 2005. "Semiparametric Bayesian inference in multiple equation models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(6), pages 723-747. [Downloadable!]
      Other versions:
    9. H.K. Van Dijk, 2002. "On Bayesian structural inference in a simultaneous equation model," Econometric Institute Report 263, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    10. Donald W.K. Andrews & James H. Stock, 2005. "Inference with Weak Instruments," Cowles Foundation Discussion Papers 1530, Cowles Foundation, Yale University. [Downloadable!]
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    11. Antipin, Jan-Erik & Mavrotas, George, 2006. "On the Empirics of Aid and Growth: A Fresh Look," Working Papers RP2006/05, World Institute for Development Economic Research (UNU-WIDER). [Downloadable!]
    12. Erkki Siivonen & Arto Luoma & Jani Luoto, 2003. "Growth, Institutions and Productivity: An empirical analysis using the Bayesian approach," Research Reports 104, Government Institute for Economic Research Finland (VATT). [Downloadable!]

  14. F.R. Kleibergen, 1998. "Conditional densities in Econometrics," Econometric Institute Report 102, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]

    Cited by:

    1. Chuanming Gao & Kajal Lahiri, 2000. "A Comparison of Some Recent Bayesian and Classical Procedures for Simultaneous Equation Models with Weak Instruments," Econometric Society World Congress 2000 Contributed Papers 0230, Econometric Society. [Downloadable!]

  15. Frank Kleibergen & Herman K. van Dijk, 1998. "Bayesian Simultaneous Equations Analysis using Reduced Rank Structures," Tinbergen Institute Discussion Papers 98-025/4, Tinbergen Institute. [Downloadable!]

    Cited by:

    1. Antonio Ciccone & Marek Jarocinski, 2008. "Determinants of economic growth - will data tell?," Working Paper Series 852, European Central Bank. [Downloadable!]
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    2. R. Paap & H.K. van Dijk, 2002. "Bayes estimates of Markov trends in possibly cointegrated series," Econometric Institute Report 295, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    3. Chuanming Gao & Kajal Lahiri, 2000. "A Comparison of Some Recent Bayesian and Classical Procedures for Simultaneous Equation Models with Weak Instruments," Econometric Society World Congress 2000 Contributed Papers 0230, Econometric Society. [Downloadable!]
    4. William E. Griffiths & R. Carter Hill & Christopher J. O'Donnell, 2001. "Including Prior Information in Probit Model Estimation," Department of Economics - Working Papers Series 816, The University of Melbourne. [Downloadable!]
    5. Luc Bauwens & Charles S. Bos & Herman K. van Dijk, 1999. "Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk," Tinbergen Institute Discussion Papers 99-082/4, Tinbergen Institute. [Downloadable!]
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    6. Stanislav Radchenko, 2004. "Limited Information Bayesian Analysis of a Simultaneous Equation with an Autocorrelated Error Term and its Application to the U.S. Gasoline Market," Econometrics 0408001, EconWPA. [Downloadable!]
      Other versions:
    7. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2009. "Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models," Economics Working Papers ECO2009/31, European University Institute. [Downloadable!]
    8. Michiel D. de Pooter & René Segers & Herman K. van Dijk, 2006. "On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling," Tinbergen Institute Discussion Papers 06-076/4, Tinbergen Institute. [Downloadable!]
    9. L.F. Hoogerheide & J.F. Kaashoek & H.K. Van Dijk, 2002. "Functional approximations to posterior densities," Econometric Institute Report 312, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    10. Dale J. Poirier & Gary Koop & Justin Tobias, 2005. "Semiparametric Bayesian inference in multiple equation models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(6), pages 723-747. [Downloadable!]
      Other versions:
    11. H.K. Van Dijk, 2002. "On Bayesian structural inference in a simultaneous equation model," Econometric Institute Report 263, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    12. Gael Martin, 2001. "Bayesian Analysis Of A Fractional Cointegration Model," Econometric Reviews, Taylor and Francis Journals, vol. 20(2), pages 217-234. [Downloadable!] (restricted)
    13. Lennart F. Hoogerheide & Johan F. Kaashoek, 2004. "Functional Approximations to Likelihoods/Posterior Densities: A Neural Network Approach to Efficient Sampling," Computing in Economics and Finance 2004 74, Society for Computational Economics. [Downloadable!]
    14. Lennart Hoogerheide & Herman K. van Dijk, 2008. "Possibly Ill-behaved Posteriors in Econometric Models," Tinbergen Institute Discussion Papers 08-036/4, Tinbergen Institute, revised 18 Apr 2008. [Downloadable!]
    15. Villani, Mattias, 2003. "Bayes Estimators of the Cointegration Space," Working Paper Series 150, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
    16. Gael M. Martin, 2000. "US deficit sustainability: a new approach based on multiple endogenous breaks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(1), pages 83-105. [Downloadable!]
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    17. Kleibergen, Frank & Paap, Richard, 1996. "Priors, posterior odds and Lagrange multiplier statistics in Bayesian analyses of cointegration," Econometric Institute Report 37, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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    18. Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2006. "Bayesian Inference in a Cointegrating Panel Data Model," Discussion Papers in Economics 06/2, Department of Economics, University of Leicester. [Downloadable!]
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  16. Kleibergen, F.R., 1998. "Conditional densities in econometrics," Econometric Institute Report EI 9853 Revision_Date: 20, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]

    Cited by:

    1. Chuanming Gao & Kajal Lahiri, 2000. "A Comparison of Some Recent Bayesian and Classical Procedures for Simultaneous Equation Models with Weak Instruments," Econometric Society World Congress 2000 Contributed Papers 0230, Econometric Society. [Downloadable!]

  17. Kleibergen, F.R. & Paap, R., 1998. "Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration," Econometric Institute Report EI 9821 Revision_Date: 20, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Published as:

    Cited by:

    1. Sylvia Kaufmann & Peter Kugler, 2006. "Expected Money Growth, Markov Trends and the Instability of Money Demand in the Euro Area," Working Papers 131, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
    2. Antonio Ciccone & Marek Jarocinski, 2008. "Determinants of economic growth - will data tell?," Working Paper Series 852, European Central Bank. [Downloadable!]
      Other versions:
    3. R. Paap & H.K. van Dijk, 2002. "Bayes estimates of Markov trends in possibly cointegrated series," Econometric Institute Report 295, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    4. Villani, Mattias, 2005. "Bayesian Inference of General Linear Restrictions on the Cointegration Space," Working Paper Series 189, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
    5. Richard Kleijn, 2000. "Bayesian Testing in Cointegration Models using the Jeffreys' Prior," Econometric Society World Congress 2000 Contributed Papers 1445, Econometric Society. [Downloadable!]
    6. F. Kleibergen & R. Kleijn & R. Paap, 2000. "The Bayesian score statistic," Econometric Institute Report 193, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    7. Anders Warne, 2006. "Bayesian inference in cointegrated VAR models - with applications to the demand for euro area M3," Working Paper Series 692, European Central Bank. [Downloadable!]
    8. Sugita, Katsuhiro, 2002. "Testing For Cointegration Rank Using Bayes Factors," The Warwick Economics Research Paper Series (TWERPS) 654, University of Warwick, Department of Economics. [Downloadable!]
    9. James D. Hamilton & Daniel F. Waggoner & Tao Zha, 2004. "Normalization in econometrics," Working Paper 2004-13, Federal Reserve Bank of Atlanta. [Downloadable!]
      Other versions:
    10. Chew Lian Chua & Chin Nam Low, 2007. "Permanent Structural Change in the US Short-Term and Long-Term Interest Rates," Melbourne Institute Working Paper Series wp2007n22, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
    11. Chew Lian Chua & Peter Summers, 2004. "Structural Error Correction Model: A Bayesian Perspective," Econometric Society 2004 Far Eastern Meetings 702, Econometric Society. [Downloadable!]
    12. Gary Koop & Simon M. Potter & Rodney W. Strachan, 2005. "Re-examining the Consumption-Wealth Relationship: The Role of Model Uncertainty," Discussion Papers in Economics 05/3, Department of Economics, University of Leicester. [Downloadable!]
      Other versions:
    13. R. Paap & H.K. van Dijk, 1999. "Bayes estimates of Markov trends in possibly cointegrated series - an application to US consumption and income," Econometric Institute Report 111, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    14. Villani, Mattias, 2003. "Bayes Estimators of the Cointegration Space," Working Paper Series 150, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
    15. Andrea, SILVESTRINI, 2007. "Testing fiscal sustainability in Poland : a Bayesian analysis of cointegration," Discussion Papers (ECON - Département des Sciences Economiques) 2007040, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
      Other versions:
    16. Mattias Villani, 2009. "Steady-state priors for vector autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 630-650. [Downloadable!]

  18. Paap, R. & Kleibergen, F., 1998. "Prior, Posterios and Bayes Factors for Bayesian Analysis of Cointegration," Papers 9821/a, Erasmus University of Rotterdam - Econometric Institute.

    Cited by:

    1. Gary Koop & Simon M. Potter & Rodney W. Strachan, 2005. "Reexamining the consumption-wealth relationship: the role of model uncertainty," Staff Reports 202, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:

  19. Kleibergen, F. & Van Dijk, H.K., 1997. "Bayesian Simultaneous Equations Analysis Using Reduced Rank Structures," Papers 9714/a, Erasmus University of Rotterdam - Econometric Institute.
    Other versions:
    Published as:

    Cited by:

    1. Antonio Ciccone & Marek Jarocinski, 2008. "Determinants of economic growth - will data tell?," Working Paper Series 852, European Central Bank. [Downloadable!]
      Other versions:
    2. Luc Bauwens & Charles S. Bos & Herman K. van Dijk, 1999. "Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk," Tinbergen Institute Discussion Papers 99-082/4, Tinbergen Institute. [Downloadable!]
      Other versions:
    3. Stanislav Radchenko, 2004. "Limited Information Bayesian Analysis of a Simultaneous Equation with an Autocorrelated Error Term and its Application to the U.S. Gasoline Market," Econometrics 0408001, EconWPA. [Downloadable!]
      Other versions:
    4. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2009. "Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models," Economics Working Papers ECO2009/31, European University Institute. [Downloadable!]
    5. Michiel D. de Pooter & René Segers & Herman K. van Dijk, 2006. "On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling," Tinbergen Institute Discussion Papers 06-076/4, Tinbergen Institute. [Downloadable!]
    6. John C. Chao & Peter C.B. Phillips, 1998. "Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n+1 Endogenous Variables," Cowles Foundation Discussion Papers 1198, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    7. Dale J. Poirier & Gary Koop & Justin Tobias, 2005. "Semiparametric Bayesian inference in multiple equation models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(6), pages 723-747. [Downloadable!]
      Other versions:
    8. H.K. Van Dijk, 2002. "On Bayesian structural inference in a simultaneous equation model," Econometric Institute Report 263, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    9. Gael Martin, 2001. "Bayesian Analysis Of A Fractional Cointegration Model," Econometric Reviews, Taylor and Francis Journals, vol. 20(2), pages 217-234. [Downloadable!] (restricted)
    10. John C. Chao & Peter C.B. Phillips, 1996. "Bayesian Posterior Distributions in Limited Information Analysis of the Simultaneous Equations Model Using the Jeffreys Prior," Cowles Foundation Discussion Papers 1137, Cowles Foundation, Yale University. [Downloadable!]
    11. HOOGERHEIDE, Lennart F. & KAASHOEK, Johan F. & VAN DIJK, Herman K., 2005. "On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: An application of flexible sampling methods using neural networks," CORE Discussion Papers 2005029, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
      Other versions:
    12. Donald W.K. Andrews & James H. Stock, 2005. "Inference with Weak Instruments," Cowles Foundation Discussion Papers 1530, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    13. Lennart F. Hoogerheide & Johan F. Kaashoek, 2004. "Functional Approximations to Likelihoods/Posterior Densities: A Neural Network Approach to Efficient Sampling," Computing in Economics and Finance 2004 74, Society for Computational Economics. [Downloadable!]
    14. Lennart Hoogerheide & Herman K. van Dijk, 2008. "Possibly Ill-behaved Posteriors in Econometric Models," Tinbergen Institute Discussion Papers 08-036/4, Tinbergen Institute, revised 18 Apr 2008. [Downloadable!]
    15. Villani, Mattias, 2003. "Bayes Estimators of the Cointegration Space," Working Paper Series 150, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
    16. Gael M. Martin, 2000. "US deficit sustainability: a new approach based on multiple endogenous breaks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(1), pages 83-105. [Downloadable!]
      Other versions:
    17. Kleibergen, Frank & Paap, Richard, 1996. "Priors, posterior odds and Lagrange multiplier statistics in Bayesian analyses of cointegration," Econometric Institute Report 37, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    18. Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2006. "Bayesian Inference in a Cointegrating Panel Data Model," Discussion Papers in Economics 06/2, Department of Economics, University of Leicester. [Downloadable!]
      Other versions:

  20. Kleibergen, F.R. & Dijk, H.K. van, 1997. "Bayesian Simultaneous Equations Analysis using Reduced Rank Structures," Econometric Institute Report EI 9714-/A Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]

    Cited by:

    1. John C. Chao & Peter C.B. Phillips, 1998. "Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n+1 Endogenous Variables," Cowles Foundation Discussion Papers 1198, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:

  21. F. Kleibergen & H.K. van Dijk & J.-P. Urbain, 1997. "Oil price shocks and long run price and import demand behavior," Econometric Institute Report 151, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Jan J.J. Groen & Frank R. Kleibergen, 1999. "Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models," Tinbergen Institute Discussion Papers 99-055/4, Tinbergen Institute. [Downloadable!]
      Other versions:

  22. Frank Kleibergen & Henk Hoek, 1997. "Bayesian Analysis of ARMA Models using Noninformative Priors," Tinbergen Institute Discussion Papers 97-006/4, Tinbergen Institute. [Downloadable!]
    Other versions:

    Cited by:

    1. P. Saikkonen & H. Lütkepohl, . "Testing for a Unit Root in a Time Series with a Level Shift at Unknown Time," Sonderforschungsbereich 373 1999-72, Humboldt Universitaet Berlin.
      Other versions:
    2. M. Lanne & H. Lütkepohl & P. Saikkonen, . "Test Procedures for Unit Roots in Time Series with Level Shifts at Unknown Time," Sonderforschungsbereich 373 2001-39, Humboldt Universitaet Berlin.
      Other versions:
    3. Kleibergen, Frank & Dijk, Herman K. van, 1996. "Bayesian simultaneous equations analysis using reduced rank structures," Econometric Institute Report 47, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    4. Kleibergen, Frank & Paap, Richard, 1996. "Priors, posterior odds and Lagrange multiplier statistics in Bayesian analyses of cointegration," Econometric Institute Report 37, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:

  23. Kleibergen, Frank, 1996. "Equality restricted random variables: densities and sampling algorithms," Econometric Institute Report 36, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:

    Cited by:

    1. Chuanming Gao & Kajal Lahiri, 2000. "A Comparison of Some Recent Bayesian and Classical Procedures for Simultaneous Equation Models with Weak Instruments," Econometric Society World Congress 2000 Contributed Papers 0230, Econometric Society. [Downloadable!]
    2. Chua, C.L. & Griffiths, W.E. & O'Donnell, C.J., 2001. "Bayesian Model Averaging in Consumer Demand Systems with Inequality Constraints," Department of Economics - Working Papers Series 806, The University of Melbourne. [Downloadable!]
    3. Kleibergen, Frank & Dijk, Herman K. van, 1996. "Bayesian simultaneous equations analysis using reduced rank structures," Econometric Institute Report 47, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    4. Kleibergen, Frank & Paap, Richard, 1996. "Priors, posterior odds and Lagrange multiplier statistics in Bayesian analyses of cointegration," Econometric Institute Report 37, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:

  24. Kleibergen, F.R., 1996. "Equality Restricted Random Variables: Densities and Sampling Algorithms," Econometric Institute Report EI 9662-/A Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]

    Cited by:

    1. Kleibergen, Frank & Dijk, Herman K. van, 1996. "Bayesian simultaneous equations analysis using reduced rank structures," Econometric Institute Report 47, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    2. Kleibergen, Frank & Paap, Richard, 1996. "Priors, posterior odds and Lagrange multiplier statistics in Bayesian analyses of cointegration," Econometric Institute Report 37, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:

  25. Kleibergen, F., 1996. "Reduced rank regression using generalized method of moments estimators," Discussion Paper 20, Tilburg University, Center for Economic Research. [Downloadable!]

    Cited by:

    1. Jan J.J. Groen & Frank R. Kleibergen, 1999. "Likelihood-Based Cointegration Analysis in Panels of Vector Error Correction Models," Tinbergen Institute Discussion Papers 99-055/4, Tinbergen Institute. [Downloadable!]
      Other versions:
    2. Kleibergen, Frank & Paap, Richard, 1996. "Priors, posterior odds and Lagrange multiplier statistics in Bayesian analyses of cointegration," Econometric Institute Report 37, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:

  26. Kleibergen, Frank & Paap, Richard, 1996. "Priors, posterior odds and Lagrange multiplier statistics in Bayesian analyses of cointegration," Econometric Institute Report 37, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    Other versions:

    Cited by:

    1. Kirstin Hubrich & Helmut Lütkepohl & Pentti Saikkonen, 2001. "A Review Of Systems Cointegration Tests," Econometric Reviews, Taylor and Francis Journals, vol. 20(3), pages 247-318. [Downloadable!] (restricted)
      Other versions:
    2. Kleibergen, Frank & Dijk, Herman K. van, 1996. "Bayesian simultaneous equations analysis using reduced rank structures," Econometric Institute Report 47, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:

  27. Kleibergen, F. & Franses, P.H., 1995. "Direct Cointegration Testing in Periodic Vector Autoregressive Models," Papers 9518/a, Erasmus University of Rotterdam - Econometric Institute.

    Cited by:

    1. Kleibergen, F., 1996. "Reduced rank regression using generalized method of moments estimators," Discussion Paper 20, Tilburg University, Center for Economic Research. [Downloadable!]

  28. Kleibergen, F.R. & Hoek, H., 1995. "Bayesian Analysis of ARMA models using Noninformative Priors," Econometric Institute Report EI 9553-/B Revision_Date:, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]

    Cited by:

    1. Kleibergen, Frank & Paap, Richard, 1996. "Priors, posterior odds and Lagrange multiplier statistics in Bayesian analyses of cointegration," Econometric Institute Report 37, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:

  29. Kleibergen, F.R. & Van Dijk, H.K., 1993. "On the Shape of the Likelyhood/Posterior in Cointegration Models," Papers 9315-a, Erasmus University of Rotterdam - Econometric Institute.
    Published as:

    Cited by:

    1. Kleibergen, Frank & Hoek, Henk, 1996. "Bayesian analysis of ARMA models using noninformative priors," Econometric Institute Report 39, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    2. R. Paap & H.K. van Dijk, 2002. "Bayes estimates of Markov trends in possibly cointegrated series," Econometric Institute Report 295, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    3. Luc Bauwens & Charles S. Bos & Herman K. van Dijk, 1999. "Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk," Tinbergen Institute Discussion Papers 99-082/4, Tinbergen Institute. [Downloadable!]
      Other versions:
    4. Villani, Mattias, 2005. "Bayesian Inference of General Linear Restrictions on the Cointegration Space," Working Paper Series 189, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
    5. Andrea Carriero & George Kapetanios & Massimiliano Marcellino, 2009. "Forecasting Large Datasets with Bayesian Reduced Rank Multivariate Models," Economics Working Papers ECO2009/31, European University Institute. [Downloadable!]
    6. Richard Kleijn, 2000. "Bayesian Testing in Cointegration Models using the Jeffreys' Prior," Econometric Society World Congress 2000 Contributed Papers 1445, Econometric Society. [Downloadable!]
    7. F. Kleibergen & R. Kleijn & R. Paap, 2000. "The Bayesian score statistic," Econometric Institute Report 193, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    8. Anders Warne, 2006. "Bayesian inference in cointegrated VAR models - with applications to the demand for euro area M3," Working Paper Series 692, European Central Bank. [Downloadable!]
    9. Michiel D. de Pooter & René Segers & Herman K. van Dijk, 2006. "On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling," Tinbergen Institute Discussion Papers 06-076/4, Tinbergen Institute. [Downloadable!]
    10. L.F. Hoogerheide & J.F. Kaashoek & H.K. Van Dijk, 2002. "Functional approximations to posterior densities," Econometric Institute Report 312, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    11. John C. Chao & Peter C.B. Phillips, 1998. "Jeffreys Prior Analysis of the Simultaneous Equations Model in the Case with n+1 Endogenous Variables," Cowles Foundation Discussion Papers 1198, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    12. Kleibergen, F., 1996. "Reduced rank regression using generalized method of moments estimators," Discussion Paper 20, Tilburg University, Center for Economic Research. [Downloadable!]
    13. Sugita, Katsuhiro, 2002. "Testing For Cointegration Rank Using Bayes Factors," The Warwick Economics Research Paper Series (TWERPS) 654, University of Warwick, Department of Economics. [Downloadable!]
    14. C.S. Forbes & G.M. Martin & J. Wright, 2002. "Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices," Monash Econometrics and Business Statistics Working Papers 2/02, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    15. H.K. Van Dijk, 2002. "On Bayesian structural inference in a simultaneous equation model," Econometric Institute Report 263, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    16. Chew Lian Chua & Peter Summers, 2004. "Structural Error Correction Model: A Bayesian Perspective," Econometric Society 2004 Far Eastern Meetings 702, Econometric Society. [Downloadable!]
    17. Gael Martin, 2001. "Bayesian Analysis Of A Fractional Cointegration Model," Econometric Reviews, Taylor and Francis Journals, vol. 20(2), pages 217-234. [Downloadable!] (restricted)
    18. John C. Chao & Peter C.B. Phillips, 1996. "Bayesian Posterior Distributions in Limited Information Analysis of the Simultaneous Equations Model Using the Jeffreys Prior," Cowles Foundation Discussion Papers 1137, Cowles Foundation, Yale University. [Downloadable!]
    19. L. Bauwens & C.S. Bos & H.K. Van Dijk & R.D. Van Oest, 2002. "Adaptive polar sampling, a class of flexibel and robust Monte Carlo integration methods," Econometric Institute Report 278, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    20. HOOGERHEIDE, Lennart F. & KAASHOEK, Johan F. & VAN DIJK, Herman K., 2005. "On the shape of posterior densities and credible sets in instrumental variable regression models with reduced rank: An application of flexible sampling methods using neural networks," CORE Discussion Papers 2005029, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
      Other versions:
    21. Lennart F. Hoogerheide & Johan F. Kaashoek, 2004. "Functional Approximations to Likelihoods/Posterior Densities: A Neural Network Approach to Efficient Sampling," Computing in Economics and Finance 2004 74, Society for Computational Economics. [Downloadable!]
    22. Lennart Hoogerheide & Herman K. van Dijk, 2008. "Possibly Ill-behaved Posteriors in Econometric Models," Tinbergen Institute Discussion Papers 08-036/4, Tinbergen Institute, revised 18 Apr 2008. [Downloadable!]
    23. Villani, Mattias, 2003. "Bayes Estimators of the Cointegration Space," Working Paper Series 150, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
    24. L. Bauwens & C.S. Bos & H.K. Van Dijk & R.D. Van Oest, 2003. "Adaptive radial-based direction sampling - some flexibel and robust Monte Carlo integration methods," Econometric Institute Report 327, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    25. Kleibergen, Frank & Dijk, Herman K. van, 1996. "Bayesian simultaneous equations analysis using reduced rank structures," Econometric Institute Report 47, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    26. Gael M. Martin, 2000. "US deficit sustainability: a new approach based on multiple endogenous breaks," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(1), pages 83-105. [Downloadable!]
      Other versions:
    27. Andrea, SILVESTRINI, 2007. "Testing fiscal sustainability in Poland : a Bayesian analysis of cointegration," Discussion Papers (ECON - Département des Sciences Economiques) 2007040, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
      Other versions:
    28. Kleibergen, Frank & Paap, Richard, 1996. "Priors, posterior odds and Lagrange multiplier statistics in Bayesian analyses of cointegration," Econometric Institute Report 37, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    29. Gary Koop & Roberto Leon-Gonzalez & Rodney Strachan, 2006. "Bayesian Inference in a Cointegrating Panel Data Model," Discussion Papers in Economics 06/2, Department of Economics, University of Leicester. [Downloadable!]
      Other versions:

  30. Kleibergen, F. & Van Dijk, H.K., 1992. "Nonstationarity in Garch Models: A Bayesian Analysis," Papers 9277-a, Erasmus University of Rotterdam - Econometric Institute.
    Published as:

    Cited by:

    1. Charles S. Bos & Ronald J. Mahieu & Herman K. van Dijk, 2001. "Daily Exchange Rate Behaviour and Hedging of Currency Risk," Tinbergen Institute Discussion Papers 01-017/4, Tinbergen Institute. [Downloadable!]
      Other versions:
    2. Michel LUBRANO, 2001. "Smooth Transition Garch Models : a Baysian Perspective," Discussion Papers (REL - Recherches Economiques de Louvain) 2001032, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
    3. Teruo Nakatsuma & Hiroki Tsurumi, 1996. "ARMA-GARCH Models: Bayes Estimation Versus MLE, and Bayes Non-stationarity Test," Departmental Working Papers 199619, Rutgers University, Department of Economics. [Downloadable!]
    4. María Concepcion Ausin & Pedro Galeano, 2005. "Bayesian Estimation Of The Gaussian Mixture Garch Model," Statistics and Econometrics Working Papers ws053605, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    5. Luc Bauwens & Charles S. Bos & Herman K. van Dijk, 1999. "Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk," Tinbergen Institute Discussion Papers 99-082/4, Tinbergen Institute. [Downloadable!]
      Other versions:
    6. Pieter J. van der Sluis, 1997. "Post-Sample Prediction Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-054/4, Tinbergen Institute. [Downloadable!]
    7. Pieter J. van der Sluis, 1997. "Computationally Attractive Stability Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-087/4, Tinbergen Institute. [Downloadable!]
      Other versions:
    8. Marc Sáez & Robert M. Kunst, 1995. "ARCH Patterns in Cointegrated Systems," Economics Working Papers 110, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
    9. Lanne, Markku & Luoto, Jani, 2007. "Robustness of the Risk-Return Relationship in the U.S. Stock Market," MPRA Paper 3879, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    10. M. Angeles Carnero & Daniel Peña & Esther Ruiz, 2001. "Outliers And Conditional Autoregressive Heteroscedasticity In Time Series," Statistics and Econometrics Working Papers ws010704, Universidad Carlos III, Departamento de Estadística y Econometría. [Downloadable!]
    11. LUBRANO, Michel, 1998. "Smooth transition GARCH models: a Bayesian perspective," CORE Discussion Papers 1998066, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
      Other versions:
    12. Teruo Nakatsuma & Hiroki Tsurumi, 1999. "Bayesian Estimation of ARMA-GARCH Model of Weekly Foreign Exchange Rates," Asia-Pacific Financial Markets, Springer, vol. 6(1), pages 71-84, January. [Downloadable!] (restricted)

Articles

  1. Hoogerheide, Lennart & Kleibergen, Frank & van Dijk, Herman K., 2007. "Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data," Journal of Econometrics, Elsevier, vol. 138(1), pages 63-103, May. [Downloadable!] (restricted)

    Cited by:

    1. Kasey Buckles & Daniel M. Hungerman, 2008. "Season of Birth and Later Outcomes: Old Questions, New Answers," NBER Working Papers 14573, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. Kraay, Aart, 2008. "Instrumental variables regressions with honestly uncertain exclusion restrictions," Policy Research Working Paper Series 4632, The World Bank. [Downloadable!]
    3. Lennart Hoogerheide & Herman K. van Dijk, 2008. "Possibly Ill-behaved Posteriors in Econometric Models," Tinbergen Institute Discussion Papers 08-036/4, Tinbergen Institute, revised 18 Apr 2008. [Downloadable!]

  2. Kleibergen, Frank, 2007. "Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics," Journal of Econometrics, Elsevier, vol. 139(1), pages 181-216, July. [Downloadable!] (restricted)

    Cited by:

    1. Jere R. Behrman & John Hoddinott & John A. Maluccio & Reynaldo Martorell, 2009. "Brains versus Brawn: Labor Market Returns to Intellectual and Health Human Capital in a Poor Developing Country," Middlebury College Working Paper Series 0907, Middlebury College, Department of Economics. [Downloadable!]
    2. Leandro M. Magnusson, 2008. "Tests in Censored Models when the Structural Parameters Are Not Identified," Working Papers 0802, Tulane University, Department of Economics. [Downloadable!]
    3. Russell Davidson & James G. MacKinnon, 2008. "Bootstrap Inference in a Linear Equation Estimated by Instrumental Variables," Working Papers 1157, Queen's University, Department of Economics. [Downloadable!]
      Other versions:
    4. Rolf Scheufele, 2008. "Evaluating the German (New Keynesian) Phillips Curve," IWH Discussion Papers 10-08, Halle Institute for Economic Research. [Downloadable!]
    5. Grant Hillier, 2006. "Exact properties of the conditional likelihood ratio test in an IV regression model," CeMMAP working papers CWP23/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
      Other versions:
    6. Leandro M. Magnusson, 2008. "Inference in Limited Dependent Variable Models Robust to Weak Identification," Working Papers 0801, Tulane University, Department of Economics, revised Apr 2009. [Downloadable!]

  3. Kleibergen, Frank & Paap, Richard, 2006. "Generalized reduced rank tests using the singular value decomposition," Journal of Econometrics, Elsevier, vol. 133(1), pages 97-126, July. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  4. Frank Kleibergen, 2005. "Testing Parameters in GMM Without Assuming that They Are Identified," Econometrica, Econometric Society, vol. 73(4), pages 1103-1123, 07. [Downloadable!] (restricted)

    Cited by:

    1. Leandro M. Magnusson, 2008. "Tests in Censored Models when the Structural Parameters Are Not Identified," Working Papers 0802, Tulane University, Department of Economics. [Downloadable!]
    2. Aviv Nevo & Adam Rosen, 2008. "Identification with imperfect instruments," CeMMAP working papers CWP16/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
      Other versions:
    3. Vasco Gabriel & Paul Levine & Christopher Spencer & Bo Yang, 2008. "On the (ir)relevance of direct supply-side effects of monetary policy," Department of Economics Discussion Papers 0408, Department of Economics, University of Surrey. [Downloadable!]
    4. Sophocles Mavroeidis, 2006. "Testing the New Keynesian Phillips Curve Without Assuming Identification," Working Papers 2006-13, Brown University, Department of Economics. [Downloadable!]
    5. Pål Boug, Ådne Cappelen and Anders Rygh Swensen, 2007. "The New Keynesian Phillips Curve revisited," Discussion Papers 500, Research Department of Statistics Norway. [Downloadable!]
    6. G. Forchini, 2005. "Some Properties of Tests for Possibly Unidentified Parameters," Monash Econometrics and Business Statistics Working Papers 21/05, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    7. Mehmet Caner, 2005. "Exponential Tilting With Weak Instruments," Working Papers 208, University of Pittsburgh, Department of Economics, revised Jan 2005. [Downloadable!]
    8. Paul Levine & Luis F. Martins & Vasco J. Gabriel, 2006. "Robust Estimates of the New Keynesian Phillips Curve," Department of Economics Discussion Papers 0206, Department of Economics, University of Surrey. [Downloadable!]
    9. Mehmet Caner, 2005. "Higher Order Expansions in GMM with Nearly Weak and Many Nearly Weak Instruments," Working Papers 209, University of Pittsburgh, Department of Economics, revised Jan 2005. [Downloadable!]
    10. Whitney Newey & Frank Windmeijer, 2005. "GMM with many weak moment conditions," CeMMAP working papers CWP18/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
    11. Maurice J.G. Bun & Frank Windmeijer, 2007. "The Weak Instrument Problem of the System GMM Estimator in Dynamic Panel Data Models," Bristol Economics Discussion Papers 07/595, Department of Economics, University of Bristol, UK. [Downloadable!]
      Other versions:
    12. James M. Nason & Gregor W. Smith, 2008. "Identifying the new Keynesian Phillips curve," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(5), pages 525-551. [Downloadable!]
      Other versions:
    13. Eric Zivot & Saraswata Chaudhuri, 2008. "A Comment on Weak Instrument Robust Tests in GMM and the New Keynesian Phillips Curve," Working Papers UWEC-2008-23, University of Washington, Department of Economics. [Downloadable!]
    14. Mehmet Caner, 2006. "Near Exogeneity and Weak Identification in Generlized Empirical Likelihood estimators : Fixed and Many Moment Asymptotics," Working Papers 212, University of Pittsburgh, Department of Economics, revised Jan 2006. [Downloadable!]
      Other versions:
    15. Yukitoshi Matsushita, 2007. "t-Tests in a Structural Equation with Many Instruments," CIRJE F-Series CIRJE-F-467, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    16. Saraswata Chaudhuri & Eric Zivot, 2008. "A new method of projection-based inference in GMM with weakly identified nuisance parameters," Working Papers UWEC-2008-26, University of Washington, Department of Economics. [Downloadable!]
    17. Rolf Scheufele, 2008. "Evaluating the German (New Keynesian) Phillips Curve," IWH Discussion Papers 10-08, Halle Institute for Economic Research. [Downloadable!]
    18. Richard Smith, 2005. "Weak instruments and empirical likelihood: a discussion of the papers by DWK Andrews and JH Stock and Y Kitamura," CeMMAP working papers CWP13/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
    19. Mehmet Caner, 2005. "Boundedly Pivotal Structural Change Tests in Continuous Updating GMM with Strong, Weak Identification and Completely Unidentified Cases," Econometrics 0509016, EconWPA. [Downloadable!]
      Other versions:
    20. Angelica Gonzalez, 2007. "Empirical Likelihood Estimation in Dynamic Panel Models," ESE Discussion Papers 168, Edinburgh School of Economics, University of Edinburgh. [Downloadable!]
    21. Leandro M. Magnusson, 2008. "Inference in Limited Dependent Variable Models Robust to Weak Identification," Working Papers 0801, Tulane University, Department of Economics, revised Apr 2009. [Downloadable!]

  5. Frank Kleibergen, 2004. "Testing Subsets of Structural Parameters in the Instrumental Variables," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 418-423, 03. [Downloadable!] (restricted)

    Cited by:

    1. Angelica Gonzalez, 2007. "Empirical Likelihood Estimation in Dynamic Panel Models," ESE Discussion Papers 168, Edinburgh School of Economics, University of Edinburgh. [Downloadable!]

  6. Bekker, Paul & Kleibergen, Frank, 2003. "Finite-Sample Instrumental Variables Inference Using An Asymptotically Pivotal Statistic," Econometric Theory, Cambridge University Press, vol. 19(05), pages 744-753, October. [Downloadable!]

    Cited by:

    1. D. S. Poskitt & C. L. Skeels, 2005. "Small Concentration Asymptotics and Instrumental Variables Inference," Monash Econometrics and Business Statistics Working Papers 4/05, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
      Other versions:
    2. Frank Kleibergen, 2004. "Expansions of GMM statistics that indicate their properties under weak and/or many instruments and the bootstrap," Econometric Society 2004 North American Summer Meetings 408, Econometric Society. [Downloadable!]

  7. Groen, Jan J J & Kleibergen, Frank, 2003. "Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(2), pages 295-318, April.
    Other versions:

    See citations under working paper version above.

  8. Kleibergen, Frank & Zivot, Eric, 2003. "Bayesian and classical approaches to instrumental variable regression," Journal of Econometrics, Elsevier, vol. 114(1), pages 29-72, May. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  9. Kleibergen, Frank & Paap, Richard, 2002. "Priors, posteriors and bayes factors for a Bayesian analysis of cointegration," Journal of Econometrics, Elsevier, vol. 111(2), pages 223-249, December. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  10. Frank Kleibergen, 2002. "Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression," Econometrica, Econometric Society, vol. 70(5), pages 1781-1803, September. [Downloadable!] (restricted)

    Cited by:

    1. DUFOUR, Jean-Marie Dufour & KHALAF, Lynda & KICHIAN, Maral, 2005. "Inflation dynamics and the New Keynesian Phillips Curve: an identification robust econometric analysis," Cahiers de recherche 2005-17, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
      Other versions:
    2. DUFOUR, Jean-Marie, 2003. "Identification, Weak Instruments and Statistical Inference in Econometrics," Cahiers de recherche 10-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ. [Downloadable!]
      Other versions:
    3. Naoto Kunitomo & Yukitoshi Matsushita, 2008. "Improving the Rank-Adjusted Anderson-Rubin Test with Many Instruments and Persistent Heteroscedasticity," CIRJE F-Series CIRJE-F-588, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    4. Leandro M. Magnusson, 2008. "Tests in Censored Models when the Structural Parameters Are Not Identified," Working Papers 0802, Tulane University, Department of Economics. [Downloadable!]
    5. Kasey Buckles & Daniel M. Hungerman, 2008. "Season of Birth and Later Outcomes: Old Questions, New Answers," NBER Working Papers 14573, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    6. Dollar, David & Kraay, Aart, 2003. "Institutions, trade, and growth : revisiting the evidence," Policy Research Working Paper Series 3004, The World Bank. [Downloadable!]
    7. Khalaf, Lynda & Kichian, Maral, 2003. "Are New Keynesian Phillips Curved Identified?," Cahiers de recherche 0312, GREEN. [Downloadable!]
      Other versions:
    8. James M. Nason & Gregor W. Smith, 2005. "Identifying the New Keynesian Phillips Curve," Working Paper 2005-01, Federal Reserve Bank of Atlanta. [Downloadable!]
      Other versions:
    9. D. S. Poskitt & C. L. Skeels, 2005. "Small Concentration Asymptotics and Instrumental Variables Inference," Monash Econometrics and Business Statistics Working Papers 4/05, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
      Other versions:
    10. Richard Startz & Charles Nelson & Eric Zivot, 1999. "Improved Inference for the Instrumental Variable Estimator," Working Papers 0039, University of Washington, Department of Economics. [Downloadable!]
      Other versions:
    11. G. Forchini, 2005. "Some Properties of Tests for Possibly Unidentified Parameters," Monash Econometrics and Business Statistics Working Papers 21/05, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    12. Lynda Khalaf & Maral Kichian, 2004. "Estimating New Keynesian Phillips Curves Using Exact Methods," Working Papers 04-11, Bank of Canada. [Downloadable!]
    13. Russell Davidson & James G. MacKinnon, 2006. "Bootstrap Inference in a Linear Equation Estimated by Instrumental Variables," Working Papers 1024, Queen's University, Department of Economics. [Downloadable!]
      Other versions:
    14. Alfonso Flores-Lagunes, 2007. "Finite sample evidence of IV estimators under weak instruments," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(3), pages 677-694. [Downloadable!]
    15. Frank Kleibergen, 2004. "Expansions of GMM statistics that indicate their properties under weak and/or many instruments and the bootstrap," Econometric Society 2004 North American Summer Meetings 408, Econometric Society. [Downloadable!]
    16. Whitney Newey & Frank Windmeijer, 2005. "GMM with many weak moment conditions," CeMMAP working papers CWP18/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
    17. James G. MacKinnon, 2006. "Applications of the Fast Double Bootstrap," Working Papers 1023, Queen's University, Department of Economics. [Downloadable!]
    18. Kamal Lamichhane & Yasuyuki Sawada, 2009. "Disability and Returns to Education in a Developing Country," CIRJE F-Series CIRJE-F-645, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    19. Yilmazkuday, Hakan, 2009. "Is there a Role for International Trade Costs in Explaining the Central Bank Behavior?," MPRA Paper 15951, University Library of Munich, Germany. [Downloadable!]
    20. Andreas Pick, 2007. "Financial contagion and tests using instrumental variables," DNB Working Papers 139, Netherlands Central Bank, Research Department. [Downloadable!]
    21. Patrik Guggenberger, 2005. "Generalized Empirical Likelihood Tests in Time Series Models With Potential Identification Failure (joint with R.J.Smith), accepted for publication, Journal of Econometrics," UCLA Economics Online Papers 357, UCLA Department of Economics. [Downloadable!]
    22. Yukitoshi Matsushita, 2007. "Approximate Distributions of the Likelihood Ratio Statistic in a Structural Equation with Many Instruments," CIRJE F-Series CIRJE-F-466, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    23. Marcelo J. Moreira & Jack R. Porter & Gustavo A. Suarez, 2004. "Bootstrap and Higher-Order Expansion Validity When Instruments May Be Weak," NBER Technical Working Papers 0302, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    24. Charlotta Groth & Hashmat Khan, . "Investment adjustment costs: evidence from UK and US industries," Bank of England working papers 332, Bank of England. [Downloadable!]
    25. Jean-Marie Dufour & Lynda Khalaf & Maral Kichian, 2009. "Structural Inflation Models with Real Wage Rigidities: The Case of Canada," Working Papers 09-21, Bank of Canada. [Downloadable!]
    26. Donald W.K. Andrews & James H. Stock, 2005. "Inference with Weak Instruments," Cowles Foundation Discussion Papers 1530, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    27. Alain Guay & Florian Pelgrin, 2007. "Using Implied Probabilities to Improve Estimation with Unconditional Moment Restrictions," Cahiers de recherche 0747, CIRPEE. [Downloadable!]
    28. Yukitoshi Matsushita, 2007. "t-Tests in a Structural Equation with Many Instruments," CIRJE F-Series CIRJE-F-467, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    29. John Chao & Norman Swanson, 2004. "Consistent Estimation with a Large Number of Weak Instruments," Departmental Working Papers 200421, Rutgers University, Department of Economics. [Downloadable!]
      Other versions:
    30. Jean-Marie Dufour & Lynda Khalaf & Maral Kichian, 2009. "Assessing Indexation-Based Calvo Inflation Models," Working Papers 09-7, Bank of Canada. [Downloadable!]
    31. Grant Hillier, 2006. "Exact properties of the conditional likelihood ratio test in an IV regression model," CeMMAP working papers CWP23/06, Centre for Microdata Methods and Practice, Institute for Fiscal Studies. [Downloadable!]
      Other versions:
    32. Francisco Alcalá & Antonio Ciccone, 2003. "Trade, Extent of the Market, and Economic Growth 1960-1996," Economics Working Papers 765, Department of Economics and Business, Universitat Pompeu Fabra, revised Dec 2003. [Downloadable!]
    33. John C. Chao & Norman R. Swanson, 2003. "Asymptotic Normality of Single-Equation Estimators for the Case with a Large Number of Weak Instruments," Departmental Working Papers 200312, Rutgers University, Department of Economics. [Downloadable!]
    34. Mathias D. Cattaneo & Richard K. Crump & Michael Jansson, 2007. "Optimal Inference for Instrumental Variables Regression with non-Gaussian Errors," CREATES Research Papers 2007-11, School of Economics and Management, University of Aarhus. [Downloadable!]
    35. Russell Davidson & James G. MacKinnon, 2008. "Wild Bootstrap Tests for IV Regression," Working Papers 1135, Queen's University, Department of Economics. [Downloadable!]
      Other versions:
    36. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Hybrid and Size-Corrected Subsample Methods," Cowles Foundation Discussion Papers 1606, Cowles Foundation, Yale University. [Downloadable!]
    37. Leandro M. Magnusson, 2008. "Inference in Limited Dependent Variable Models Robust to Weak Identification," Working Papers 0801, Tulane University, Department of Economics, revised Apr 2009. [Downloadable!]

  11. Houweling, Patrick & Hoek, Jaap & Kleibergen, Frank, 2001. "The joint estimation of term structures and credit spreads," Journal of Empirical Finance, Elsevier, vol. 8(3), pages 297-323, July. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  12. Frank Kleibergen & Herman van Dijk & Jean-Pierre Urbain, 1999. "Oil Price Shocks and Long Run Price and Import Demand Behavior," Annals of the Institute of Statistical Mathematics, Springer, vol. 51(3), pages 399-417, September. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  13. Kleibergen, Frank & van Dijk, Herman K., 1998. "Bayesian Simultaneous Equations Analysis Using Reduced Rank Structures," Econometric Theory, Cambridge University Press, vol. 14(06), pages 701-743, December. [Downloadable!]
    Other versions:

    See citations under working paper version above.

  14. Franses, Philip Hans & Kleibergen, Frank, 1996. "Unit roots in the Nelson-Plosser data: Do they matter for forecasting?," International Journal of Forecasting, Elsevier, vol. 12(2), pages 283-288, June. [Downloadable!] (restricted)

    Cited by:

    1. Franco Bevilacqua & Adriaan van Zon, 2002. "Random Walks and Non-Linear Paths in Macroeconomic Time Series: Some Evidence and Implications," Working Papers geewp22, Vienna University of Economics and B.A. Research Group: Growth and Employment in Europe: Sustainability and Competitiveness. [Downloadable!]
    2. Kleibergen, Frank & Hoek, Henk, 1996. "Bayesian analysis of ARMA models using noninformative priors," Econometric Institute Report 39, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    3. Francis X. Diebold & Lutz Kilian, 1999. "Unit Root Tests Are Useful for Selecting Forecasting Models," NBER Working Papers 6928, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    4. Giorgio Bodo & Roberto Golinelli & Giuseppe Parigi, 2000. "Forecasting Industrial Production in the Euro Area," Temi di discussione (Economic working papers) 370, Bank of Italy, Economic Research Department. [Downloadable!]
      Other versions:
    5. Tom Stark, 2000. "Does current-quarter information improve quarterly forecasts for the U.S. economy?," Working Papers 00-2, Federal Reserve Bank of Philadelphia. [Downloadable!]
    6. Alberto Baffigi & Roberto Golinelli & Giuseppe Parigi, 2002. "Real-time GDP forecasting in the euro area," Temi di discussione (Economic working papers) 456, Bank of Italy, Economic Research Department. [Downloadable!]

  15. Kleibergen, Frank & van Dijk, Herman K., 1994. "On the Shape of the Likelihood/Posterior in Cointegration Models," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 514-551, August. [Downloadable!]
    Other versions:

    See citations under working paper version above.

  16. Kleibergen, Frank & van Dijk, Herman K., 1994. "Direct cointegration testing in error correction models," Journal of Econometrics, Elsevier, vol. 63(1), pages 61-103, July. [Downloadable!] (restricted)
    Other versions:

    Cited by:

    1. Kleibergen, Frank & Urbain, Jean-Pierre & Dijk, Herman K. van, 1996. "Oil price shocks and long run price and import demand behavior," Econometric Institute Report 44, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    2. Richard Paap & Frank Kleibergen, 2004. "Generalized Reduced Rank Tests using the Singular Value Decomposition," Econometric Society 2004 Australasian Meetings 195, Econometric Society. [Downloadable!]
      Other versions:
    3. Kleibergen, Frank & Hoek, Henk, 1996. "Bayesian analysis of ARMA models using noninformative priors," Econometric Institute Report 39, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    4. J. Breitung, . "A Simultaneous Equations Approach to Cointegrated Systems," Sonderforschungsbereich 373 1995-46, Humboldt Universitaet Berlin.
    5. Boswijk, H. Peter & Lucas, Andr‚, 1997. "Semi-nonparametric cointegration testing," Serie Research Memoranda 0041, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
      Other versions:
    6. H. Peter Boswijk & Andre Lucas & Nick Taylor, 1999. "A Comparison of Parametric, Semi-nonparametric, Adaptive, and Nonparametric Cointegration Tests," Tinbergen Institute Discussion Papers 99-012/4, Tinbergen Institute. [Downloadable!]
    7. Kleibergen, F., 1996. "Reduced rank regression using generalized method of moments estimators," Discussion Paper 20, Tilburg University, Center for Economic Research. [Downloadable!]
    8. Kirstin Hubrich & Helmut Lütkepohl & Pentti Saikkonen, 2001. "A Review Of Systems Cointegration Tests," Econometric Reviews, Taylor and Francis Journals, vol. 20(3), pages 247-318. [Downloadable!] (restricted)
      Other versions:
    9. Kleibergen, Frank & Paap, Richard, 1996. "Priors, posterior odds and Lagrange multiplier statistics in Bayesian analyses of cointegration," Econometric Institute Report 37, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:

  17. Kleibergen, F & Van Dijk, H K, 1993. "Non-stationarity in GARCH Models: A Bayesian Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S41-61, Suppl. De. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

Software components

  1. Frank Kleibergen & Mark E Schaffer, 2007. "RANKTEST: Stata module to test the rank of a matrix using the Kleibergen-Paap rk statistic," Statistical Software Components S456865, Boston College Department of Economics, revised 05 May 2008. [Downloadable!]

    Cited by:

    1. Christopher F Baum & Mark E. Schaffer & Steven Stillman, 2007. "Enhanced routines for instrumental variables/GMM estimation and testing," Boston College Working Papers in Economics 667, Boston College Department of Economics, revised 05 Sep 2007. [Downloadable!]
      Other versions:

Did you know? About 2700 working paper series are listed on RePEc.

This page was last updated on 2009-11-9.

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