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1

Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models

Jan J. J. Groen and Frank Kleibergen

Journal:

Journal of Business and Economic Statistics

Year:

2003

Language:

english

File:

PDF, 823 KB

english, 2003

2

Tests of risk premia in linear factor models

Frank Kleibergen

Journal:

Journal of Econometrics

Year:

2009

Language:

english

File:

PDF, 5.11 MB

english, 2009

3

Priors, posteriors and bayes factors for a Bayesian analysis of cointegration

Frank Kleibergen, Richard Paap

Journal:

Journal of Econometrics

Year:

2002

Language:

english

File:

PDF, 260 KB

english, 2002

4

Bayesian and classical approaches to instrumental variable regression

Frank Kleibergen, Eric Zivot

Journal:

Journal of Econometrics

Year:

2003

Language:

english

File:

PDF, 416 KB

english, 2003

5

Generalized Reduced Rank Tests Using the Singular Value Decomposition

Kleibergen, Frank R., Paap, R.

Journal:

SSRN Electronic Journal

Year:

2003

File:

PDF, 325 KB

2003

6

Invariant Bayesian inference in regression models that is robust against the Jeffreys–Lindley's paradox

Frank Kleibergen

Journal:

Journal of Econometrics

Year:

2004

Language:

english

File:

PDF, 429 KB

english, 2004

7

Generalized reduced rank tests using the singular value decomposition

Frank Kleibergen, Richard Paap

Journal:

Journal of Econometrics

Year:

2006

Language:

english

File:

PDF, 358 KB

english, 2006

8

Natural conjugate priors for the instrumental variables regression model applied to the Angrist–Krueger data

Lennart Hoogerheide, Frank Kleibergen, Herman K. van Dijk

Journal:

Journal of Econometrics

Year:

2007

Language:

english

File:

PDF, 636 KB

english, 2007

9

Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics

Frank Kleibergen

Journal:

Journal of Econometrics

Year:

2007

Language:

english

File:

PDF, 724 KB

english, 2007

10

Direct cointegration testing in error correction models

Frank Kleibergen, Herman K. van Dijk

Journal:

Journal of Econometrics

Year:

1994

Language:

english

File:

PDF, 2.05 MB

english, 1994

11

Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression

Frank Kleibergen

Journal:

Year:

2002

Language:

english

File:

PDF, 404 KB

english, 2002

12

Testing Parameters in GMM Without Assuming that They Are Identified

Frank Kleibergen

Journal:

Year:

2005

Language:

english

File:

PDF, 255 KB

english, 2005

13

Oil Price Shocks and Long Run Price and Import Demand Behavior

Frank Kleibergen, Herman K. van Dijk, Jean-Pierre Urbain

Journal:

Annals of the Institute of Statistical Mathematics

Year:

1999

File:

PDF, 799 KB

1999

14

Unit roots in the Nelson-Plosser data: Do they matter for forecasting?

Philip Hans Franses, Frank Kleibergen

Journal:

International Journal of Forecasting

Year:

1996

Language:

english

File:

PDF, 463 KB

english, 1996

15

The joint estimation of term structures and credit spreads

Patrick Houweling, Jaap Hoek, Frank Kleibergen

Journal:

Journal of Empirical Finance

Year:

2001

Language:

english

File:

PDF, 377 KB

english, 2001

16

Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models

Groen, Jan J. J, Kleibergen, Frank

Journal:

Journal of Business and Economic Statistics

Year:

2003

Language:

english

File:

PDF, 823 KB

english, 2003

17

Testing Subsets of Structural Parameters in the Instrumental Variables Regression Model

Frank Kleibergen

Journal:

Review of Economics and Statistics

Year:

2004

Language:

english

File:

PDF, 270 KB

english, 2004

18

Weak Instrument Robust Tests in GMM and the New Keynesian Phillips Curve

Kleibergen, Frank, Mavroeidis, Sophocles

Journal:

Journal of Business and Economic Statistics

Year:

2009

Language:

english

File:

PDF, 693 KB

english, 2009

19

Rejoinder

Kleibergen, Frank, Mavroeidis, Sophocles

Journal:

Journal of Business and Economic Statistics

Year:

2009

Language:

english

File:

PDF, 285 KB

english, 2009

20

IDENTIFICATION ISSUES IN LIMITED-INFORMATION BAYESIAN ANALYSIS OF STRUCTURAL MACROECONOMIC MODELS

Kleibergen, Frank, Mavroeidis, Sophocles

Journal:

Journal of Applied Econometrics

Year:

2014

Language:

english

File:

PDF, 5.60 MB

english, 2014

21

Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression

Frank Kleibergen

Journal:

Year:

2002

Language:

english

File:

PDF, 455 KB

english, 2002

22

Testing Subsets of Structural Parameters in the Instrumental Variables

Kleibergen, Frank

Journal:

Review of Economics and Statistics

Year:

2004

Language:

english

File:

PDF, 99 KB

english, 2004

23

Unexplained factors and their effects on second pass R

Kleibergen, Frank, Zhan, Zhaoguo

Journal:

Journal of Econometrics

Year:

2015

Language:

english

File:

PDF, 564 KB

english, 2015

24

On the Shape of the Likelihood/Posterior in Cointegration Models

Kleibergen, Frank, van Dijk, Herman K.

Journal:

Econometric Theory

Year:

1994

Language:

english

File:

PDF, 1.53 MB

english, 1994

25

FINITE-SAMPLE INSTRUMENTAL VARIABLES INFERENCE USING AN ASYMPTOTICALLY PIVOTAL STATISTIC

Bekker, Paul, Kleibergen, Frank

Journal:

Econometric Theory

Year:

2003

Language:

english

File:

PDF, 94 KB

english, 2003

26

BAYESIAN SIMULTANEOUS EQUATIONS ANALYSIS USING REDUCED RANK STRUCTURES

Kleibergen, Frank, van Dijk, Herman K.

Journal:

Econometric Theory

Year:

1998

Language:

english

File:

PDF, 567 KB

english, 1998

27

Bayesian Simultaneous Equations Analysis Using Reduced Rank Structures

Frank Kleibergen and Herman K. van Dijk

Journal:

Econometric Theory

Year:

1998

Language:

english

File:

PDF, 4.09 MB

english, 1998

28

Testing Parameters in GMM without Assuming That They Are Identified

Frank Kleibergen

Journal:

Year:

2005

Language:

english

File:

PDF, 1.97 MB

english, 2005

29

Symposium Double Issue: Bayes Methods and Unit Roots || On the Shape of the Likelihood/Posterior in Cointegration Models

Frank Kleibergen and Herman K. van Dijk

Journal:

Econometric Theory

Year:

1994

Language:

english

File:

PDF, 3.31 MB

english, 1994

30

Weak Instrument Robust Tests in GMM and the New Keynesian Phillips Curve [with Comments and Rejoinder]

Frank Kleibergen, Sophocles Mavroeidis, Fabio Canova, John C. Chao, Norman R. Swanson, Jean-Marie Dufour, Anna Mikusheva, Jonathan H. Wright, Motohiro Yogo, Eric Zivot and Saraswata Chaudhuri

Journal:

Journal of Business and Economic Statistics

Year:

2009

Language:

english

File:

PDF, 8.94 MB

english, 2009

31

Finite-Sample Instrumental Variables Inference Using an Asymptotically Pivotal Statistic

Paul Bekker and Frank Kleibergen

Journal:

Econometric Theory

Year:

2003

Language:

english

File:

PDF, 832 KB

english, 2003

32

ON THE ASYMPTOTIC SIZES OF SUBSET ANDERSON—RUBIN AND LAGRANGE MULTIPLIER TESTS IN LINEAR INSTRUMENTAL VARIABLES REGRESSION

Patrik Guggenberger, Frank Kleibergen, Sophocles Mavroeidis and Linchun Chen

Journal:

Year:

2012

Language:

english

File:

PDF, 1.29 MB

english, 2012

33

Identification-Robust Inference on Risk Premia of Mimicking Portfolios of Non-traded Factors

Kleibergen, Frank, Zhan, Zhaoguo

Journal:

Journal of Financial Econometrics

Year:

2018

Language:

english

File:

PDF, 888 KB

english, 2018

34

Robust Inference for Consumption-Based Asset Pricing

Kleibergen, Frank R., Zhan, Zhaoguo

Journal:

SSRN Electronic Journal

Year:

2019

Language:

english

File:

PDF, 1.55 MB

english, 2019

35

Robust Inference for Consumption-Based Asset Pricing

Kleibergen, Frank R., Zhan, Zhaoguo

Journal:

SSRN Electronic Journal

Year:

2019

File:

PDF, 1.55 MB

2019

36

Robust Inference for Consumption‐Based Asset Pricing

KLEIBERGEN, FRANK, ZHAN, ZHAOGUO

Journal:

The Journal of Finance

Year:

2019

Language:

english

File:

PDF, 997 KB

english, 2019

37

Inference in second-order identified models

Dovonon, Prosper, Hall, Alastair R., Kleibergen, Frank

Journal:

Journal of Econometrics

Year:

2020

File:

PDF, 650 KB

2020

38

Efficient size correct subset inference in homoskedastic linear instrumental variables regression

Kleibergen, Frank

Journal:

Journal of Econometrics

Year:

2020

File:

PDF, 1.55 MB

2020