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Tests of risk premia in linear factor models

Kleibergen, Frank - In: Journal of econometrics 149 (2009) 2, pp. 149-174

Persistent link: https://www.econbiz.de/10008883236

Tests of risk premia in linear factor models

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

Persistent link: https://www.econbiz.de/10008239809

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/10006763315

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

Kleibergen, Frank; Paap, Richard - In: Journal of econometrics 111 (2002) 2, pp. 223-250

Persistent link: https://www.econbiz.de/10006766561

Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression

Kleibergen, Frank - In: Econometrica : journal of the Econometric Society, an … 70 (2002) 5, pp. 1781-1804

Persistent link: https://www.econbiz.de/10006766589

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

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

Persistent link: https://www.econbiz.de/10007615318

Double robust inference for continuous updating GMM

Kleibergen, Frank; Zhan, Zhaoguo - In: Quantitative Economics 16 (2025) 1, pp. 295-327

We propose the double robust Lagrange multiplier (DRLM) statistic for testing hypotheses specified on the minimizer of the population continuous updating objective function. The (bounding) χ2 limiting distribution of the DRLM statistic is robust to both misspecification and weak identification,...

Persistent link: https://www.econbiz.de/10015420286