Details about Nicholas M. Kiefer
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Short-id: pki305
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Working Papers
2015
- Counting Processes for Retail Default Modeling
CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (1)
2013
- 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
- The Bayesian Approach to Default Risk: A Guide
Working Papers, Cornell University, Center for Analytic Economics View citations (4)
2009
- 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)
- Geometry of the Log-Likelihood Ratio Statistic in Misspecified Models
Working Papers, Cornell University, Center for Analytic Economics
- Incentive-Compatible Elicitation of Quantiles
Working Papers, Cornell University, Center for Analytic Economics
- The Maximum Entropy Distribution for Stochastically Ordered Random Variables with Fixed Marginals
Working Papers, Cornell University, Center for Analytic Economics
2008
- Annual Default Rates and Probably Less Than Long-Run Average Annual Default Rates
Working Papers, Cornell University, Center for Analytic Economics
- 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)
- 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
- Default Estimation and Expert Information: All Likely Dataset Analysis and Robust Validation
Working Papers, Cornell University, Center for Analytic Economics
- Development and Validation of Credit-Scoring Models
Working Papers, Cornell University, Center for Analytic Economics View citations (1)
- Evidence of non-Markovian behavior in the process of bank rating migrations
Borradores de Economia, Banco de la Republica de Colombia View citations (1)
Also in Borradores de Economia, Banco de la Republica (2007) View citations (2) 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
- 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)
- 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)
- 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)
- Explaining time to bank failure in Colombia during the financial crisis of the late 1990s
Borradores de Economia, Banco de la Republica de Colombia
- Robust Model Selection in Dynamic Models with an Application to Comparing Predictive Accuracy
Working Papers, Cornell University, Center for Analytic Economics View citations (1)
- Specification and Informational Issues in Credit Scoring
Working Papers, Cornell University, Center for Analytic Economics View citations (4)
2005
- 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
- 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 (122) (2002)
- 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
- A New Approach to the Asymptotics of HAC Robust Testing in Econometrics
Working Papers, Cornell University, Center for Analytic Economics
- 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)
- 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)
- Statistical Manifolds and Separate Inference
Working Papers, Cornell University, Center for Analytic Economics
1999
- Equilibrium Search with Human Capital Accumulation
Working Papers, Centre for Labour Market and Social Research, Danmark- View citations (24)
1998
- Approximate Distributions in Essentially Linear Models
Working Papers, Duke University, Department of Economics View citations (2)
Also in Working Papers, Centre for Labour Market and Social Research, Danmark- (1998) View citations (3)
1997
- Equilibrium Search Models and The Transition from School to Work
Labor and Demography, University Library of Munich, Germany View citations (6)
Also in Working Papers, University of Iowa, Department of Economics (1997) View citations (8)
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
- 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)
- Fitting Equilibrium Search Models to Labor Market Data
Econometrics, University Library of Munich, Germany 
Also in University of Western Ontario, Departmental Research Report Series, University of Western Ontario, Department of Economics (1996)  Working Papers, University of California at Berkeley, Econometrics Laboratory Software Archive View citations (4) Working Papers, Centre for Labour Market and Social Research, Danmark- (1996) Working Papers, University of Iowa, Department of Economics (1995)
1995
- Evolution and Equilibria Selection of Repeated Lattice Games
Working Papers, Duke University, Department of Economics View citations (1)
1990
- 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)
- THE EXACT LIKELIHOOD FUNCTION FOR AN EMPIRICAL JOB SEARCH MODEL
Working Papers, Tilburg - Center for Economic Research View citations (9)
Also in Other publications TiSEM, Tilburg University, School of Economics and Management (1990)  Discussion Paper, Tilburg University, Center for Economic Research (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
- EMPIRICAL LABOR ECONOMICS IN THE SEARCH FRAMEWORK
Working Papers, Pennsylvania State - Department of Economics View citations (1)
1984
- 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
- 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
- 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 (70)
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 (87) (1979)
1975
- A Bayesian Analysis of Labor Supply and Commodity Demand
Working Papers, Princeton University, Department of Economics, Industrial Relations Section.
- Bayesian Estimation of the Earnings Function
Working Papers, Princeton University, Department of Economics, Industrial Relations Section.
- Quadratic Utility, Labor Supply and Commodity Demand
Working Papers, Princeton University, Department of Economics, Industrial Relations Section.
- Wage and Wage Discrimination Across Regions
Working Papers, Princeton University, Department of Economics, Industrial Relations Section.
Journal Articles
2017
- 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)
- 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
- Comment
Journal of Business & Economic Statistics, 2014, 32, (3), 322-323
2011
- 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
- Default Estimation and Expert Information
Journal of Business & Economic Statistics, 2010, 28, (2), 320-328 View citations (12)
- Improving robust model selection tests for dynamic models
Econometrics Journal, 2010, 13, (2), 177-204 View citations (10)
2009
- 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)
- 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)
- 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 (1) (2007)
- 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
- Robust Nonnested Testing and the Demand for Money
Journal of Business & Economic Statistics, 2008, 26, 9-17 View citations (3)
2007
- 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
- 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)
- Software evaluation: EasyReg International
International Journal of Forecasting, 2005, 21, (3), 609-616 View citations (5)
2002
- HETEROSKEDASTICITY-AUTOCORRELATION ROBUST TESTING USING BANDWIDTH EQUAL TO SAMPLE SIZE
Econometric Theory, 2002, 18, (6), 1350-1366 View citations (102)
- Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
Econometrica, 2002, 70, (5), 2093-2095 View citations (122)
See also Working Paper Heteroskedasticity-Autocorrelation Robust Standard Errors Using the Bartlett Kernel without Truncation, Working Papers (2001) View citations (1) (2001)
2001
- 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, Labor and Demography (1997) View citations (6) (1997)
- 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)
- Specification and Estimation of Equilibrium Search Models
Review of Economic Dynamics, 2001, 4, (1), 90-126 View citations (27)
2000
- A Monte Carlo EM method for estimating multinomial probit models
Computational Statistics & Data Analysis, 2000, 34, (1), 33-50 View citations (8)
- 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
- Bayesian Analysis of the Prototypal Search Model
Journal of Business & Economic Statistics, 1998, 16, (2), 178-86 View citations (7)
1997
- 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)
- One Day in the Life of a Very Common Stock
The Review of Financial Studies, 1997, 10, (3), 805-35 View citations (257)
1996
- Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow
Journal of Finance, 1996, 51, (3), 811-33 View citations (211)
1995
- Estimation of Equilibrium Wage Distributions with Heterogeneity
Journal of Applied Econometrics, 1995, 10, (S), S119-31 View citations (51)
- Introduction: The Microeconometrics of Dynamic Decision Making
Journal of Applied Econometrics, 1995, 10, (S), S1-7 View citations (2)
- Local Externalities and Societal Adoption of Technologies
Journal of Evolutionary Economics, 1995, 5, (2), 103-17 View citations (15)
- 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
- Measurement Error in the Prototypal Job-Search Model
Journal of Labor Economics, 1994, 12, (4), 618-39 View citations (19)
- Menu Pricing: An Experimental Approach
Journal of Business & Economic Statistics, 1994, 12, (3), 329-37 View citations (4)
- On the existence of universally convergent mechanisms
Journal of Economic Dynamics and Control, 1994, 18, (2), 299-316 View citations (5)
1993
- An Equilibrium Analysis of Fiscal Policy with Uncertainty and Incomplete Markets
International Economic Review, 1993, 34, (4), 935-52 View citations (9)
1991
- 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
- A value function arising in the economics of information
Journal of Economic Dynamics and Control, 1989, 13, (2), 201-223 View citations (20)
- Optimal Control of an Unknown Linear Process with Learning
International Economic Review, 1989, 30, (3), 571-86 View citations (72)
- Optimal Learning with Endogenous Data
International Economic Review, 1989, 30, (4), 963-78 View citations (11)
1988
- Controlling a Stochastic Process with Unknown Parameters
Econometrica, 1988, 56, (5), 1045-64 View citations (49)
- Economic Duration Data and Hazard Functions
Journal of Economic Literature, 1988, 26, (2), 646-79 View citations (920)
- Employment Contracts, Job Search Theory, and Labour Turnover: Preliminary Empirical Results
Journal of Applied Econometrics, 1988, 3, (3), 169-86 View citations (2)
1987
- 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
- A score-type test based on higher-order derivatives
Economics Letters, 1985, 18, (4), 301-303
- An Equilibrium Analysis of Optimal Unemployment Insurance and Taxation
The Quarterly Journal of Economics, 1985, 100, (Supplement), 989-1010 View citations (13)
- Editor's introduction
Journal of Econometrics, 1985, 28, (1), 1-3
- Evidence on the Role of Education in Labor Turnover
Journal of Human Resources, 1985, 20, (3), 445-452 View citations (14)
- 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)
- Layoffs and duration dependence in a model of turnover
Journal of Econometrics, 1985, 28, (1), 51-69 View citations (26)
- Specification diagnostics based on Laguerre alternatives for econometric models of duration
Journal of Econometrics, 1985, 28, (1), 135-154 View citations (13)
1984
- A Simple Test for Heterogeneity in Exponential Models of Duration
Journal of Labor Economics, 1984, 2, (4), 539-49 View citations (8)
- Earnings, Unemployment, and the Allocation of Time Over Time
The Review of Economic Studies, 1984, 51, (4), 559-578 View citations (58)
- Local Asymptotic Specification Error Analysis
Econometrica, 1984, 52, (4), 873-85 View citations (16)
- Microeconometric evidence on the neoclassical model of demand
Journal of Econometrics, 1984, 25, (3), 285-302 View citations (4)
1983
- An integral occuring in duration models with heterogeneity
Economics Letters, 1983, 11, (3), 251-256 View citations (2)
- 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
- Identifying restrictions in limited information analysis of the schooling coefficient in a wage equation
Journal of Econometrics, 1982, 18, (2), 219-237
1981
- 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)
- Limited Information Analysis of a Small Underidentified Macroeconomic Model
International Economic Review, 1981, 22, (2), 429-42 View citations (1)
- The Economics of the Diaspora: Discrimination and Occupational Structure
Economic Development and Cultural Change, 1981, 29, (3), 517-34 View citations (34)
1980
- A Note on Regime Classification in Disequilibrium Models
The Review of Economic Studies, 1980, 47, (3), 637-639 View citations (10)
- A Note on Switching Regressions and Logistic Discrimination
Econometrica, 1980, 48, (4), 1065-69 View citations (10)
- 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
- 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 (87)
See also Working Paper An empirical job-search model, with a test of the constant reservation-wage hypothesis, LIDAM Reprints CORE (1979) View citations (70) (1979)
- On the Value of Sample Separation Information
Econometrica, 1979, 47, (4), 997-1003 View citations (3)
- 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
- Discrete Parameter Variation: Efficient Estimation of a Switching Regression Model
Econometrica, 1978, 46, (2), 427-34 View citations (88)
- Federally subsidized occupational training and the employment and earnings of male trainees
Journal of Econometrics, 1978, 8, (1), 111-125 View citations (5)
1977
- A Bayesian Analysis of Commodity Demand and Labor Supply
International Economic Review, 1977, 18, (1), 209-18 View citations (2)
- Union Impact and Wage Discrimination by Region
Journal of Human Resources, 1977, 12, (4), 521-534 View citations (7)
Books
2006
- 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
- Empirical Labor Economics: The Search Approach
OUP Catalogue, Oxford University Press View citations (336)
Chapters
1981
- Structural and Reduced Form Approaches to Analyzing Unemployment Durations
A chapter in Studies in Labor Markets, 1981, pp 171-186 View citations (1)
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