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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 2016-07-24. 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 Downloads

2013

  1. The Smooth Colonel and the Reverend Find Common Ground
    Department of Economics Working Papers, McMaster University Downloads View citations (1)

2010

  1. The Bayesian Approach to Default Risk: A Guide
    Working Papers, Cornell University, Center for Analytic Economics Downloads

2009

  1. Correlated Defaults, Temporal Correlation, Expert Information and Predictability of Default Rates
    Working Papers, Cornell University, Center for Analytic Economics Downloads
  2. Geometry of the Log-Likelihood Ratio Statistic in Misspecified Models
    Working Papers, Cornell University, Center for Analytic Economics Downloads View citations (1)
  3. Incentive-Compatible Elicitation of Quantiles
    Working Papers, Cornell University, Center for Analytic Economics Downloads
  4. The Maximum Entropy Distribution for Stochastically Ordered Random Variables with Fixed Marginals
    Working Papers, Cornell University, Center for Analytic Economics Downloads

2008

  1. Annual Default Rates and Probably Less Than Long-Run Average Annual Default Rates
    Working Papers, Cornell University, Center for Analytic Economics Downloads
  2. Default Estimation, Correlated Defaults, and Expert Information
    Working Papers, Cornell University, Center for Analytic Economics Downloads
    See also Journal Article in Journal of Applied Econometrics (2011)
  3. The Smooth Colonel Meets the Reverend
    Working Papers, Cornell University, Center for Analytic Economics Downloads View citations (3)

2007

  1. Default Estimation and Expert Information: All Likely Dataset Analysis and Robust Validation
    Working Papers, Cornell University, Center for Analytic Economics Downloads
  2. Development and Validation of Credit-Scoring Models
    Working Papers, Cornell University, Center for Analytic Economics Downloads View citations (1)
  3. Evidence of non-Markovian behavior in the process of bank rating migrations
    BORRADORES DE ECONOMIA, BANCO DE LA REPÚBLICA Downloads View citations (1)
    Also in BORRADORES DE ECONOMIA, BANCO DE LA REPÚBLICA (2007) Downloads View citations (2)
    Borradores de Economia, Banco de la Republica de Colombia (2007) Downloads

    See also Journal Article in Latin American Journal of Economics-formerly Cuadernos de Economía (2009)

2006

  1. A Simulation Estimator for Testing the Time Homogeneity of Credit Rating Transition
    Working Papers, Cornell University, Center for Analytic Economics Downloads
    See also Journal Article in Journal of Empirical Finance (2007)
  2. Bank Failure: Evidence from the Colombia Financial Crisis
    Working Papers, Cornell University, Center for Analytic Economics Downloads View citations (27)
    See also Journal Article in The International Journal of Business and Finance Research (2009)
  3. Default Estimation for Low-Default Portfolios
    Working Papers, Cornell University, Center for Analytic Economics Downloads
    See also Journal Article in Journal of Empirical Finance (2009)
  4. Explaining time to bank failure in Colombia during the financial crisis of the late 1990s
    Borradores de Economia, Banco de la Republica de Colombia Downloads
  5. Robust Model Selection in Dynamic Models with an Application to Comparing Predictive Accuracy
    Working Papers, Cornell University, Center for Analytic Economics Downloads View citations (1)
  6. Specification and Informational Issues in Credit Scoring
    Working Papers, Cornell University, Center for Analytic Economics Downloads View citations (3)

2005

  1. A New Asymptotic Theory for Heteroskedasticity-Autocorrelation Robust Tests
    Working Papers, Cornell University, Center for Analytic Economics Downloads View citations (118)
    See also Journal Article in Econometric Theory (2005)

2001

  1. Heteroskedasticity-Autocorrelation Robust Standard Errors Using the Bartlett Kernel without Truncation
    Working Papers, Cornell University, Center for Analytic Economics Downloads View citations (1)
    See also Journal Article in Econometrica (2002)
  2. Simple Robust Testing of Hypothesis in Non-Linear Models
    Staff General Research Papers Archive, Iowa State University, Department of Economics View citations (4)
    See also Journal Article in Journal of the American Statistical Association (2001)

2000

  1. A New Approach to the Asymptotics of HAC Robust Testing in Econometrics
    Working Papers, Cornell University, Center for Analytic Economics Downloads
  2. Panel Data, Local Cuts, and Orthogeodesic Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (4)
    Also in Working Papers, Centre for Labour Market and Social Research, Danmark- (1997)
  3. Simple Robust Testing of Regression Hypotheses
    Staff General Research Papers Archive, Iowa State University, Department of Economics View citations (99)
    See also Journal Article in Econometrica (2000)
  4. Statistical Manifolds and Separate Inference
    Working Papers, Cornell University, Center for Analytic Economics

1999

  1. Equilibrium Search with Human Capital Accumulation
    Working Papers, Centre for Labour Market and Social Research, Danmark- View citations (11)

1998

  1. 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) Downloads View citations (2)

1997

  1. Equilibrium Search Models and The Transition from School to Work
    Labor and Demography, University Library of Munich, Germany Downloads View citations (6)
    Also in Working Papers, University of Iowa, Department of Economics (1997) View citations (8)

    See also Journal Article in International Economic Review (2001)

1996

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

1995

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

1990

  1. THE EMPIRICAL STATUS OF JOB SEARCH THEORY
    Working Papers, Pennsylvania State - Department of Economics
    See also Journal Article in Labour Economics (1995)
  2. 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) Downloads

    See also Journal Article in Econometric Theory (1991)

1988

  1. EMPIRICAL LABOR ECONOMICS IN THE SEARCH FRAMEWORK
    Working Papers, Pennsylvania State - Department of Economics

1984

  1. 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 Downloads
    See also Journal Article in Journal of Business & Economic Statistics (1985)

1982

  1. Testing Normality in Econometric Models
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads View citations (1)
    See also Journal Article in Economics Letters (1983)

1979

  1. An empirical job-search model, with a test of the constant reservation-wage hypothesis
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (3)
    See also Journal Article in Journal of Political Economy (1979)

1975

  1. A Bayesian Analysis of Labor Supply and Commodity Demand
    Working Papers, Princeton University, Department of Economics, Industrial Relations Section. Downloads
  2. Bayesian Estimation of the Earnings Function
    Working Papers, Princeton University, Department of Economics, Industrial Relations Section. Downloads
  3. Quadratic Utility, Labor Supply and Commodity Demand
    Working Papers, Princeton University, Department of Economics, Industrial Relations Section. Downloads
  4. Wage and Wage Discrimination Across Regions
    Working Papers, Princeton University, Department of Economics, Industrial Relations Section. Downloads

Journal Articles

2014

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

2011

  1. Default estimation, correlated defaults, and expert information
    Journal of Applied Econometrics, 2011, 26, (2), 173-192 Downloads View citations (4)
    See also Working Paper (2008)

2010

  1. Default Estimation and Expert Information
    Journal of Business & Economic Statistics, 2010, 28, (2), 320-328 Downloads View citations (9)
  2. Improving robust model selection tests for dynamic models
    Econometrics Journal, 2010, 13, (2), 177-204 Downloads View citations (6)

2009

  1. BANK FAILURE: EVIDENCE FROM THE COLOMBIAN FINANCIAL CRISIS
    The International Journal of Business and Finance Research, 2009, 3, (2), 15-31 Downloads View citations (12)
    See also Working Paper (2006)
  2. Default estimation for low-default portfolios
    Journal of Empirical Finance, 2009, 16, (1), 164-173 Downloads View citations (13)
    See also Working Paper (2006)
  3. 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 Downloads View citations (1)
    See also Working Paper (2007)

2008

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

2007

  1. A simulation estimator for testing the time homogeneity of credit rating transitions
    Journal of Empirical Finance, 2007, 14, (5), 818-835 Downloads View citations (13)
    See also Working Paper (2006)

2005

  1. A NEW ASYMPTOTIC THEORY FOR HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTS
    Econometric Theory, 2005, 21, (06), 1130-1164 Downloads View citations (153)
    See also Working Paper (2005)
  2. Software evaluation: EasyReg International
    International Journal of Forecasting, 2005, 21, (3), 609-616 Downloads View citations (5)

2002

  1. HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
    Econometric Theory, 2002, 18, (06), 1350-1366 Downloads View citations (83)
  2. Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
    Econometrica, 2002, 70, (5), 2093-2095 Downloads View citations (71)
    See also Working Paper (2001)

2001

  1. Equilibrium Search Models and the Transition from School to Work
    International Economic Review, 2001, 42, (2), 317-43 View citations (40)
    See also Working Paper (1997)
  2. Simple Robust Testing of Hypotheses in Nonlinear Models
    Journal of the American Statistical Association, 2001, 96, 1088-1096 Downloads View citations (8)
    See also Working Paper (2001)
  3. Specification and Estimation of Equilibrium Search Models
    Review of Economic Dynamics, 2001, 4, (1), 90-126 Downloads View citations (25)

2000

  1. A Monte Carlo EM method for estimating multinomial probit models
    Computational Statistics & Data Analysis, 2000, 34, (1), 33-50 Downloads View citations (8)
  2. Simple Robust Testing of Regression Hypotheses
    Econometrica, 2000, 68, (3), 695-714 View citations (109)
    See also Working Paper (2000)

1998

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

1997

  1. 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 Downloads View citations (10)
  2. One Day in the Life of a Very Common Stock
    Review of Financial Studies, 1997, 10, (3), 805-35 View citations (185)

1996

  1. Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow
    Journal of Finance, 1996, 51, (3), 811-33 Downloads View citations (114)

1995

  1. Estimation of Equilibrium Wage Distributions with Heterogeneity
    Journal of Applied Econometrics, 1995, 10, (S), S119-31 Downloads View citations (43)
  2. Introduction: The Microeconometrics of Dynamic Decision Making
    Journal of Applied Econometrics, 1995, 10, (S), S1-7 Downloads View citations (2)
  3. Local Externalities and Societal Adoption of Technologies
    Journal of Evolutionary Economics, 1995, 5, (2), 103-17 View citations (13)
  4. The empirical status of job search theory
    Labour Economics, 1995, 2, (1), 101-101 Downloads
    Also in Labour Economics, 1993, 1, (1), 3-24 (1993) Downloads View citations (25)

    See also Working Paper (1990)

1994

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

1993

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

1991

  1. The Exact Likelihood Function for an Empirical Job Search Model
    Econometric Theory, 1991, 7, (04), 464-486 Downloads View citations (18)
    See also Working Paper (1990)

1989

  1. A value function arising in the economics of information
    Journal of Economic Dynamics and Control, 1989, 13, (2), 201-223 Downloads View citations (18)
  2. Optimal Control of an Unknown Linear Process with Learning
    International Economic Review, 1989, 30, (3), 571-86 Downloads View citations (57)
  3. Optimal Learning with Endogenous Data
    International Economic Review, 1989, 30, (4), 963-78 Downloads View citations (8)

1988

  1. Controlling a Stochastic Process with Unknown Parameters
    Econometrica, 1988, 56, (5), 1045-64 Downloads View citations (34)
  2. Economic Duration Data and Hazard Functions
    Journal of Economic Literature, 1988, 26, (2), 646-79 Downloads View citations (765)
  3. Employment Contracts, Job Search Theory, and Labour Turnover: Preliminary Empirical Results
    Journal of Applied Econometrics, 1988, 3, (3), 169-86 Downloads View citations (1)

1987

  1. A Proposition and an Example in the Theory of Job Search with Hours Constraints
    Journal of Labor Economics, 1987, 5, (2), 211-20 Downloads View citations (1)
  2. Estimation of ARCH Models–Solution
    Econometric Theory, 1987, 3, (03), 466-466 Downloads

1985

  1. A score-type test based on higher-order derivatives
    Economics Letters, 1985, 18, (4), 301-303 Downloads
  2. An Equilibrium Analysis of Optimal Unemployment Insurance and Taxation
    The Quarterly Journal of Economics, 1985, 100, (Supplement), 989-1010 Downloads View citations (12)
  3. Editor's introduction
    Journal of Econometrics, 1985, 28, (1), 1-3 Downloads
  4. Evidence on the Role of Education in Labor Turnover
    Journal of Human Resources, 1985, 20, (3), 445-452 Downloads View citations (12)
  5. 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 (7)
    See also Working Paper (1984)
  6. Layoffs and duration dependence in a model of turnover
    Journal of Econometrics, 1985, 28, (1), 51-69 Downloads View citations (22)
  7. Specification diagnostics based on Laguerre alternatives for econometric models of duration
    Journal of Econometrics, 1985, 28, (1), 135-154 Downloads View citations (9)

1984

  1. A Simple Test for Heterogeneity in Exponential Models of Duration
    Journal of Labor Economics, 1984, 2, (4), 539-49 Downloads View citations (4)
  2. Earnings, Unemployment, and the Allocation of Time Over Time
    Review of Economic Studies, 1984, 51, (4), 559-578 Downloads View citations (42)
  3. Local Asymptotic Specification Error Analysis
    Econometrica, 1984, 52, (4), 873-85 Downloads View citations (14)
  4. Microeconometric evidence on the neoclassical model of demand
    Journal of Econometrics, 1984, 25, (3), 285-302 Downloads View citations (4)

1983

  1. An integral occuring in duration models with heterogeneity
    Economics Letters, 1983, 11, (3), 251-256 Downloads View citations (1)
  2. Testing normality in econometric models
    Economics Letters, 1983, 11, (1-2), 123-127 Downloads View citations (36)
    See also Working Paper (1982)

1982

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

1981

  1. Individual Effects in a Nonlinear Model: Explicit Treatment of Heterogeneity in the Empirical Job-Search Model
    Econometrica, 1981, 49, (4), 965-79 Downloads View citations (7)
  2. Limited Information Analysis of a Small Underidentified Macroeconomic Model
    International Economic Review, 1981, 22, (2), 429-42 Downloads View citations (1)
  3. The Economics of the Diaspora: Discrimination and Occupational Structure
    Economic Development and Cultural Change, 1981, 29, (3), 517-34 Downloads View citations (19)

1980

  1. A Note on Regime Classification in Disequilibrium Models
    Review of Economic Studies, 1980, 47, (3), 637-639 Downloads View citations (8)
  2. A Note on Switching Regressions and Logistic Discrimination
    Econometrica, 1980, 48, (4), 1065-69 Downloads View citations (4)
  3. Estimation of fixed effect models for time series of cross-sections with arbitrary intertemporal covariance
    Journal of Econometrics, 1980, 14, (2), 195-202 Downloads View citations (34)

1979

  1. An Empirical Job-Search Model, with a Test of the Constant Reservation-Wage Hypothesis
    Journal of Political Economy, 1979, 87, (1), 89-107 Downloads View citations (54)
    See also Working Paper (1979)
  2. On the Value of Sample Separation Information
    Econometrica, 1979, 47, (4), 997-1003 Downloads View citations (3)
  3. Population Heterogeneity and Inference from Panel Data on the Effects of Vocational Education
    Journal of Political Economy, 1979, 87, (5), S213-26 Downloads View citations (3)

1978

  1. Discrete Parameter Variation: Efficient Estimation of a Switching Regression Model
    Econometrica, 1978, 46, (2), 427-34 Downloads View citations (65)
  2. Federally subsidized occupational training and the employment and earnings of male trainees
    Journal of Econometrics, 1978, 8, (1), 111-125 Downloads View citations (4)

1977

  1. A Bayesian Analysis of Commodity Demand and Labor Supply
    International Economic Review, 1977, 18, (1), 209-18 Downloads View citations (1)

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 (16)

1991

  1. Empirical Labor Economics: The Search Approach
    OUP Catalogue, Oxford University Press View citations (209)
 
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