Prof. dr. F.R. (Frank) Kleibergen
Faculty of Economics and Business
Section Quantitative Economics
Photographer: FEB
Visiting address
- Roetersstraat 11
- Room number: 4.31
Postal address
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Postbus 15867
1001 NJ Amsterdam
Contact details
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Profile
Positions
2015- Professor of Econometrics, Director of Research, Amsterdam School of Economics
2003-2015 Professor of Economics at Brown UniversityEducation
MA in Econometrics, Erasmus University Rotterdam (1990);
PhD in Econometrics, Erasmus University Rotterdam (1994).Research interests
GMM with weak instruments, uniform inference; identification; dynamic panel data; Factor models in finance.
Associate editor Journal of Econometrics and Journal of Financial Econometrics.
Curriculum Vitae
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Working papers, downloadable versions of non Open Access publications + Online Appendices:
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Publications
- refereed (36)
- academic (2)
- recognitions (27)
- supervised theses (5)
- working papers / preprints (26)
- datasets (1)
2025
- Kleibergen, F. R., & Zhan, Z. (2025). Double robust inference for continuous updating GMM. Quantitative Economics, 16(1), 295. Article 16. https://doi.org/10.3982/QE2347
2024
Guggenberger, P., Kleibergen, F., & Mavroeidis, S. (2024). A powerful subvector Anderson-Rubin test in linear instrumental variables regression with conditional heteroskedastictiy. Econometric Theory, 40(5), 957-1002. https://doi.org/10.1017/S0266466622000627 [details]- Kleibergen, F. R., & Kong, L. (2024). Identification robust inference for the risk premium in term structure models. Journal of Econometrics. https://doi.org/10.1016/j.jeconom.2024.105728, https://doi.org/10.1016/j.jeconom.2024.105728
2023
- Guggenberger, P., Kleibergen, F., & Mavroeidis, S. (2023). A Test for Kronecker Product Structure Covariance Matrix. Journal of Econometrics, 223(1), 88-112. Advance online publication. https://doi.org/10.1016/j.jeconom.2022.01.005 [details]
- Downloads
- 1-s2.0-S0304407622000203-main
- Supplementary files
- 1-s2.0-S0304407622000203-mmc1
- Downloads
- Kleibergen, F., Kong, L., & Zhan, Z. (2023). Identification Robust Testing of Risk Premia in Finite Samples. Journal of Financial Econometrics, 21(2), 263–297. https://doi.org/10.1093/jjfinec/nbac010 [details]
- Downloads
- nbac010
- Supplementary files
- nbac010 supplementary data
- Downloads
2022
- Bun, M. J. G., & Kleibergen, F. (2022). Identification robust inference for moments-based analysis of linear dynamic panel data models. Econometric Theory, 38(4), 689-751. Advance online publication. https://doi.org/10.1017/S026646662100027X [details]
2021
- Kleibergen, F. (2021). Efficient size correct subset inference in homoskedastic linear instrumental variables regression. Journal of Econometrics, 221(1), 78-96. Advance online publication. https://doi.org/10.1016/j.jeconom.2019.10.013 [details]
2020
- Dovonon, P., Hall, A. R., & Kleibergen, F. (2020). Inference in second-order identified models. Journal of Econometrics, 218(2), 346-372. Advance online publication. https://doi.org/10.1016/j.jeconom.2020.04.020 [details]
- Kleibergen, F., & Zhan, Z. (2020). Robust Inference for Consumption-Based Asset Pricing. The Journal of Finance, 75(1), 507-550. Advance online publication. https://doi.org/10.1111/jofi.12855 [details]
2019
- Guggenberger, P., Kleibergen, F., & Mavroeidis, S. (2019). A more powerful subvector Anderson Rubin test in linear instrumental variables regression. Quantitative Economics, 10(2), 487-526. Advance online publication. https://doi.org/10.3982/QE1116 [details]
2018
- Kleibergen, F., & Zhan, Z. (2018). Identification-robust inference on risk premia of mimicking portfolios of non-traded factors. Journal of Financial Econometrics, 16(2), 155-190. https://doi.org/10.1093/jjfinec/nby005 [details]
2015
- Kleibergen, F., & Zhan, Z. (2015). Unexplained factors and their effects on second pass R-squared’s. Journal of Econometrics, 189(1), 101-116. https://doi.org/10.1016/j.jeconom.2014.11.006 [details]
2014
- Kleibergen, F., & Mavroeidis, S. (2014). Identification issues in limited-information Bayesian analysis of structural macroeconomic models. Journal of Applied Econometrics, 29(7), 1183-1207. Advance online publication. https://doi.org/10.1002/jae.2398 [details]
2012
- Guggenberger, P., Kleibergen, F., Mavroeidis, S., & Chen, L. (2012). On the asymptotic sizes of subset Anderson-Rubin and Lagrange multiplier tests in linear instrumental variables regression. Econometrica, 80(6), 2649-2666. https://doi.org/10.3982/ECTA8953 [details]
2009
- Kleibergen, F. (2009). Tests of risk premia in linear factor models. Journal of Econometrics, 149(2), 149-173. https://doi.org/10.1016/j.jeconom.2009.01.013 [details]
- Kleibergen, F., & Mavroeidis, S. (2009). Rejoinder. Journal of Business & Economic Statistics, 27(3), 331-339. https://doi.org/10.1198/jbes.2009.08350 [details]
- Kleibergen, F., & Mavroeidis, S. (2009). Weak instrument robust tests in GMM and the new Keynesian Phillips curve. Journal of Business & Economic Statistics, 27(3), 293-311. https://doi.org/10.1198/jbes.2009.08280 [details]
2008
- Kleibergen, F. (2008). Testing. In S. N. Durlauf, & L. E. Blume (Eds.), The New Palgrave Dictionary of Economics (2nd ed., Vol. 8, pp. 6595-6601). Palgrave Macmillan. https://doi.org/10.1007/978-1-349-58802-2_1692 [details]
2007
- Hoogerheide, L., Kleibergen, F. R., & van Dijk, H. K. (2007). Natural conjugate priors for the instrumental variables regression model applied to the Angrist-Krueger data. Journal of Econometrics, 138(1), 63-103. https://doi.org/10.1016/j.jeconom.2006.05.015
- Kleibergen, F. R. (2007). Generalizing weak intrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics. Journal of Econometrics, 139(1), 181-216. https://doi.org/10.1016/j.jeconom.2006.06.010
2006
- Kleibergen, F. R., & Paap, R. (2006). Generalized Reduced Rank Tests using the Singular Value Decomposition. Journal of Econometrics, 133(1), 97-126. https://doi.org/10.1016/j.jeconom.2005.02.011 [details]
2005
- Kleibergen, F. R. (2005). Testing Parameters in GMM without assuming that they are identified. Econometrica, 73(4), 1103-1124. https://doi.org/10.1111/j.1468-0262.2005.00610.x
2004
- Kleibergen, F. R. (2004). Invariant Bayesian Inference in Regression Models that is robust against the Jeffreys-Lindleys Paradox. Journal of Econometrics, 123(2), 227-258. https://doi.org/10.1016/j.jeconom.2003.12.009 [details]
- Kleibergen, F. R. (2004). Testing Subsets of Structural Parameters in the IV Regression Model. Review of Economics and Statistics, 86(1), 418-423. https://doi.org/10.1162/003465304774201833 [details]
2003
- Kleibergen, F. R., & Bekker, P. (2003). Finite Sample Instrumental Variables Inference using an Asymptotically Pivotal Statistic. Econometric Theory, 19, 744-753. https://doi.org/10.1017/S0266466603195023 [details]
- Kleibergen, F. R., & Groen, J. (2003). Likelihood Based Cointegreation Analysis in Panels of Vector Error Correction Models. Journal of Business & Economic Statistics, 21, 295-318. https://doi.org/10.1198/073500103288618972 [details]
- Kleibergen, F. R., & Zivot, E. (2003). Bayesian and Classical Approaches to Instrumental Variable Regression. Journal of Econometrics, 114, 29-72. https://doi.org/10.1016/S0304-4076(02)00219-1 [details]
2002
- Kleibergen, F. R. (2002). Pivotal statistics for testing structural parameters in instrumental variables regression. Econometrica, 70, 1781-1804. https://doi.org/10.1111/1468-0262.00353 [details]
- Kleibergen, F. R., & Paap, R. (2002). Priors, posterior odds and Bayes factors in bayesian analyses of coinegration. Journal of Econometrics, 111, 223-249. https://doi.org/10.1016/S0304-4076(02)00105-7 [details]
2001
- Houweling, P., Hoek, J., & Kleibergen, F. R. (2001). The Joint Estimation of Term Structures and Credit Spreads. Journal of Empirical Finance, 8, 297-323. [details]
1999
- Kleibergen, F., Van Dijk, H. K., & Urbain, J. P. (1999). Oil price shocks and long run price and import demand behavior. Annals of the Institute of Statistical Mathematics, 51(3), 399-417. https://doi.org/10.1023/A:1003978303477
1998
- Kleibergen, F., & Van Dijk, H. K. (1998). Bayesian simultaneous equations analysis using reduced rank structures. Econometric Theory, 14(6), 701-743. https://doi.org/10.1017/s0266466698146017
1996
- Franses, P. H., & Kleibergen, F. (1996). Unit roots in the Nelson-Plosser data: Do they matter for forecasting? International Journal of Forecasting, 12(2), 283-288. https://doi.org/10.1016/0169-2070(95)00629-X
1994
- Kleibergen, F., & Van Dijk, H. K. (1994). On the shape of the likelihood/posterior in cointegration models. Econometric Theory, 10(3-4), 514-551. https://doi.org/10.1017/S0266466600008653
- Kleibergen, F., & van Dijk, H. K. (1994). Direct cointegration testing in error correction models. Journal of Econometrics, 63(1), 61-103. https://doi.org/10.1016/0304-4076(93)01561-Y
1993
- Kleibergen, F., & van Dijk, H. K. (1993). Non‐stationarity in garch models: A bayesian analysis. Journal of Applied Econometrics, 8(1 S), S41-S61. https://doi.org/10.1002/jae.3950080505
2023
- Kleibergen, F., Kong, L., & Zhan, Z. (2023). Rejoinder on: Identification Robust Testing of Risk Premia in Finite Samples. Journal of Financial Econometrics, 21(2), 311-315. https://doi.org/10.1093/jjfinec/nbac009
2006
- Kleibergen, F. R. (2006). Expansions of GMM statistics and the bootstrap. (UvA-Econometrics Working Paper; No. 2006/09). Amsterdam: Faculteit Economie en Bedrijfskunde.
Journal editor
- Kleibergen, F. (member of editorial board) (2023). Journal of Applied Econometrics (Journal).
- Kleibergen, F. (member of editorial board) (2023). Journal of Financial Econometrics (Journal).
- Kleibergen, F. (member of editorial board) (2019). Journal of Econometrics (Journal).
- Kleibergen, F. (member of editorial board) (2019). Journal of Financial Econometrics (Journal).
- Kleibergen, F. R. (programme committee member) (2018). Society for Financial Econometrics World Meeting (Event), Lugano.
- Kleibergen, F. R. (programme committee member) (2018). Econometrics Society Meeting (Event), Cologne.
- Kleibergen, F. R. (programme committee member) (2018). International Association for Applied Econometrics (IAAE) (Event), Montreal .
- Kleibergen, F. R. (member of editorial board) (2018-2030). Journal of Econometrics (Journal).
Talk / presentation
- Kleibergen, F. (speaker) (27-2-2020). Identification robust testing of risk premia in finite samples, Econometrics and statistics seminar, Leuven.
- Kleibergen, F. (invited speaker) (9-10-2019). Identification Robust Testing of Risk Premia in Finite Samples, Econometrics Seminar, Singapore.
- Kleibergen, F. (invited speaker) (7-10-2019). Identification Robust Testing of Risk Premia in Finite Samples, Econometrics Seminar, Singapore.
- Kleibergen, F. (speaker) (4-7-2019). Robust inference for consumption-based asset pricing, International Panel Data Conference, Vilnius.
- Kleibergen, F. (speaker) (15-6-2019). Robust inference for consumption-based asset pricing, Asian Meeting of the Econometric Society, Xiamen.
- Kleibergen, F. (keynote speaker) (13-6-2019). Identification Robust Testing of Risk Premia in Finite Samples, 2019 World conference of the society of financial econometrics, Shanghai.
- Kleibergen, F. R. (speaker) (7-12-2018). Robust Inference for Consumption-Based Asset Pricing, Advances in Econometrics Conference, London.
- Kleibergen, F. R. (speaker) (30-11-2018). Robust Inference for Consumption-Based Asset Pricing, 10th French Econometrics Conference, Paris.
- Kleibergen, F. R. (speaker) (11-10-2018). Robust Inference for Consumption-Based Asset Pricing, 7th RMSE Conference, Koblenz.
- Kleibergen, F. R. (speaker) (29-8-2018). Inference in second order identified models, Econometric Society European Meeting, Cologne.
- Kleibergen, F. R. (speaker) (28-6-2018). A more powerful subvector Anderson-Rubin test in linear instrumental variables regression, International Association for Applied Econometrics (IAAE) meeting, Montreal.
- Kleibergen, F. R. (speaker) (7-6-2018). Robust Inference for Consumption-Based Asset Pricing, University of Nottingham.
- Kleibergen, F. R. (speaker) (25-5-2018). Robust Inference for Consumption-Based Asset Pricing, Netherlands Econometrics Study Group Meeting , Amsterdam.
- Kleibergen, F. R. (speaker) (21-4-2018). Robust Inference for Consumption-Based Asset Pricing, Identification in Econometrics Conference, Nashville.
- Kleibergen, F. R. (speaker) (17-4-2018). Robust Inference for Consumption-Based Asset Pricing, Kennesaw State University.
- Kleibergen, F. R. (speaker) (6-1-2018). A more powerful subvector Anderson-Rubin test in linear instrumental variables regression, Econometrics Society North-American Winter Meeting .
Others
- Kleibergen, F. (organiser) (13-12-2019 - 14-12-2019). 30-th EC-squared conference, Oxford. Program Chair (organising a conference, workshop, ...).
- Kleibergen, F. (member of programme committee) (1-3-2019 - 1-4-2019). 2019 IAAE Annual Conference, Nicosia. 2019 IAAE Annual Conference (organising a conference, workshop, ...).
- Kleibergen, F. (member of programme committee) (1-3-2019 - 1-4-2019). 2019 World conference of the society of financial econometrics, Shanghai. Member of program committee (organising a conference, workshop, ...).
2024
2022
2021
- Kong, L. (2021). Identification robust testing in linear factor models. [Thesis, fully internal, Universiteit van Amsterdam]. Tinbergen Institute. [details]
- Stephan, L. S. (2021). Estimating diffusion and adoption parameters in networks: New estimation approaches for the latent-diffusion-observed-adoption model. [Thesis, fully internal, Universiteit van Amsterdam]. [details]
2013
- Bun, M. J. G., & Kleibergen, F. (2013). Identification and inference in moments based analysis of linear dynamic panel data models. (UvA-Econometrics Discussion Paper; No. 2013/07). University of Amsterdam. [details]
- Kleibergen, F., & Mavroeidis, S. (2013). Identification issues in limited-information Bayesian analysis of structural macroeconomic models. Brown University. http://www.econ.brown.edu/fac/Frank_Kleibergen/bayesdsge.pdf [details]
- Kleibergen, F., & Zhan, Z. (2013). Unexplained factors and their effects on second pass R-squared's and t-tests. Brown University. http://www.econ.brown.edu/fac/Frank_Kleibergen/famamacbeth.pdf [details]
2011
- Bun, M., & Kleibergen, F. (2011). Identification in linear dynamic panel data models. (UvA - econometrics discussion paper; No. 2011/04). Universiteit van Amsterdam. http://aimsrv1.fee.uva.nl/koen/web.nsf/view/6292B3FBFACD9300C1257952004A1690/$file/1104.pdf [details]
- Kleibergen, F. (2011). Improved accuracy of weak instument robust GMM statistics through bootstrap and Edgeworth approximations. Brown University. http://www.econ.brown.edu/fac/Frank_Kleibergen/improv_ac.pdf [details]
- Kleibergen, F. R., & Mavroeidis, S. (2011). Identification robust priors for Bayesian Analysis in DSGE-models. Brown University.
- Kleibergen, F., & Mavroeidis, S. (2011). Inference on subsets of parameters in linear IV without assuming identification. Brown University. http://www.econ.brown.edu/fac/Frank_Kleibergen/subliniv.pdf [details]
2007
- Kleibergen, F. R., & Mavroeidis, S. (2007). Inference on subsets of parameters in GMM without assuming identification. (UvA - Econometrics Working Paper; No. 2007/07). Faculteit Economie en Bedrijfskunde. http://aimsrv1.fee.uva.nl/koen/web.nsf/view/9B51D3FD541DB3CFC12573B80058FE58/$file/0707.pdf
2005
- Kleibergen, F. R. (2005). Subset Statistics in the linear IV regression model. (UvA econometrics discussion paper; No. 2005/08). Faculteit Economie en Bedrijfskunde. http://www.econ.brown.edu/fac/Frank_Kleibergen/subiv.pdf [details]
- Kleibergen, F. R. (2005). Tests of risk premia in linear factor models. (UvA Econometrics Discussion paper; No. 2005/09). Faculteit Economie en Bedrijfskunde. http://www.econ.brown.edu/fac/Frank_Kleibergen/famamacbeth.pdf [details]
2003
- Kleibergen, F. (2003). Invariant Bayesian Inference in Regression Models that is robust against the Jeffreys-Lindley's paradox. (UvA Econometrics Discussion Paper; No. 2002/22). Department of Quantitative Economics. http://www1.feb.uva.nl/pp/bin/468fulltext.pdf [details]
- Kleibergen, F. (2003). Orthogonal statistics and the density of the liml estimator. (UvA Econometrics Discussion Paper; No. 2003/11). Department of Quantitative Economics. http://www1.feb.uva.nl/pp/bin/477fulltext.pdf [details]
- Kleibergen, F. R. (2003). Expansions of GMM statistics that indicate their properties under weak and/or many instruments and the bootstrap. (UvA Econometrics Discussion Paper; No. 2003/10). Department of Quantitative Economics. http://www1.feb.uva.nl/pp/bin/476fulltext.pdf [details]
2002
- Kleibergen, F. (2002). Testing parameters in GMM without assuming that they are identifiied. (UvA Econometrics Discussion Paper; No. 2002/23). Department of Quantitative Economics. http://www1.feb.uva.nl/pp/bin/469fulltext.pdf [details]
- Kleibergen, F. R. (2002). Two independent pivotal statistics that test location and misspecification and add-up to the Anderson-Rubin statistic. (UvA Econometrics Discussion Paper; No. 2002/24). Department of Quantitative Economics. http://www1.feb.uva.nl/pp/bin/470fulltext.pdf [details]
- Kleibergen, F. R., & Paap, R. (2002). Generalized reduced rank tests using the singular value decomposition. (UvA Econometrics Discussion Paper; No. 2002/25). Department of Quantitative Economics. http://www1.feb.uva.nl/pp/bin/471fulltext.pdf [details]
2001
- Bekker, P., & Kleibergen, F. R. (2001). Finite-sample instrumental variables Inference using an Asymptotically Pivotal Statistic. (Tinbergen Institute Discussion paper; No. TI 2001-055/4). Tinbergen Institute. http://papers.tinbergen.nl/01055.pdf [details]
- Kleibergen, F. R. (2001). How to overcome the Jeffreys-Lindleys Paradox for invariant Bayesian Inference in Regression Models. (Tinbergen Institute Discussion Paper; No. TI 2001-073/4). Tinbergen Institute. http://papers.tinbergen.nl/01073.pdf [details]
- Kleibergen, F. R. (2001). Testing parameters in GMM without assuming that they are identified. (Tinbergen Institute Discussion Paper; No. TI 2001-067/4). Tinbergen Institute. http://papers.tinbergen.nl/01067.pdf [details]
2000
- Kleibergen, F. R. (2000). Exact test statistics and distributions of maximum likelihood estimation that result from orthogonal parameters. (Tinbergen Institute Discussion Paper; No. TI 2000-039/4). Tinbergen Institute. http://papers.tinbergen.nl/00039.pdf [details]
- Kleibergen, F. R. (2000). Pivotal statistics for testing structural parameters in instrumental variables regression. (Tinbeergen Institute Discussion paper; No. TI 2000-055/4). Tinbergen Institute. http://papers.tinbergen.nl/00055.pdf [details]
- Kleibergen, F. R. (2000). Pivotal statistics for testing subsets of structural parameters in the IV Regression Model. (Tinbergen Institute Discussion Paper; No. TI 2000-088/4). Tinbergen Institute. http://papers.tinbergen.nl/00088.pdf [details]
- Kleibergen, F. R., & Hoek, H. . (2000). Bayesian analysis of ARMA models. (Tinbergen Institute Discussion Paper; No. 0TI 2000-027/4). Tinbergen Institute. http://papers.tinbergen.nl/00027.pdf [details]
- Kleibergen, F. R., Kleijn, R., & Paap, R. (2000). The Bayesian Score Statistic. (Tinbergen Institute Discussion Paper; No. TI 2000-035/4). Tinbergen Institute. http://papers.tinbergen.nl/00035.pdf [details]
1999
- Houweling, P., Hoek, J., & Kleibergen, F. R. (1999). The joint estimation of term structures and credit spreads. (Tinbergen Institute Discussion Paper; No. TI 1999-027/4). Tinbergen Institute. http://papers.tinbergen.nl/99027.pdf [details]
- Kleibergen, F. R., & Groen, J. (1999). Likelyhood-based cointegration analysis in panels of vector error correction models. (Tinbergen Institute Discussion Paper; No. TI 1999-055/4). Tinbergen Institute. http://papers.tinbergen.nl/99055.pdf [details]
2024
- Kleibergen, F. & Zhaoguo, Z. (1-11-2024). Double Robust Inference for Continuous Updating GMM. Zenodo. https://doi.org/10.5281/zenodo.14025673
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Ancillary activities
- No ancillary activities
Guggenberger, P., Kleibergen, F., & Mavroeidis, S. (2024). A powerful subvector Anderson-Rubin test in linear instrumental variables regression with conditional heteroskedastictiy. Econometric Theory, 40(5), 957-1002.