# Frank Kleibergen

## Personal Details

First Name: | Frank |

Middle Name: | |

Last Name: | Kleibergen |

Suffix: | |

RePEc Short-ID: | pkl31 |

[This author has chosen not to make the email address public] | |

https://www.uva.nl/profiel/k/l/f.r.kleibergen/f.r.kleibergen.html | |

Terminal Degree: | 1994 Econometrisch Instituut; Faculteit der Economische Wetenschappen; Erasmus Universiteit Rotterdam (from RePEc Genealogy) |

## Affiliation

### Amsterdam School of Economics

Faculteit Economie en Bedrijfskunde

Universiteit van Amsterdam

Amsterdam, Netherlandshttp://feb.uva.nl/asehome/

RePEc:edi:asuvanl (more details at EDIRC)

## Research output

Jump to: Working papers Articles Software### Working papers

- Frank Kleibergen & Lingwei Kong, 2023.
"
**Identification Robust Inference for the Risk Premium in Term Structure Models**," Papers 2307.12628, arXiv.org. - Frank Kleibergen & Zhaoguo Zhan, 2022.
"
**Misspecification and Weak Identification in Asset Pricing**," Papers 2206.13600, arXiv.org. - Patrik Guggenberger & Frank Kleibergen & Sophocles Mavroeidis, 2021.
"
**A Powerful Subvector Anderson Rubin Test in Linear Instrumental Variables Regression with Conditional Heteroskedasticity**," Papers 2103.11371, arXiv.org, revised Oct 2022.- Patrik Guggenberge & Frank Kleibergen & Sophocles Mavroeidis, 2021.
"
**A Powerful Subvector Anderson Rubin Test in Linear Instrumental Variables Regression with Conditional Heteroskedasticity**," Economics Series Working Papers 960, University of Oxford, Department of Economics.

- Patrik Guggenberge & Frank Kleibergen & Sophocles Mavroeidis, 2021.
"
- Maurice J. G. Bun & Frank Kleibergen, 2021.
"
**Identification robust inference for moments based analysis of linear dynamic panel data models**," Papers 2105.08346, arXiv.org.- Bun, Maurice J.G. & Kleibergen, Frank, 2022.
"
**Identification Robust Inference For Moments-Based Analysis Of Linear Dynamic Panel Data Models**," Econometric Theory, Cambridge University Press, vol. 38(4), pages 689-751, August.

- Bun, Maurice J.G. & Kleibergen, Frank, 2022.
"
- Frank Kleibergen & Zhaoguo Zhan, 2021.
"
**Double robust inference for continuous updating GMM**," Papers 2105.08345, arXiv.org. - Patrik Guggenberger & Frank Kleibergen & Sophocles Mavroeidis, 2020.
"
**A Test for Kronecker Product Structure Covariance Matrix**," Papers 2010.10961, arXiv.org, revised Jan 2022.- Guggenberger, Patrik & Kleibergen, Frank & Mavroeidis, Sophocles, 2023.
"
**A test for Kronecker Product Structure covariance matrix**," Journal of Econometrics, Elsevier, vol. 233(1), pages 88-112.

- Patrik Guggenberge & Frank Kleibergen & Sophocles Mavroeidis, 2022.
"
**A Test for Kronecker Product Structure Covariance Matrix**," Economics Series Working Papers 962, University of Oxford, Department of Economics.

- Guggenberger, Patrik & Kleibergen, Frank & Mavroeidis, Sophocles, 2023.
"
- Prosper Dovonon & Alastair R. Hall & Frank Kleibergen, 2017.
"
**Inference in Second-Order Identified Models**," Economics Discussion Paper Series 1703, Economics, The University of Manchester.- Dovonon, Prosper & Hall, Alastair R. & Kleibergen, Frank, 2020.
"
**Inference in second-order identified models**," Journal of Econometrics, Elsevier, vol. 218(2), pages 346-372.

- Dovonon, Prosper & Hall, Alastair R. & Kleibergen, Frank, 2020.
"
- Frank Kleibergen & Zhaoguo Zhan, 2014.
"
**Unexplained factors and their effects on second pass R-squared’s**," UvA-Econometrics Working Papers 14-05, Universiteit van Amsterdam, Dept. of Econometrics.- Kleibergen, Frank & Zhan, Zhaoguo, 2015.
"
**Unexplained factors and their effects on second pass R-squared’s**," Journal of Econometrics, Elsevier, vol. 189(1), pages 101-116.

- Kleibergen, Frank & Zhan, Zhaoguo, 2015.
"
- Maurice J.G. Bun & Frank Kleibergen, 2013.
"
**Identification and inference in moments based analysis of linear dynamic panel data models**," UvA-Econometrics Working Papers 13-07, Universiteit van Amsterdam, Dept. of Econometrics. - Hoogerheide, L.F. & Kleibergen, F.R. & van Dijk, H.K., 2006.
"
**Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data**," Econometric Institute Research Papers EI 2006-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.- 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.

- Hoogerheide, Lennart & Kleibergen, Frank & van Dijk, Herman K., 2007.
"
- Richard Paap & Frank Kleibergen, 2004.
"
**Generalized Reduced Rank Tests using the Singular Value Decomposition**," Econometric Society 2004 Australasian Meetings 195, Econometric Society.- 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.

- Kleibergen, F.R. & Paap, R., 2003.
"
**Generalized Reduced Rank Tests using the Singular Value Decomposition**," Econometric Institute Research Papers EI 2003-01, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute. - Frank Kleibergen & Richard Paap, 2003.
"
**Generalized Reduced Rank Tests using the Singular Value Decomposition**," Tinbergen Institute Discussion Papers 03-003/4, Tinbergen Institute.

- Kleibergen, Frank & Paap, Richard, 2006.
"
- 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. - Frank Kleibergen, 2004.
"
**Higher order approximations of IV statistics that indicate their properties under weak or many instruments**," Econometric Society 2004 North American Winter Meetings 199, Econometric Society. - 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. - Bekker, Paul A. & Kleibergen, Frank, 2001.
"
**Finite-sample instrumental variables inference using an asymptotically pivotal statistic**," CCSO Working Papers 200109, University of Groningen, CCSO Centre for Economic Research.- Bekker, Paul & Kleibergen, Frank, 2003.
"
**Finite-Sample Instrumental Variables Inference Using An Asymptotically Pivotal Statistic**," Econometric Theory, Cambridge University Press, vol. 19(5), pages 744-753, October.

- 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. - 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).

- Bekker, Paul & Kleibergen, Frank, 2003.
"
- Frank Kleibergen, 2001.
"
**Testing Parameters in GMM without Assuming that they are identified**," Tinbergen Institute Discussion Papers 01-067/4, Tinbergen Institute.- Frank Kleibergen, 2005.
"
**Testing Parameters in GMM Without Assuming that They Are Identified**," Econometrica, Econometric Society, vol. 73(4), pages 1103-1123, July.

- Frank Kleibergen, 2005.
"
- 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. - Kleibergen, F.R. & Kleijn, R.H. & Paap, R., 2000.
"
**The Bayesian Score Statistic**," Econometric Institute Research Papers EI 2000-16/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.- Frank Kleibergen & Richard Kleijn & Richard Paap, 2000.
"
**The Bayesian Score Statistic**," Tinbergen Institute Discussion Papers 00-035/4, Tinbergen Institute.

- Frank Kleibergen & Richard Kleijn & Richard Paap, 2000.
"
- Frank Kleibergen, 2000.
"
**Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression**," Tinbergen Institute Discussion Papers 00-055/4, Tinbergen Institute.- Frank Kleibergen, 2002.
"
**Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression**," Econometrica, Econometric Society, vol. 70(5), pages 1781-1803, September.

- Frank Kleibergen, 2002.
"
- Frank R. Kleibergen, 2000.
"
**Pivotal Statistics for Testing Subsets of Structural Parameters in the IV Regression Model**," Tinbergen Institute Discussion Papers 00-088/4, Tinbergen Institute. - 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. - Frank R. Kleibergen & Henk Hoek, 2000.
"
**Bayesian Analysis of ARMA Models**," Tinbergen Institute Discussion Papers 00-027/4, Tinbergen Institute. - Houweling, P. & Hoek, J. & Kleibergen, F.R., 1999.
"
**The Joint Estimation of Term Structures and Credit Spreads**," Econometric Institute Research Papers EI 9916-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.- 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.

- 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.

- Houweling, Patrick & Hoek, Jaap & Kleibergen, Frank, 2001.
"
- 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.- 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.

- Groen, Jan J J & Kleibergen, Frank, 2003.
"
- Kleibergen, F.R. & Franses, Ph.H.B.F., 1999.
"
**Cointegration in a periodic vector autoregression**," Econometric Institute Research Papers EI 9906-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute. - Kleibergen, F.R. & Paap, R., 1998.
"
**Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration**," Econometric Institute Research Papers EI 9821, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.- 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.

- Kleibergen, Frank & Paap, Richard, 2002.
"
- Kleibergen, F.R. & Zivot, E., 1998.
"
**Bayesian and classical approaches to instrumental variable regression**," Econometric Institute Research Papers EI 9835, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.- Kleibergen, Frank & Zivot, Eric, 2003.
"
**Bayesian and classical approaches to instrumental variable regression**," Journal of Econometrics, Elsevier, vol. 114(1), pages 29-72, May.

- 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. - Frank Kleibergen & Eric Zivot, 2003.
"
**Bayesian and Classical Approaches to Instrumental Variable Regression**," Working Papers UWEC-2002-21-P, University of Washington, Department of Economics. - Frank Kleibergen & Eric Zivot, 1998.
"
**Bayesian and Classical Approaches to Instrumental Variables Regression**," Econometrics 9812002, University Library of Munich, Germany. - Frank Kleibergen & Eric Zivot, 1998.
"
**Bayesian and Classical Approaches to Instrumental Variable Regression**," Working Papers 0063, University of Washington, Department of Economics.

- Kleibergen, Frank & Zivot, Eric, 2003.
"
- Kleibergen, F.R., 1998.
"
**Conditional densities in econometrics**," Econometric Institute Research Papers EI 9853, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute. - Kleibergen, F.R., 1998.
"
**An alternative approach for constructing small sample and limiting distributions of maximum likelihood estimators**," Econometric Institute Research Papers EI 9844, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute. - Kleibergen, F.R. & Urbain, J-P. & van Dijk, H.K., 1997.
"
**Oil Price Shocks and Long Run Price and Import Demand Behavior**," Econometric Institute Research Papers EI 9709-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.- 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;The Institute of Statistical Mathematics, vol. 51(3), pages 399-417, September.

- Frank Kleibergen & Herman van Dijk & Jean-Pierre Urbain, 1999.
"
- Kleibergen, F.R. & van Dijk, H.K., 1997.
"
**Bayesian Simultaneous Equations Analysis using Reduced Rank Structures**," Econometric Institute Research Papers EI 9714/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.- Kleibergen, Frank & van Dijk, Herman K., 1998.
"
**Bayesian Simultaneous Equations Analysis Using Reduced Rank Structures**," Econometric Theory, Cambridge University Press, vol. 14(6), pages 701-743, December.

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

- Kleibergen, Frank & van Dijk, Herman K., 1998.
"
- Kleibergen, F.R., 1997.
"
**Reduced Rank Regression using Generalized Method of Moments Estimators with extensions to structural breaks in cointegration models**," Econometric Institute Research Papers EI 9722/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute. - Kleibergen, F.R. & Paap, R., 1996.
"
**Priors, Posterior Odds and Lagrange Multiplier Statistics in Bayesian Analyses of Cointegration**," Econometric Institute Research Papers EI 9668-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute. - Kleibergen, F., 1996.
"
**Reduced Rank of Regression Using Generalized Method of Moments Estimators**," Discussion Paper 1996-20, Tilburg University, Center for Economic Research.- Kleibergen, F., 1996.
"
**Reduced Rank of Regression Using Generalized Method of Moments Estimators**," Other publications TiSEM 5caf1c0c-d988-4184-acf7-d, Tilburg University, School of Economics and Management.

- Kleibergen, F., 1996.
"
- Kleibergen, F.R., 1996.
"
**Equality Restricted Random Variables: Densities and Sampling Algorithms**," Econometric Institute Research Papers EI 9662-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute. - Kleibergen, F.R. & Hoek, H., 1995.
"
**Bayesian Analysis of ARMA models using Noninformative Priors**," Econometric Institute Research Papers EI 9553-/B, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.- Frank Kleibergen & Henk Hoek, 1997.
"
**Bayesian Analysis of ARMA Models using Noninformative Priors**," Tinbergen Institute Discussion Papers 97-006/4, Tinbergen Institute. - Kleibergen, F.R. & Hoek, H., 1995.
"
**Bayesian analysis of ARMA models using noninformative priors**," Other publications TiSEM 81684a10-935f-49c4-b5ab-0, Tilburg University, School of Economics and Management. - Kleibergen, F.R. & Hoek, H., 1995.
"
**Bayesian analysis of ARMA models using noninformative priors**," Discussion Paper 1995-116, Tilburg University, Center for Economic Research.

repec:dnb:wormem:646 is not listed on IDEAS - Frank Kleibergen & Henk Hoek, 1997.
"

### Articles

- Frank Kleibergen & Lingwei Kong & Zhaoguo Zhan, 2023.
"
**Rejoinder on: Identification Robust Testing of Risk Premia in Finite Samples**," Journal of Financial Econometrics, Oxford University Press, vol. 21(2), pages 311-315. - Guggenberger, Patrik & Kleibergen, Frank & Mavroeidis, Sophocles, 2023.
"
**A test for Kronecker Product Structure covariance matrix**," Journal of Econometrics, Elsevier, vol. 233(1), pages 88-112.- Patrik Guggenberger & Frank Kleibergen & Sophocles Mavroeidis, 2020.
"
**A Test for Kronecker Product Structure Covariance Matrix**," Papers 2010.10961, arXiv.org, revised Jan 2022. - Patrik Guggenberge & Frank Kleibergen & Sophocles Mavroeidis, 2022.
"
**A Test for Kronecker Product Structure Covariance Matrix**," Economics Series Working Papers 962, University of Oxford, Department of Economics.

- Patrik Guggenberger & Frank Kleibergen & Sophocles Mavroeidis, 2020.
"
- Frank Kleibergen & Lingwei Kong & Zhaoguo Zhan, 2023.
"
**Identification Robust Testing of Risk Premia in Finite Samples**," Journal of Financial Econometrics, Oxford University Press, vol. 21(2), pages 263-297. - Bun, Maurice J.G. & Kleibergen, Frank, 2022.
"
**Identification Robust Inference For Moments-Based Analysis Of Linear Dynamic Panel Data Models**," Econometric Theory, Cambridge University Press, vol. 38(4), pages 689-751, August.- Maurice J. G. Bun & Frank Kleibergen, 2021.
"
**Identification robust inference for moments based analysis of linear dynamic panel data models**," Papers 2105.08346, arXiv.org.

- Maurice J. G. Bun & Frank Kleibergen, 2021.
"
- Kleibergen, Frank, 2021.
"
**Efficient size correct subset inference in homoskedastic linear instrumental variables regression**," Journal of Econometrics, Elsevier, vol. 221(1), pages 78-96. - Dovonon, Prosper & Hall, Alastair R. & Kleibergen, Frank, 2020.
"
**Inference in second-order identified models**," Journal of Econometrics, Elsevier, vol. 218(2), pages 346-372.- Prosper Dovonon & Alastair R. Hall & Frank Kleibergen, 2017.
"
**Inference in Second-Order Identified Models**," Economics Discussion Paper Series 1703, Economics, The University of Manchester.

- Prosper Dovonon & Alastair R. Hall & Frank Kleibergen, 2017.
"
- Frank Kleibergen & Zhaoguo Zhan, 2018.
"
**Identification-Robust Inference on Risk Premia of Mimicking Portfolios of Non-traded Factors**," Journal of Financial Econometrics, Oxford University Press, vol. 16(2), pages 155-190. - Kleibergen, Frank & Zhan, Zhaoguo, 2015.
"
**Unexplained factors and their effects on second pass R-squared’s**," Journal of Econometrics, Elsevier, vol. 189(1), pages 101-116.- Frank Kleibergen & Zhaoguo Zhan, 2014.
"
**Unexplained factors and their effects on second pass R-squared’s**," UvA-Econometrics Working Papers 14-05, Universiteit van Amsterdam, Dept. of Econometrics.

- Frank Kleibergen & Zhaoguo Zhan, 2014.
"
- Frank Kleibergen & Sophocles Mavroeidis, 2014.
"
**Identification Issues In Limited‐Information Bayesian Analysis Of Structural Macroeconomic Models**," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(7), pages 1183-1209, November. - Patrik Guggenberger & Frank Kleibergen & Sophocles Mavroeidis & Linchun Chen, 2012.
"
**On the Asymptotic Sizes of Subset Anderson–Rubin and Lagrange Multiplier Tests in Linear Instrumental Variables Regression**," Econometrica, Econometric Society, vol. 80(6), pages 2649-2666, November. - Kleibergen, Frank & Mavroeidis, Sophocles, 2009.
"
**Rejoinder**," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(3), pages 331-339. - Kleibergen, Frank & Mavroeidis, Sophocles, 2009.
"
**Weak Instrument Robust Tests in GMM and the New Keynesian Phillips Curve**," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(3), pages 293-311. - Kleibergen, Frank, 2009.
"
**Tests of risk premia in linear factor models**," Journal of Econometrics, Elsevier, vol. 149(2), pages 149-173, April. - 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.- Hoogerheide, L.F. & Kleibergen, F.R. & van Dijk, H.K., 2006.
"

- Hoogerheide, L.F. & Kleibergen, F.R. & van Dijk, H.K., 2006.
"
- 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. - 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.- Kleibergen, F.R. & Paap, R., 2003.
"
**Generalized Reduced Rank Tests using the Singular Value Decomposition**," Econometric Institute Research Papers EI 2003-01, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute. - Frank Kleibergen & Richard Paap, 2003.
"
**Generalized Reduced Rank Tests using the Singular Value Decomposition**," Tinbergen Institute Discussion Papers 03-003/4, Tinbergen Institute. - Richard Paap & Frank Kleibergen, 2004.
"
**Generalized Reduced Rank Tests using the Singular Value Decomposition**," Econometric Society 2004 Australasian Meetings 195, Econometric Society.

- Kleibergen, F.R. & Paap, R., 2003.
"
- Frank Kleibergen, 2005.
"
**Testing Parameters in GMM Without Assuming that They Are Identified**," Econometrica, Econometric Society, vol. 73(4), pages 1103-1123, July.- Frank Kleibergen, 2001.
"
**Testing Parameters in GMM without Assuming that they are identified**," Tinbergen Institute Discussion Papers 01-067/4, Tinbergen Institute.

- Frank Kleibergen, 2001.
"
- Kleibergen, Frank, 2004.
"
**Invariant Bayesian inference in regression models that is robust against the Jeffreys-Lindley's paradox**," Journal of Econometrics, Elsevier, vol. 123(2), pages 227-258, December. - 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, February. - Bekker, Paul & Kleibergen, Frank, 2003.
"
**Finite-Sample Instrumental Variables Inference Using An Asymptotically Pivotal Statistic**," Econometric Theory, Cambridge University Press, vol. 19(5), pages 744-753, October.- 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. - Bekker, Paul A. & Kleibergen, Frank, 2001.
"
**Finite-sample instrumental variables inference using an asymptotically pivotal statistic**," CCSO Working Papers 200109, University of Groningen, CCSO Centre for Economic Research. - 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).

- Paul A. Bekker & Frank Kleibergen, 2001.
"
- 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.- 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.

- Jan J.J. Groen & Frank R. Kleibergen, 1999.
"
- Kleibergen, Frank & Zivot, Eric, 2003.
"
**Bayesian and classical approaches to instrumental variable regression**," Journal of Econometrics, Elsevier, vol. 114(1), pages 29-72, May.- 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. - Kleibergen, F.R. & Zivot, E., 1998.
"
**Bayesian and classical approaches to instrumental variable regression**," Econometric Institute Research Papers EI 9835, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute. - Frank Kleibergen & Eric Zivot, 2003.
"
**Bayesian and Classical Approaches to Instrumental Variable Regression**," Working Papers UWEC-2002-21-P, University of Washington, Department of Economics. - Frank Kleibergen & Eric Zivot, 1998.
"
**Bayesian and Classical Approaches to Instrumental Variables Regression**," Econometrics 9812002, University Library of Munich, Germany. - Frank Kleibergen & Eric Zivot, 1998.
"
**Bayesian and Classical Approaches to Instrumental Variable Regression**," Working Papers 0063, University of Washington, Department of Economics.

- Frank Kleibergen & Eric Zivot, 1998.
"
- 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.- Kleibergen, F.R. & Paap, R., 1998.
"
**Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration**," Econometric Institute Research Papers EI 9821, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

- Kleibergen, F.R. & Paap, R., 1998.
"
- Frank Kleibergen, 2002.
"
**Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression**," Econometrica, Econometric Society, vol. 70(5), pages 1781-1803, September.- Frank Kleibergen, 2000.
"
**Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression**," Tinbergen Institute Discussion Papers 00-055/4, Tinbergen Institute.

- Frank Kleibergen, 2000.
"
- 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.- Houweling, P. & Hoek, J. & Kleibergen, F.R., 1999.
"
**The Joint Estimation of Term Structures and Credit Spreads**," Econometric Institute Research Papers EI 9916-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute. - 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.

- Houweling, P. & Hoek, J. & Kleibergen, F.R., 1999.
"
- 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;The Institute of Statistical Mathematics, vol. 51(3), pages 399-417, September.- Kleibergen, F.R. & Urbain, J-P. & van Dijk, H.K., 1997.
"
**Oil Price Shocks and Long Run Price and Import Demand Behavior**," Econometric Institute Research Papers EI 9709-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

- Kleibergen, F.R. & Urbain, J-P. & van Dijk, H.K., 1997.
"
- Kleibergen, Frank & van Dijk, Herman K., 1998.
"
**Bayesian Simultaneous Equations Analysis Using Reduced Rank Structures**," Econometric Theory, Cambridge University Press, vol. 14(6), pages 701-743, December.- Kleibergen, F.R. & van Dijk, H.K., 1997.
"
**Bayesian Simultaneous Equations Analysis using Reduced Rank Structures**," Econometric Institute Research Papers EI 9714/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute. - Frank Kleibergen & Herman K. van Dijk, 1998.
"
**Bayesian Simultaneous Equations Analysis using Reduced Rank Structures**," Tinbergen Institute Discussion Papers 98-025/4, Tinbergen Institute.

- Kleibergen, F.R. & van Dijk, H.K., 1997.
"
- 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. - 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. - 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. - 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 41-61, Suppl. De.

### Software components

- Frank Kleibergen & Mark E Schaffer & Frank Windmeijer, 2007.
"
**RANKTEST: Stata module to test the rank of a matrix**," Statistical Software Components S456865, Boston College Department of Economics, revised 29 Sep 2020.

## More information

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### Featured entries

This author is featured on the following reading lists, publication compilations, Wikipedia, or ReplicationWiki entries:### NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 23 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM:
**Econometrics**(19) 1999-02-22 1999-09-01 2000-06-29 2000-06-29 2000-11-29 2001-07-17 2001-09-10 2002-07-12 2003-01-19 2004-10-30 2004-10-30 2015-01-14 2017-03-12 2020-11-09 2021-04-05 2021-05-24 2021-05-24 2022-08-08 2023-08-28. Author is listed - NEP-ETS:
**Econometric Time Series**(7) 1999-08-27 2000-06-29 2004-10-30 2004-10-30 2013-08-31 2021-04-05 2022-02-21. Author is listed - NEP-FIN: Finance (1) 1999-05-10
- NEP-LAB: Labour Economics (1) 2001-09-10
- NEP-MON: Monetary Economics (1) 1999-05-10
- NEP-ORE: Operations Research (1) 2022-02-21
- NEP-UPT: Utility Models and Prospect Theory (1) 2023-08-28

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