Details about Nicholas M. Kiefer

E-mail:
Homepage:	http://www.arts.cornell.edu/econ/kiefer/
Workplace:	Department of Economics, Cornell University, (more information at EDIRC) Center for Analytic Economics, Department of Economics, Cornell University, (more information at EDIRC) Cornell University Department of Statistical Science

Access statistics for papers by Nicholas M. Kiefer.

Last updated 2021-08-13. Update your information in the RePEc Author Service.

Short-id: pki305

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Working Papers

2015

1. Counting Processes for Retail Default Modeling
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)

2013

2. The Smooth Colonel and the Reverend Find Common Ground
   Department of Economics Working Papers, McMaster University View citations (1)
   See also Journal Article The smooth colonel and the reverend find common ground, Econometric Reviews, Taylor & Francis Journals (2017) View citations (11) (2017)

2010

3. The Bayesian Approach to Default Risk: A Guide
   Working Papers, Cornell University, Center for Analytic Economics View citations (4)

2009

4. Correlated Defaults, Temporal Correlation, Expert Information and Predictability of Default Rates
   Working Papers, Cornell University, Center for Analytic Economics
   See also Journal Article Correlated defaults, temporal correlation, expert information and predictability of default rates, Econometric Reviews, Taylor & Francis Journals (2017) (2017)
5. Geometry of the Log-Likelihood Ratio Statistic in Misspecified Models
   Working Papers, Cornell University, Center for Analytic Economics
6. Incentive-Compatible Elicitation of Quantiles
   Working Papers, Cornell University, Center for Analytic Economics
7. The Maximum Entropy Distribution for Stochastically Ordered Random Variables with Fixed Marginals
   Working Papers, Cornell University, Center for Analytic Economics

2008

8. Annual Default Rates and Probably Less Than Long-Run Average Annual Default Rates
   Working Papers, Cornell University, Center for Analytic Economics
9. Default Estimation, Correlated Defaults, and Expert Information
   Working Papers, Cornell University, Center for Analytic Economics View citations (1)
   See also Journal Article Default estimation, correlated defaults, and expert information, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2011) View citations (8) (2011)
10. The Smooth Colonel Meets the Reverend
    Working Papers, Cornell University, Center for Analytic Economics View citations (4)
    See also Journal Article The smooth Colonel meets the Reverend, Journal of Nonparametric Statistics, Taylor & Francis Journals (2009) View citations (1) (2009)

2007

11. Default Estimation and Expert Information: All Likely Dataset Analysis and Robust Validation
    Working Papers, Cornell University, Center for Analytic Economics
12. Development and Validation of Credit-Scoring Models
    Working Papers, Cornell University, Center for Analytic Economics View citations (1)
13. Evidence of non-Markovian behavior in the process of bank rating migrations
    Borradores de Economia, Banco de la Republica View citations (2)
    Also in Borradores de Economia, Banco de la Republica de Colombia (2007) View citations (1)
    Borradores de Economia, Banco de la Republica (2007) View citations (1)
    See also Journal Article Evidence of Non-Markovian Behavior in the Process of Bank Rating Migrations, Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile. (2009) View citations (3) (2009)

2006

14. A Simulation Estimator for Testing the Time Homogeneity of Credit Rating Transition
    Working Papers, Cornell University, Center for Analytic Economics View citations (2)
    See also Journal Article A simulation estimator for testing the time homogeneity of credit rating transitions, Journal of Empirical Finance, Elsevier (2007) View citations (18) (2007)
15. Bank Failure: Evidence from the Colombia Financial Crisis
    Working Papers, Cornell University, Center for Analytic Economics View citations (31)
    See also Journal Article BANK FAILURE: EVIDENCE FROM THE COLOMBIAN FINANCIAL CRISIS, The International Journal of Business and Finance Research, The Institute for Business and Finance Research (2009) View citations (27) (2009)
16. Default Estimation for Low-Default Portfolios
    Working Papers, Cornell University, Center for Analytic Economics
    See also Journal Article Default estimation for low-default portfolios, Journal of Empirical Finance, Elsevier (2009) View citations (18) (2009)
17. Explaining time to bank failure in Colombia during the financial crisis of the late 1990s
    Borradores de Economia, Banco de la Republica de Colombia
18. Robust Model Selection in Dynamic Models with an Application to Comparing Predictive Accuracy
    Working Papers, Cornell University, Center for Analytic Economics View citations (1)
19. Specification and Informational Issues in Credit Scoring
    Working Papers, Cornell University, Center for Analytic Economics View citations (4)

2005

20. A New Asymptotic Theory for Heteroskedasticity-Autocorrelation Robust Tests
    Working Papers, Cornell University, Center for Analytic Economics View citations (209)
    See also Journal Article A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS, Econometric Theory, Cambridge University Press (2005) View citations (243) (2005)

2001

21. Heteroskedasticity-Autocorrelation Robust Standard Errors Using the Bartlett Kernel without Truncation
    Working Papers, Cornell University, Center for Analytic Economics View citations (1)
    See also Journal Article Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation, Econometrica, Econometric Society (2002) View citations (123) (2002)
22. Simple Robust Testing of Hypothesis in Non-Linear Models
    Staff General Research Papers Archive, Iowa State University, Department of Economics View citations (5)
    See also Journal Article Simple Robust Testing of Hypotheses in Nonlinear Models, Journal of the American Statistical Association, American Statistical Association (2001) View citations (10) (2001)

2000

23. A New Approach to the Asymptotics of HAC Robust Testing in Econometrics
    Working Papers, Cornell University, Center for Analytic Economics
24. Panel Data, Local Cuts, and Orthogeodesic Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (4)
    Also in Working Papers, Centre for Labour Market and Social Research, Danmark- (1997)
25. Simple Robust Testing of Regression Hypotheses
    Staff General Research Papers Archive, Iowa State University, Department of Economics View citations (140)
    See also Journal Article Simple Robust Testing of Regression Hypotheses, Econometrica, Econometric Society (2000) View citations (149) (2000)
26. Statistical Manifolds and Separate Inference
    Working Papers, Cornell University, Center for Analytic Economics

1999

27. Equilibrium Search with Human Capital Accumulation
    Working Papers, Centre for Labour Market and Social Research, Danmark- View citations (24)

1998

28. Approximate Distributions in Essentially Linear Models
    Working Papers, Centre for Labour Market and Social Research, Danmark- View citations (3)
    Also in Working Papers, Duke University, Department of Economics (1998) View citations (2)

1997

29. Equilibrium Search Models and The Transition from School to Work
    Working Papers, University of Iowa, Department of Economics View citations (8)
    Also in Labor and Demography, University Library of Munich, Germany (1997) View citations (6)
    See also Journal Article Equilibrium Search Models and the Transition from School to Work, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2001) View citations (59) (2001)

1996

30. American macroeconomics Between World War I and the Depression
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics View citations (1)
31. Fitting Equilibrium Search Models to Labor Market Data
    Econometrics, University Library of Munich, Germany
    Also in Working Papers, Centre for Labour Market and Social Research, Danmark- (1996)
    Working Papers, University of Iowa, Department of Economics (1995)
    Working Papers, University of California at Berkeley, Econometrics Laboratory Software Archive View citations (4)
    University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics (1996)

1995

32. Evolution and Equilibria Selection of Repeated Lattice Games
    Working Papers, Duke University, Department of Economics View citations (1)

1990

33. THE EMPIRICAL STATUS OF JOB SEARCH THEORY
    Working Papers, Pennsylvania State - Department of Economics
    See also Journal Article The empirical status of job search theory, Labour Economics, Elsevier (1995) (1995)
34. THE EXACT LIKELIHOOD FUNCTION FOR AN EMPIRICAL JOB SEARCH MODEL
    Working Papers, Tilburg - Center for Economic Research View citations (9)
    Also in Discussion Paper, Tilburg University, Center for Economic Research (1990)
    Other publications TiSEM, Tilburg University, School of Economics and Management (1990)
    See also Journal Article The Exact Likelihood Function for an Empirical Job Search Model, Econometric Theory, Cambridge University Press (1991) View citations (20) (1991)

1988

35. EMPIRICAL LABOR ECONOMICS IN THE SEARCH FRAMEWORK
    Working Papers, Pennsylvania State - Department of Economics View citations (1)

1984

36. How Long is a Spell of Unemployment?: Illusions and Biases in the Use of CPS Data
    NBER Working Papers, National Bureau of Economic Research, Inc
    See also Journal Article How Long Is a Spell of Unemployment? Illusions and Biases in the Use of CPS Data, Journal of Business & Economic Statistics, American Statistical Association (1985) View citations (13) (1985)

1982

37. TESTING NORMALITY IN ECONOMETRIC MODELS
    Economic Research Papers, University of Warwick - Department of Economics
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1982) View citations (1)
    See also Journal Article Testing normality in econometric models, Economics Letters, Elsevier (1983) View citations (50) (1983)

1979

38. An empirical job-search model, with a test of the constant reservation-wage hypothesis
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (71)
    See also Journal Article An Empirical Job-Search Model, with a Test of the Constant Reservation-Wage Hypothesis, Journal of Political Economy, University of Chicago Press (1979) View citations (88) (1979)

1975

39. A Bayesian Analysis of Labor Supply and Commodity Demand
    Working Papers, Princeton University, Department of Economics, Industrial Relations Section.
40. Bayesian Estimation of the Earnings Function
    Working Papers, Princeton University, Department of Economics, Industrial Relations Section.
41. Quadratic Utility, Labor Supply and Commodity Demand
    Working Papers, Princeton University, Department of Economics, Industrial Relations Section.
42. Wage and Wage Discrimination Across Regions
    Working Papers, Princeton University, Department of Economics, Industrial Relations Section.

Journal Articles

2017

1. Correlated defaults, temporal correlation, expert information and predictability of default rates
   Econometric Reviews, 2017, 36, (6-9), 699-712
   See also Working Paper Correlated Defaults, Temporal Correlation, Expert Information and Predictability of Default Rates, Working Papers (2009) (2009)
2. The smooth colonel and the reverend find common ground
   Econometric Reviews, 2017, 36, (1-3), 241-256 View citations (11)
   See also Working Paper The Smooth Colonel and the Reverend Find Common Ground, Department of Economics Working Papers (2013) View citations (1) (2013)

2014

3. Comment
   Journal of Business & Economic Statistics, 2014, 32, (3), 322-323

2011

4. Default estimation, correlated defaults, and expert information
   Journal of Applied Econometrics, 2011, 26, (2), 173-192 View citations (8)
   See also Working Paper Default Estimation, Correlated Defaults, and Expert Information, Working Papers (2008) View citations (1) (2008)

2010

5. Default Estimation and Expert Information
   Journal of Business & Economic Statistics, 2010, 28, (2), 320-328 View citations (12)
6. Improving robust model selection tests for dynamic models
   Econometrics Journal, 2010, 13, (2), 177-204 View citations (10)

2009

7. BANK FAILURE: EVIDENCE FROM THE COLOMBIAN FINANCIAL CRISIS
   The International Journal of Business and Finance Research, 2009, 3, (2), 15-31 View citations (27)
   See also Working Paper Bank Failure: Evidence from the Colombia Financial Crisis, Working Papers (2006) View citations (31) (2006)
8. Default estimation for low-default portfolios
   Journal of Empirical Finance, 2009, 16, (1), 164-173 View citations (18)
   See also Working Paper Default Estimation for Low-Default Portfolios, Working Papers (2006) (2006)
9. Evidence of Non-Markovian Behavior in the Process of Bank Rating Migrations
   Latin American Journal of Economics-formerly Cuadernos de Economía, 2009, 46, (133), 33-50 View citations (3)
   See also Working Paper Evidence of non-Markovian behavior in the process of bank rating migrations, Borradores de Economia (2007) View citations (2) (2007)
10. The smooth Colonel meets the Reverend
    Journal of Nonparametric Statistics, 2009, 21, (5), 521-533 View citations (1)
    See also Working Paper The Smooth Colonel Meets the Reverend, Working Papers (2008) View citations (4) (2008)

2008

11. Robust Nonnested Testing and the Demand for Money
    Journal of Business & Economic Statistics, 2008, 26, 9-17 View citations (3)

2007

12. A simulation estimator for testing the time homogeneity of credit rating transitions
    Journal of Empirical Finance, 2007, 14, (5), 818-835 View citations (18)
    See also Working Paper A Simulation Estimator for Testing the Time Homogeneity of Credit Rating Transition, Working Papers (2006) View citations (2) (2006)

2005

13. A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
    Econometric Theory, 2005, 21, (6), 1130-1164 View citations (243)
    See also Working Paper A New Asymptotic Theory for Heteroskedasticity-Autocorrelation Robust Tests, Working Papers (2005) View citations (209) (2005)
14. Software evaluation: EasyReg International
    International Journal of Forecasting, 2005, 21, (3), 609-616 View citations (5)

2002

15. HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
    Econometric Theory, 2002, 18, (6), 1350-1366 View citations (102)
16. Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
    Econometrica, 2002, 70, (5), 2093-2095 View citations (123)
    See also Working Paper Heteroskedasticity-Autocorrelation Robust Standard Errors Using the Bartlett Kernel without Truncation, Working Papers (2001) View citations (1) (2001)

2001

17. Equilibrium Search Models and the Transition from School to Work
    International Economic Review, 2001, 42, (2), 317-43 View citations (59)
    See also Working Paper Equilibrium Search Models and The Transition from School to Work, Working Papers (1997) View citations (8) (1997)
18. Simple Robust Testing of Hypotheses in Nonlinear Models
    Journal of the American Statistical Association, 2001, 96, 1088-1096 View citations (10)
    See also Working Paper Simple Robust Testing of Hypothesis in Non-Linear Models, Staff General Research Papers Archive (2001) View citations (5) (2001)
19. Specification and Estimation of Equilibrium Search Models
    Review of Economic Dynamics, 2001, 4, (1), 90-126 View citations (27)

2000

20. A Monte Carlo EM method for estimating multinomial probit models
    Computational Statistics & Data Analysis, 2000, 34, (1), 33-50 View citations (8)
21. Simple Robust Testing of Regression Hypotheses
    Econometrica, 2000, 68, (3), 695-714 View citations (149)
    See also Working Paper Simple Robust Testing of Regression Hypotheses, Staff General Research Papers Archive (2000) View citations (140) (2000)

1998

22. Bayesian Analysis of the Prototypal Search Model
    Journal of Business & Economic Statistics, 1998, 16, (2), 178-86 View citations (7)

1997

23. Inference in non-linear panel models with partially missing observations The case of the equilibrium search model
    Journal of Econometrics, 1997, 79, (2), 201-219 View citations (10)
24. One Day in the Life of a Very Common Stock
    The Review of Financial Studies, 1997, 10, (3), 805-35 View citations (257)

1996

25. Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow
    Journal of Finance, 1996, 51, (3), 811-33 View citations (211)

1995

26. Estimation of Equilibrium Wage Distributions with Heterogeneity
    Journal of Applied Econometrics, 1995, 10, (S), S119-31 View citations (51)
27. Introduction: The Microeconometrics of Dynamic Decision Making
    Journal of Applied Econometrics, 1995, 10, (S), S1-7 View citations (2)
28. Local Externalities and Societal Adoption of Technologies
    Journal of Evolutionary Economics, 1995, 5, (2), 103-17 View citations (15)
29. The empirical status of job search theory
    Labour Economics, 1995, 2, (1), 101-101
    Also in Labour Economics, 1993, 1, (1), 3-24 (1993) View citations (26)
    See also Working Paper THE EMPIRICAL STATUS OF JOB SEARCH THEORY, Working Papers (1990) (1990)

1994

30. Measurement Error in the Prototypal Job-Search Model
    Journal of Labor Economics, 1994, 12, (4), 618-39 View citations (19)
31. Menu Pricing: An Experimental Approach
    Journal of Business & Economic Statistics, 1994, 12, (3), 329-37 View citations (4)
32. On the existence of universally convergent mechanisms
    Journal of Economic Dynamics and Control, 1994, 18, (2), 299-316 View citations (5)

1993

33. An Equilibrium Analysis of Fiscal Policy with Uncertainty and Incomplete Markets
    International Economic Review, 1993, 34, (4), 935-52 View citations (9)

1991

34. The Exact Likelihood Function for an Empirical Job Search Model
    Econometric Theory, 1991, 7, (4), 464-486 View citations (20)
    See also Working Paper THE EXACT LIKELIHOOD FUNCTION FOR AN EMPIRICAL JOB SEARCH MODEL, Working Papers (1990) View citations (9) (1990)

1989

35. A value function arising in the economics of information
    Journal of Economic Dynamics and Control, 1989, 13, (2), 201-223 View citations (20)
36. Optimal Control of an Unknown Linear Process with Learning
    International Economic Review, 1989, 30, (3), 571-86 View citations (72)
37. Optimal Learning with Endogenous Data
    International Economic Review, 1989, 30, (4), 963-78 View citations (11)

1988

38. Controlling a Stochastic Process with Unknown Parameters
    Econometrica, 1988, 56, (5), 1045-64 View citations (49)
39. Economic Duration Data and Hazard Functions
    Journal of Economic Literature, 1988, 26, (2), 646-79 View citations (921)
40. Employment Contracts, Job Search Theory, and Labour Turnover: Preliminary Empirical Results
    Journal of Applied Econometrics, 1988, 3, (3), 169-86 View citations (2)

1987

41. A Proposition and an Example in the Theory of Job Search with Hours Constraints
    Journal of Labor Economics, 1987, 5, (2), 211-20 View citations (1)

1985

42. A score-type test based on higher-order derivatives
    Economics Letters, 1985, 18, (4), 301-303
43. An Equilibrium Analysis of Optimal Unemployment Insurance and Taxation
    The Quarterly Journal of Economics, 1985, 100, (Supplement), 989-1010 View citations (13)
44. Editor's introduction
    Journal of Econometrics, 1985, 28, (1), 1-3
45. Evidence on the Role of Education in Labor Turnover
    Journal of Human Resources, 1985, 20, (3), 445-452 View citations (14)
46. How Long Is a Spell of Unemployment? Illusions and Biases in the Use of CPS Data
    Journal of Business & Economic Statistics, 1985, 3, (2), 118-28 View citations (13)
    See also Working Paper How Long is a Spell of Unemployment?: Illusions and Biases in the Use of CPS Data, NBER Working Papers (1984) (1984)
47. Layoffs and duration dependence in a model of turnover
    Journal of Econometrics, 1985, 28, (1), 51-69 View citations (26)
48. Specification diagnostics based on Laguerre alternatives for econometric models of duration
    Journal of Econometrics, 1985, 28, (1), 135-154 View citations (13)

1984

49. A Simple Test for Heterogeneity in Exponential Models of Duration
    Journal of Labor Economics, 1984, 2, (4), 539-49 View citations (8)
50. Earnings, Unemployment, and the Allocation of Time Over Time
    The Review of Economic Studies, 1984, 51, (4), 559-578 View citations (58)
51. Local Asymptotic Specification Error Analysis
    Econometrica, 1984, 52, (4), 873-85 View citations (16)
52. Microeconometric evidence on the neoclassical model of demand
    Journal of Econometrics, 1984, 25, (3), 285-302 View citations (4)

1983

53. An integral occuring in duration models with heterogeneity
    Economics Letters, 1983, 11, (3), 251-256 View citations (2)
54. Testing normality in econometric models
    Economics Letters, 1983, 11, (1-2), 123-127 View citations (50)
    See also Working Paper TESTING NORMALITY IN ECONOMETRIC MODELS, Economic Research Papers (1982) (1982)

1982

55. Identifying restrictions in limited information analysis of the schooling coefficient in a wage equation
    Journal of Econometrics, 1982, 18, (2), 219-237

1981

56. Individual Effects in a Nonlinear Model: Explicit Treatment of Heterogeneity in the Empirical Job-Search Model
    Econometrica, 1981, 49, (4), 965-79 View citations (16)
57. Limited Information Analysis of a Small Underidentified Macroeconomic Model
    International Economic Review, 1981, 22, (2), 429-42 View citations (1)
58. The Economics of the Diaspora: Discrimination and Occupational Structure
    Economic Development and Cultural Change, 1981, 29, (3), 517-34 View citations (34)

1980

59. A Note on Regime Classification in Disequilibrium Models
    The Review of Economic Studies, 1980, 47, (3), 637-639 View citations (10)
60. A Note on Switching Regressions and Logistic Discrimination
    Econometrica, 1980, 48, (4), 1065-69 View citations (11)
61. Estimation of fixed effect models for time series of cross-sections with arbitrary intertemporal covariance
    Journal of Econometrics, 1980, 14, (2), 195-202 View citations (53)

1979

62. An Empirical Job-Search Model, with a Test of the Constant Reservation-Wage Hypothesis
    Journal of Political Economy, 1979, 87, (1), 89-107 View citations (88)
    See also Working Paper An empirical job-search model, with a test of the constant reservation-wage hypothesis, LIDAM Reprints CORE (1979) View citations (71) (1979)
63. On the Value of Sample Separation Information
    Econometrica, 1979, 47, (4), 997-1003 View citations (3)
64. Population Heterogeneity and Inference from Panel Data on the Effects of Vocational Education
    Journal of Political Economy, 1979, 87, (5), S213-26 View citations (4)

1978

65. Discrete Parameter Variation: Efficient Estimation of a Switching Regression Model
    Econometrica, 1978, 46, (2), 427-34 View citations (89)
66. Federally subsidized occupational training and the employment and earnings of male trainees
    Journal of Econometrics, 1978, 8, (1), 111-125 View citations (5)

1977

67. A Bayesian Analysis of Commodity Demand and Labor Supply
    International Economic Review, 1977, 18, (1), 209-18 View citations (2)
68. Union Impact and Wage Discrimination by Region
    Journal of Human Resources, 1977, 12, (4), 521-534 View citations (7)

Books

2006

1. Search Models and Applied Labor Economics
   Cambridge Books, Cambridge University Press View citations (2)
   Also in Cambridge Books, Cambridge University Press (1989) View citations (20)

1991

2. Empirical Labor Economics: The Search Approach
   OUP Catalogue, Oxford University Press View citations (336)

Chapters

1981

1. Structural and Reduced Form Approaches to Analyzing Unemployment Durations
   A chapter in Studies in Labor Markets, 1981, pp 171-186 View citations (1)