Frank R. Kleibergen

University of Amsterdam - Department of Quantitative Economics (KE)

Roetersstraat 11

Amsterdam, 1018 WB

Netherlands

SCHOLARLY PAPERS

8

DOWNLOADS
Rank 24,137

SSRN RANKINGS

Top 24,137

in Total Papers Downloads

2,534

SSRN CITATIONS
Rank 4,974

SSRN RANKINGS

Top 4,974

in Total Papers Citations

267

CROSSREF CITATIONS

7

Scholarly Papers (8)

1.

The Joint Estimation of Term Structures and Credit Spreads

Journal of Empirical Finance, Vol. 8, No. 3, pp. 297-323, 2001
Number of pages: 25 Posted: 27 Apr 1999
Patrick Houweling, Frank R. Kleibergen and Jaap Hoek
Robeco Investment Research, University of Amsterdam - Department of Quantitative Economics (KE) and Robeco Asset Management
Downloads 2,107 (8,736)

Abstract:

Loading...

2.

Reduced Rank Regression Using Generalized Method of Moments Estimators with Extensions to Structural Breaks in Reduced Rank Models

Number of pages: 58 Posted: 10 Dec 1996
Frank R. Kleibergen
University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 225 (166,894)

Abstract:

Loading...

3.

Generalized Reduced Rank Tests Using the Singular Value Decomposition

Tinbergen Institute Discussion Paper No. 2003-003/4
Number of pages: 25 Posted: 05 Feb 2003
Frank R. Kleibergen and Richard Paap
University of Amsterdam - Department of Quantitative Economics (KE) and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 110 (301,658)
Citation 278

Abstract:

Loading...

stochastic discount factor model, cointegration, GMM

4.

Robust Inference for Consumption-Based Asset Pricing

Journal of Finance, Forthcoming
Number of pages: 84 Posted: 03 Jun 2019
Frank R. Kleibergen and Zhaoguo Zhan
University of Amsterdam - Department of Quantitative Economics (KE) and Kennesaw State University
Downloads 77 (377,701)
Citation 9

Abstract:

Loading...

5.

Identification robust inference for moments based analysis of linear dynamic panel data models

Econometric Theory, Forthcoming
Number of pages: 66 Posted: 18 May 2021
Frank R. Kleibergen
University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 6 (732,370)

Abstract:

Loading...

Weak identification, dynamic panel data models, underidentification

6.

Double robust inference for continuous updating GMM

Number of pages: 78 Posted: 18 May 2021
Frank R. Kleibergen
University of Amsterdam - Department of Quantitative Economics (KE)
Downloads 5 (740,238)

Abstract:

Loading...

Weak identification, misspecification, robust inference, Lagrange multiplier

7.

A Test for Kronecker Product Structure Covariance Matrix

Number of pages: 47 Posted: 19 May 2021
Patrik Guggenberger, Frank R. Kleibergen and Sophocles Mavroeidis
Pennsylvania State University, College of the Liberal Arts - Department of Economic, University of Amsterdam - Department of Quantitative Economics (KE) and University of Oxford - Department of Economics
Downloads 4 (747,808)

Abstract:

Loading...

covariance matrix, heteroskedasticity, Kronecker product structure, linear instrumental variables regression model, reduced rank, weak identification

8.

Priors, Posterior Odds and Lagrange Multiplier Statistics in Bayesian Analysis of Cointegration

Erasmus University of Rotterdam, Econometric Institute, Working Paper No. A1.89 WP 9668/A
Posted: 15 Feb 1998
Frank R. Kleibergen and Richard Paap
University of Amsterdam - Department of Quantitative Economics (KE) and Erasmus University Rotterdam (EUR) - Department of Econometrics

Abstract:

Loading...