← All authors Frank Kleibergen University of Amsterdam (from arXiv:2307.12628, 2023) · ORCID · OpenAlex
38 papers in scope · 37 published · 7 on the econ.EM arXiv · 5,361 citations · h-index 21 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Jesse Hoekstra Patrik Guggenberger Sophocles Mavroeidis Frank Windmeijer Zhaoguo Zhan Peter Bühlmann Malte Londschien Pascal Lavergne Seojeong Lee Òscar Jordà Bertille Antoine Wenjie Wang Lingwei Kong Harvey Barnhard James A. Duffy Liyu Dou Qihui Chen Qu Feng Sombut Jaidee Guido M. Kuersteiner Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (6 of 38)
Risk premia from the cross-section of individual assets
published 2025 · Journal of Econometrics · first circulated 2024
published 2025 · Quantitative Economics · 4 citations · first circulated 2021
A Powerful Test Needs to Be Size-Correct: Response to “Robust Inference for Consumption-Based Asset Pricing with Power”
published 2025 · Critical Finance Review · 2 citations
published 2024 · Journal of Econometrics · first circulated 2023
published 2023 · Econometric Theory · 2 citations · first circulated 2021
working paper 2022 · arXiv · 1 citations
Rejoinder on: Identification Robust Testing of Risk Premia in Finite Samples
published 2022 · Journal of Financial Econometrics · 12 citations
published 2021 · Econometric Theory · 12 citations · first circulated 2013
published 2021 · Journal of Econometrics · 3 citations
Inference in second-order identified models
published 2020 · Journal of Econometrics · 9 citations · first circulated 2017
with Prosper Dovonon, Alastair R. Hall, Prosper Donovon
Efficient size correct subset inference in homoskedastic linear instrumental variables regression
published 2020 · Journal of Econometrics · 15 citations
Robust Inference for Consumption‐Based Asset Pricing
published 2019 · The Journal of Finance · 101 citations
A more powerful subvector Anderson Rubin test in linear instrumental variables regression
published 2019 · Quantitative Economics · 24 citations
Identification-Robust Inference on Risk Premia of Mimicking Portfolios of Non-traded Factors
published 2018 · Journal of Financial Econometrics · 20 citations
Unexplained factors and their effects on second pass R -squared’s
published 2015 · Journal of Econometrics · 59 citations · first circulated 2013
IDENTIFICATION ISSUES IN LIMITED‐INFORMATION BAYESIAN ANALYSIS OF STRUCTURAL MACROECONOMIC MODELS
published 2014 · Journal of Applied Econometrics · 14 citations
On the Asymptotic Sizes of Subset Anderson-Rubin and Lagrange Multiplier Tests in Linear Instrumental Variables Regression
published 2012 · Econometrica · 67 citations
Weak Instrument Robust Tests in GMM and the New Keynesian Phillips Curve
published 2009 · Journal of Business and Economic Statistics · 196 citations
Rejoinder
published 2009 · Journal of Business and Economic Statistics · 1 citations
Tests of risk premia in linear factor models
published 2009 · Journal of Econometrics · 164 citations
Generalizing weak instrument robust IV statistics towards multiple parameters, unrestricted covariance matrices and identification statistics
published 2006 · Journal of Econometrics · 117 citations
Natural conjugate priors for the instrumental variables regression model applied to the Angrist–Krueger data
published 2006 · Journal of Econometrics · 54 citations
with Lennart F. Hoogerheide, Herman K. van Dijk
Testing Parameters in GMM Without Assuming that They Are Identified
published 2005 · Econometrica · 380 citations · first circulated 2001
Generalized reduced rank tests using the singular value decomposition
published 2005 · Journal of Econometrics · 2713 citations · first circulated 2003
with Richard Paap
Invariant Bayesian inference in regression models that is robust against the Jeffreys–Lindley's paradox
published 2004 · Journal of Econometrics · 13 citations
Testing Subsets of Structural Parameters in the Instrumental Variables
published 2004 · The Review of Economics and Statistics · 45 citations
FINITE-SAMPLE INSTRUMENTAL VARIABLES INFERENCE USING AN ASYMPTOTICALLY PIVOTAL STATISTIC
published 2003 · Econometric Theory · 21 citations · first circulated 2001
Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models
published 2003 · Journal of Business and Economic Statistics · 209 citations · first circulated 1999
with Jan J. J. Groen
Bayesian and classical approaches to instrumental variable regression
published 2003 · Journal of Econometrics · 155 citations · first circulated 1998
with Eric Zivot
Priors, posteriors and bayes factors for a Bayesian analysis of cointegration
published 2002 · Journal of Econometrics · 98 citations · first circulated 1998
with Richard Paap
Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression
published 2002 · Econometrica · 428 citations · first circulated 2000
The joint estimation of term structures and credit spreads
published 2001 · Journal of Empirical Finance · 33 citations
with Patrick Houweling, Jaap Hoek
Oil Price Shocks and Long Run Price and Import Demand Behavior
published 1999 · Annals of the Institute of Statistical Mathematics
with Herman K. van Dijk
BAYESIAN SIMULTANEOUS EQUATIONS ANALYSIS USING REDUCED RANK STRUCTURES
published 1998 · Econometric Theory · 122 citations · first circulated 1997
with Herman K. van Dijk
Unit roots in the Nelson-Plosser data: Do they matter for forecasting?
published 1996 · International Journal of Forecasting · 20 citations
with Philip Hans Franses
On the Shape of the Likelihood/Posterior in Cointegration Models
published 1994 · Econometric Theory · 133 citations
with Herman K. van Dijk
Direct cointegration testing in error correction models
published 1994 · Journal of Econometrics · 46 citations
with Herman K. van Dijk
Non-stationarity in garch models: A bayesian analysis
published 1993 · Journal of Applied Econometrics · 68 citations
with Herman K. van Dijk
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