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

Kleibergen, Frank; Paap, Richard - In: Journal of Econometrics 111 (2002) 2, pp. 223-249

Persistent link: https://www.econbiz.de/10005238968

Bayesian and classical approaches to instrumental variable regression

Kleibergen, Frank; Zivot, Eric - In: Journal of Econometrics 114 (2003) 1, pp. 29-72

Persistent link: https://www.econbiz.de/10005204018

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

Kleibergen, Frank - In: Journal of Econometrics 123 (2004) 2, pp. 227-258

Persistent link: https://www.econbiz.de/10005204020

Tests of risk premia in linear factor models

Kleibergen, Frank - In: Journal of Econometrics 149 (2009) 2, pp. 149-173

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 [beta]'s are small and/or the number of assets is large. We propose novel statistics,...

Persistent link: https://www.econbiz.de/10005022977

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

Hoogerheide, Lennart; Kleibergen, Frank; Dijk, Herman K. van - In: Journal of Econometrics 138 (2007) 1, pp. 63-103

Persistent link: https://www.econbiz.de/10005285950

Direct cointegration testing in error correction models

Kleibergen, Frank; Dijk, Herman K. van - In: Journal of Econometrics 63 (1994) 1, pp. 61-103

Persistent link: https://www.econbiz.de/10005052726

Generalized reduced rank tests using the singular value decomposition

Kleibergen, Frank; Paap, Richard - In: Journal of Econometrics 133 (2006) 1, pp. 97-126

Persistent link: https://www.econbiz.de/10005052839

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

Kleibergen, Frank - In: Journal of Econometrics 139 (2007) 1, pp. 181-216

Persistent link: https://www.econbiz.de/10005192316