Prof. dr. F.R. (Frank) Kleibergen
Faculty of Economics and Business
Section Quantitative Economics
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, Amsterdam School of Economics, University of Amsterdam
2003-2015 Professor of Economics at Brown UniversityEducation
MA in Econometrics, Erasmus University Rotterdam (1990);
PhD in Econometrics, Erasmus University Rotterdam (1994).Fellowships
Econometric Society (2025)
Multi Scriptit Award, Econometric Theory (2025)
International Association for Applied Econometrics (2023)
Society for Financial Econometrics (Sofie) (2015)
Journal of Econometrics (2007)
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 (37)
- academic (2)
- recognitions (27)
- supervised theses (5)
- working papers / preprints (25)
- datasets (1)
2025
- Kleibergen, F. R. (2025). Risk premia from the cross-section of individual assets. Journal of Econometrics. https://doi.org/10.1016/j.jeconom.2025.106108
- 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
Kleibergen, F., & Kong, L. (2025). Identification robust inference for the risk premium in term structure models. Journal of Econometrics, 248, Article 105728. https://doi.org/10.1016/j.jeconom.2024.105728, https://doi.org/10.1016/j.jeconom.2024.105728 [details]
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]
2023
- Guggenberger, P., Kleibergen, F., & Mavroeidis, S. (2023). A Test for Kronecker Product Structure Covariance Matrix. Journal of Econometrics, 223(1), 88-112. https://doi.org/10.1016/j.jeconom.2022.01.005 [details]
- 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]
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. 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. 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. 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. 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. 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. 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). 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., & 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
Kleibergen, F., & Kong, L. (2025). Identification robust inference for the risk premium in term structure models. Journal of Econometrics, 248, Article 105728.