Frank Kleibergen

Overview

Frank Kleibergen is an econometrician associated with the Econometric Institute and Tinbergen Institute at Erasmus University Rotterdam. His early work with Herman K. van Dijk focused on Bayesian analysis of non-stationarity in GARCH models and irregular likelihood surfaces in cointegration systems. He later developed influential tests for weak instruments and Bayesian cointegration analysis.

Key Contributions / Features

• Kleibergen-Van Dijk (1993): Bayesian analysis distinguishing weak vs. quasi-strict GARCH stationarity; demonstrates fat-tail/unit-root posterior entanglement in T-bill data via the negative $\rho$–$\lambda$ correlation.
• Kleibergen-Van Dijk (1994): Analysis of irregular likelihood surfaces in cointegrated systems.
• Kleibergen-Paap (2002): Bayesian cointegration analysis using priors on the cointegration space.

Related

• Herman K. van Dijk
• GARCH and BEKK-GARCH
• Unit Root Tests
• Non-Stationarity in GARCH Models: A Bayesian Analysis