F Kleibergen… - Journal of Econometrics, 2006 - Elsevier
We propose a novel statistic to test the rank of a matrix. The rank statistic overcomes
deficiencies of existing rank statistics, like: a Kronecker covariance matrix for the canonical
correlation rank statistic of Anderson [Annals of Mathematical Statistics (1951), 22, 327– ...
F Kleibergen - Econometrica, 2002 - Wiley Online Library
We propose a novel statistic for conducting joint tests on all the structural parameters in
instrumental variables regression. The statistic is straightforward to compute and equals a
quadratic form of the score of the concentrated log–likelihood. It therefore attains its ...
F Kleibergen - Econometrica, 2005 - Wiley Online Library
We propose a generalized method of moments (GMM) Lagrange multiplier statistic, ie, the K
statistic, that uses a Jacobian estimator based on the continuous updating estimator that is
asymptotically uncorrelated with the sample average of the moments. Its asymptotic χ 2 ...
F Kleibergen… - Econometric Theory, 1994 - Cambridge Univ Press
Abstract A vector autoregressive (VAR) model is specified with equation system parameters,
which directly reflect the possible cointegrating nature of the analyzed time series. By using
a flat/diffuse prior, we show that the marginal posteriors of the parameters of interest ( ...
JJJ Groen, F Kleibergen - Journal of Business and Economic Statistics, 2003 - ASA
We propose a likelihood-based framework for cointegration analysis in panels of a fixed
number of vector error-correction (VEC) models. We obtain likelihood ratio statistics to test
for a common cointegration rank across the individual VEC models with both ...
F Kleibergen… - Journal of Econometrics, 2002 - Elsevier
Cointegration occurs when the long-run multiplier matrix of a vector autoregressive model
exhibits rank reduction. Using a singular value decomposition of the unrestricted long-run
multiplier matrix, we construct a parameter that reflects the presence of rank reduction. ...
F Kleibergen… - Journal of Econometrics, 2003 - Elsevier
We establish relationships between certain Bayesian and classical approaches to
instrumental variable regression. We determine the form of priors that lead to posteriors for
structural parameters that have similar properties as classical 2SLS and LIML and in ...
F Kleibergen… - Journal of Business and Economic Statistics, 2009 - ASA
We discuss weak instrument robust statistics in GMM for testing hypotheses on the full
parameter vector or on subsets of the parameters. We use these test procedures to
reexamine the evidence on the new Keynesian Phillips curve model. We find that US ...
F Kleibergen… - Journal of Applied Econometrics, 1993 - Wiley Online Library
Abstract First, the non-stationarity properties of the conditional variances in the GARCH (1,
1) model are analysed using the concept of infinite persistence of shocks. Given a time
sequence of probabilities for increasing/decreasing conditional variances, a theoretical ...
F Kleibergen - Journal of Econometrics, 2007 - Elsevier
We generalize the weak instrument robust score or Lagrange multiplier and likelihood ratio
instrumental variables (IV) statistics towards multiple parameters and a general covariance
matrix so they can be used in the generalized method of moments (GMM). The GMM ...
P Houweling, J Hoek… - Journal of Empirical Finance, 2001 - Elsevier
We present a new framework for the joint estimation of the default-free government term
structure and corporate credit spread curves. By using a data set of liquid, German mark
denominated bonds, we show that this yields more realistic spreads than traditionally ...
F Kleibergen - Review of Economics and Statistics, 2004 - JSTOR
We develop Lagrange multiplier and likelihood ratio statistics to test hypotheses on subsets
of the structural parameters in an instrumental variables regression model. The asymptotic
distributions of these statistics are robust to instrument quality. A key assumption is, ...
L Hoogerheide, F Kleibergen… - Journal of Econometrics, 2007 - Elsevier
We propose a natural conjugate prior for the instrumental variables regression model. The
prior is a natural conjugate one since the marginal prior and posterior of the structural
parameter have the same functional expressions which directly reveal the update from ...
F Kleibergen… - Journal of Econometrics, 1994 - Elsevier
Abstract An error correction model is specified having only exact identified parameters,
some of which reflect a possible departure from a cointegration model. Wald, likelihood ratio,
and Lagrange multiplier statistics are derived to test for the significance of these ...
PH Franses… - International Journal of Forecasting, 1996 - Elsevier
In this paper we compare two univariate time series models, ie one with and one without an
imposed unit root, in a forecasting experiment for the fourteen annually observed US data
analyzed by Nelson and Plosser (1982, Journal of Monetary Economics 10, 139–162). ...
P Bekker… - Econometric theory, 2003 - Cambridge Univ Press
We consider the K-statistic, Kleibergen's~ 2002, Econometrica 70, 1781–1803! adaptation of
the Anderson–Rubin~ AR! statistic in instrumental variables regression+ Whereas
Kleibergen~ 2002! especially analyzes the asymptotic behavior of the statistic, we focus ...
F Kleibergen - Journal of econometrics, 2009 - Elsevier
We show that statistical inference on the risk premia in linear factor models that is based on
the Fama–MacBeth (FM) and generalized least squares (GLS) two-pass risk premia
estimators is misleading when the β's are small and/or the number of assets is large. We ...
F Kleibergen - Journal of econometrics, 2004 - Elsevier
We obtain the prior and posterior probability of a nested regression model as the Hausdorff-
integral of the prior and posterior on the parameters of an encompassing linear regression
model over a lower-dimensional set that represents the nested model. The Hausdorff- ...
F Kleibergen - oGen& eralized Method of Moments Estimationp, …, 1999 - books.google.com
Since the mid eighties, alongside the literature arising on GMM, a large number of papers
emerged on cointegration as well. This is due to the fact that cointegration models combine
two features which many economic time series possess, ie, random walk individual ...
F Kleibergen… - 1998 - repub.eur.nl
Abstract We establish the relationships between certain Bayesian and classical approaches
to instrumental variable regression. We determine the form of priors that lead to posteriors
for structural parameters that have similar properties as classical 2SLS and LIML and in ...
F Kleibergen - 1998 - eur.nl
Abstract Statistical inference in nested linear models that result from linear restrictions on the
parameters of encompassing linear models can be considered to result from the condi0
tional distribution under the encompassing model. We extend this reasoning to nested ...
FR Kleibergen - 2002 - dare.uva.nl
... Two independent pivotal statistics that test location and misspeci cation and add0up to the
Anderson0Rubin statistic Frank Kleibergen| December 19, 2002 Abstract We extend the novel
pivotal statistics for testing the parameters in the instrumental variables regression model. ...
F Kleibergen - 2000 - fee.uva.nl
Abstract We show how orthogonal statistics can be used to obtain the density of the
maximum likelihood estimator and exact statistics. A specification of the instrumental
variables regression model is given that involves these orthogonal statistics. We use this ...
F Kleibergen, PH Franses… - 1995 - en.scientificcommons.org
F Kleibergen,
HK van Dijk… - Annals of the Institute of Statistical …, 1999 - Springer
The effect which the oil price time series has on the long run properties of Vector
AutoRegressive (VAR) models for price levels and import demand is investigated. As the oil
price variable is assumed to be weakly exogenous for the long run parameters, a ...
F Kleibergen - 2010 - aimsrv1.fee.uva.nl
Abstract We propose two reality checks to gauge factor pricing. We do so since the typically
used R2 and t-statistics from the second pass of the Fama and MacBeth (1973) two pass
procedure signal factor pricing when the observed factors miss the unobserved factor ...
F Kleibergen - 1994 - tinbergen.nl
... PhD Theses. Identifiability and nonstationarity in classical and Bayesian econometrics. Author:
Frank Kleibergen. PhD Thesis # 77 Date: 1994-09-15 Supervisor(s): prof.dr. HK van Dijk. ...
F Kleibergen - 1998 - eur.nl
Abstract We construct limiting and small sample distributions of maximum likelihood esti0
mators (mle) from the property that they satisfy the first order condition (foc). The foc relates
the mle of the analyzed model to the mle of an encompassing model and shows that the ...
F Kleibergen… - 2001 - tinbergen.nl
Abstract We obtain invariant expressions for prior probabilities and priors on the parameters
of nested regression models that are induced by a prior on the parameters of an
encompassing linear regression model. The invariance is with respect to specifications ...
F Kleibergen… - 2011 - econ.brown.edu
Abstract The likelihood of the parameters in structural macroeconomic models typically has
non-identification regions over which it is flat. When flat priors are used, the posterior piles
up in such non-identification regions, generating spurious inference. Usage of informative ...
F Kleibergen… - Econometrics, 1998 - ideas.repec.org
We estabilsh the relationships between certain Bayesian and classical approaches to
instrumental variables regression. We determine the form of priors that lead to posteriors for
structural paameters that have similar properties as classical 2SLS and LIML and in doing ...
PH Franses… - 1997 - en.scientificcommons.org
Abstract In this paper we extend the univariate periodic integration model to multivariate
cointegrated time series. We analyze representation issues of a multivariate periodic model.
We argue that simple adding an index s to the parameters in an otherwise nonperiodic ...
MJG Bun, F Kleibergen - eea-esem.com
Abstract We apply a range of GMM based inference procedures to the first-order dynamic
panel data model. We use moment conditions from either the first differenced or levels
model or both. In addition to standard Wald and LM procedures we consider some ...
JJ Jan, K Frank - ukpmc.ac.uk
We propose in this paper a likelihood-based framework for cointegration analysisin panels
of a xed number of vector error correction models. Maximum likelihoodestimators of the
cointegrating vectors are constructed using iterated GeneralizedMethod of Moments ...
F Kleibergen… - fmwww.bc.edu
Abstract We develop a Bayesian cointegration test statistic that can be used under a Jeffreys'
prior. The test statistic is equal to the posterior expectation of the classical score statistic.
Under the assumption of a full rank value of the long run multiplier the test statistic is a ...
FKR Paapy - Citeseer
Abstract Cointegration occurs when the long run multiplier of a vector autoregressive model
exhibits rank reduction. Priors and posteriors of the parameters of the cointegration model
are therefore proportional to priors and posteriors of the long run multiplier given that it ...
[CITATION] Econometric Institute Reports, no. 9668/a November 1996
F Kleibergen… - 1996
F Kleibergen… - 2007 - nber.org
Abstract We construct an upper bound on the limiting distributions of the identifica $ tion
robust GMM statistics for testing hypotheses that are specified on subsets of the parameters.
The upper bound corresponds to the limiting distribution that results when the unrestricted ...
[CITATION] Bauwens, L.,...:: Bayesian inference in dynamic econometric models: Oxford, Oxford Univ. Press, 1999
F Kleibergen - De economist, 2000
F Kleibergen… - 2010 - aimsrv1.fee.uva.nl
Abstract The parameter space of dynamic stochastic general equilibrium (DSGE) models
typically includes non-identification regions over which the likelihood is flat. Use of
informative priors makes it difficult to diagnose identification problems, since posteriors ...
F Kleibergen - 2006 - aimsrv1.fee.uva.nl
Abstract We construct higher order expressions of (weak instrument robust) generalized
method of moment (GMM) test statistics. We use these expressions to obtain Edgeworth
approximations of their finite sample distributions and to show the sensitivity to instrument ...
F Kleibergen - 2011 - econ.brown.edu
Abstract We construct higher order expressions of (weak instrument robust) generalized
method of moment (GMM) test statistics for iid data. We use them to obtain Edgeworth
approximations and to reveal sensitivity to instrument quality. The Edgeworth ...
[CITATION] The Joint Estimation of Term Structures and Credit Spreads
J Hoek,
P Houweling… - 2002 - Erasmus Center for Financial …
M Bun, F Kleibergen - aimsrv1.fee.uva.nl
Abstract Neither the Dif (ference) moment conditions, see Arellano and Bond (1991), nor the
Lev (el) moment conditions, see Arellano and Bover (1995) and Blundell and Bond (1998),
identify the parameters of linear dynamic panel data models for all data generating ...
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