Overview
Frank Kleibergen is an econometrician at Brown University (formerly University of Amsterdam and Tinbergen Institute) known for foundational work on Bayesian approaches to simultaneous equations and on robust inference under weak identification. He is best known outside this paper for the Kleibergen-Paap (KP) rk statistic, the standard test for weak instruments in settings with multiple endogenous regressors and/or non-i.i.d. errors.
Key Contributions / Features
- Kleibergen and Zivot (2003): Showed that the Jeffreys prior on the IV model's reduced form parameters yields a posterior identical in form to the LIML estimator; established Drèze's approach as a 2SLS analogue rather than a LIML analogue.
- Kleibergen (2002) Econometrica: "Pivotal Statistics for Testing Structural Parameters in Instrumental Variables Regression" — developed identification-robust tests (K statistic) for structural parameters that remain valid under weak instruments.
- Kleibergen and Paap (2006): Generalized the rank test to the KP rk statistic, now the standard first-stage weak-instrument diagnostic in IV applications with non-i.i.d. errors.
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