Curriculum Vita NICHOLAS M.
KIEFER February 2012
CITIZENSHIP: United States
ADDRESS: Department of
Economics
Cornell University
490 Uris Hall
Ithaca, N.Y.
14850-7601
Secretary Amy Moesch:
(607) 255-5617
Email: nicholas.kiefer@CORNELL.EDU
FAX:
607-255-2818
http://www.arts.cornell.edu/econ/kiefer
EDUCATION: B.A. 1972,
Florida State University
M.A. 1976, Princeton University
Ph.D. 1976, Princeton University
Dissertation: "Econometric Essays in Labor
Economics"
PROFESSIONAL POSITIONS:
Ta-Chung Liu Professor of
Economics, 1996 - present.
Henry Scarborough Professor of
Social Science, 1991 - 1996.
Visiting
Professor, Aarhus University, 1995, 1999.
Director, Center for Analytic
Economics, Cornell University, July 1992 - June 1995.
Professor, Department of
Economics, Cornell University, 1985 - present.
Associate Professor, Department
of Economics, Cornell University, 1980 - 1985.
Member of the Graduate Field of
Statistics, Cornell University, 1985 - present.
Member of the Graduate Field of
Hotel Administration, Cornell University, 1993 - present.
Research Associate, Economic
Research Center, National Opinion Research Center, University
of Chicago, (Senior Study Director, NORC, 1978-79), 1979 - 1986.
Assistant Professor, Department
of Economics, University of Chicago, 1976 - 1980.
Research Associate, CORE, Universite Catholique de Louvain,
1978 - 1979.
NIMH Postdoctoral Fellow, 1976
- 1978.
EDITORSHIPS AND SERVICE:
Program Committee,
Conference on Info-Metrics across the Sciences, American University, DC, April,
2011.
Program Committee,
Conference on Info-Metrics and Nonparametric Inference, UC Riverside, Nov.
2012.
Co-Organizer, Conference on
Credit Rating and Scoring Models, Alexandria, VA, May 17-19, 2004. Sponsored by the US Department of the Treasury, Office of the
Comptroller of the Currency.
Organizing Committee, Clarence
Tow Conference in Search and Matching Models of the Distribution of Income,
University of Iowa, August 3-5, 2000.
Organizing
Committee, Conference on Panel Data and Structural Labour
Market Models, Sandbjerg, Denmark, June 13-17, 1998.
Program Committee
(Econometrics), Econometric Society World Meetings, Tokyo, 1995
Program
Committee (Information and Learning), Econometric Society North American
Meetings, 1993.
Program
Committee (Econometrics), Econometric Society European Meetings, Copenhagen,
1987.
Co-editor, Journal of
Applied Econometrics, 1985 - 1995.
Member of the Editorial Board, Econometric
Theory, 1984 - 1990.
Member
of the Editorial Board, Journal of Applied Econometrics, 1996 - present.
Associate Editor, Journal of
Econometrics, 1979 - 1985.
Host of the
21st NBER-NSF Seminar on Bayesian Inference in Econometrics and Statistics
(Cornell), 1981.
Program
Committee (Labor Economics), Winter Meetings of the Economic Society, 1981.
Member of the
Leonard J. Savage Award Committee (awards for outstanding dissertations in
Bayesian econometrics and statistics), 1981 - 1996, Chairman 1990 - 1992.
Local
Arrangements Chairman, Summer Meetings of the Econometric Society, 1982.
Program
Committee (Econometrics), Summer Meetings of the Econometric Society, 1983.
FELLOWSHIPS AND GRANTS:
Fellow of the
Econometric Society, 1989.
John Simon
Guggenheim Memorial Fellow, 1986.
Alfred P. Sloan Foundation
Grant, 2010-2012,
Expert Information and Risk Management in Financial Institutions:
Bayesian Methods for Reasoning about Risk, $183,809 [continuing]
National Science Foundation
Grant (Dissertation Grant for Kurt Lavetti), Labor
Supply Decisions and Fatality Risk, $8400, 2009 [continuing]
National Science Foundation
Research Grant
(SES-0095211), $230,000, 2001-2002.
National
Science Foundation Grant, SBR-9631583, Economics and Econometrics of Trading in
Financial Markets (with D. Easley and M. O’Hara), 1997-1999.
National Science Foundation
Grant, SBR-9320889, The Information Content of Trades
(with D. Easley and M. O’Hara), 1994 - 1996.
National Science Foundation
Grant, SES91-22253, Equilibrium Search Theory and Estimation of Dynamic
Monopsony Models (with G.R. Neumann), 1992 - 1994.
National Science Foundation
Grant, IRI-9005849, Coordination of Distributed Information and Decisions (with
V. Anantharam and T. Berger), 1990 - 1992.
National
Science Foundation Grant, SES-8821160, Optimal Learning in Uncertain
Environments, 1988 - 1990.
National Science Foundation
Grant, SES-8608346, Beliefs of Economic Agents in Uncertain Environments, 1986
- 1988.
National
Science Foundation Grant, INT-8420343, U.S. Denmark Cooperative Research in
Labor Market Dynamics (travel grant), 1985.
National Science Foundation
Grant, SES-8305766, Empirical Analysis of Employment Contracts and Labor Market
Dynamics, 1983 - 1985.
National Science Foundation
Grant, SES-7912406, Search - Theoretic Explanations of Unemployment: Empirical
Methods in Testing Probabilistic Models (with G.R. Neumann), 1980 - 1982.
National Science Foundation
Grant, SOC-7805191, Econometric Models of Truncation and Switching, The Value
of Information and Labor Market Applications, 1978 - 1980.
Center for
Operations Research and Econometrics, research fellowship (Universite
Catholique de Louvain), 1978 -1979.
RECENT PRESENTATIONS
(Selected):
Panelist, Conference on
Information Theory and Shrinkage Estimation, American University, DC, Nov.
2011.
Panelist, Wharton Roundtable
on Financial Risk, May 2011.
Invited Speaker, "The Bayesian Approach to Default Risk Analysis
and the Prediction of Default Rates,” Cowles Foundation Conference on Bayesian
Semi/Nonparametric Econometrics and Statistics, Yale University, 2011.
Invited
Participant, Conference in honor of Dale T. Mortensen (honoring his Nobel),
Northwestern University, 2011.
Invited
Lecture Series on Duration Analysis, U. Minho, Portugal, http://www3.eeg.uminho.pt/economia/nipe/summerschool2011/.
Invited Speaker, New York
Camp Econometrics VI, 2011,
“Correlated Defaults, Temporal Correlation, Expert Information
and Predictability of Default Rates”
Invited Speaker “Frontiers of
Statistical Decision Making and Bayesian Analysis,” March 2010, University of
Texas.
Panelist, Wharton Roundtable on
Financial Risk, May 2010.
Invited
Speaker, American University Info-Metrics Institute Conference in honor of
Arnold Zellner,”Theory and Applications in the Social
Sciences,” September 24-25, 2010.
Invited
Speaker, University of Rochester Econometrics Workshop, April 23, 2010.
Invited
Speaker, University of Iowa Econometrics Workshop, September 25, 2010.
Invited Speaker, ASA/IMS Joint
Statistical Meetings Panelist: “The Role of Statistics in the Nation’s
Financial Health,” August 2009, DC
National Institute of
Statistical Science/Office of the Comptroller of the Currency Workshop:
“Exploring Statistical Issues in Financial Risk Modeling and Banking
Regulation,” DC February 5-6, 2009.
Invited Speaker, Inaugural
Workshop, American University Info-Metrics Institute, “Information Theoretic
Estimation and Data Analysis: State of the Science and New Directions” November
2009, DC
Panelist, Center for Research
in Econometric Analysis of Time Series, Conference in honor of Professor Svend Hylleberg, Aarhus DK,
October 2009
Invited
Speaker, Wharton Roundtable on Financial Risk, May 2009.
BIBLIOGRAPHY:
Books and Edited Volumes
Economic Modeling and
Inference, (with B.J. Christensen),
Princeton University Press, Princeton, 2009
Selected Endorsements:
"There
is no other book that mixes dynamic economic theory, statistical inference, and
real quantitative applications like this one. Christensen and Kiefer will
challenge the top tier of students and take them to the research
frontier."--Robert Lucas, University of Chicago
"Christensen
and Kiefer's excellent book shows how careful dynamic theory and econometrics
go hand in hand, opening up new vistas in the areas of search theory, finance,
and macroeconomics."--Tom Sargent, New York University and the Hoover
Institution
"Dynamic
programming is an organizing framework that has enabled economists to integrate
economic theory with empirical analysis. Few textbooks reflect the integrated
nature of contemporary research, but Christensen and Kiefer reveal the power of
the dynamic programming approach in a wide variety of applications from job
search to portfolio choice. Their new book will be invaluable to students who
wish to participate in this exciting enterprise."--John Y. Campbell,
Harvard University
"The authors do a splendid job of
showing how to use stochastic dynamic optimization techniques to generate the
implied distributions of observables needed for estimation. There are many
interesting and useful examples included in the book, ranging from applications
of the theory of job search to those of asset pricing theory. This book should
be a reference for anyone interested in using dynamic economic models to make
inferences about the world we observe."--Dale Mortensen, Aarhus
University, Denmark, and Northwestern University
From the JASA review: "Economic Modeling and
Inference gives an excellent overview of dynamic modeling techniques in
economics and fills an important gap among current textbooks. [It] is an
excellent book, especially for graduate students in economics. . . . [I]t is
also a must for economists who need a refresher course in dynamic modeling . .
. [and] should also be on the bookshelf of practicing researchers interested in
expanding the number of models used in their work."--Journal of the
American Statistical Association
Empirical Labor Economics:
The Search Approach (with T.J.
Devine), Oxford University Press, New York, 1991.
Search Models and Applied
Labor Economics (with G.R. Neumann),
Cambridge University Press, New York, 1989
Econometric Analysis of
Duration Data, a volume in the Journal
of Econometrics-Annals, series, Editor, 1985
Economic Benefits from Four
Manpower Training Programs, Garland
Series of Outstanding Dissertations in Economics, Garland Press, New York, 1979
The Microeconometrics of Dynamic Decision Making, (edited with Arie Kapteyn and John Rust), special issue Journal of Applied
Econometrics, 1995.
Panel Data and Structural Labour Market Models,
(co-edited with H. Bunzel, B.J. Christensen, P.
Jensen, and D. Mortensen), Amsterdam:
North-Holland, 2000.
ARTICLES
Union Impact and Wage
Discrimination by Region, (with Sharon P. Smith), Journal of Human Resources,
Fall 1977:
521-534.
The Economic Benefits from Four
Government Training Programs, presented at the Conference on Evaluating Manpower Training Programs, Princeton
University, May 1976. In Research in
Labor Economics, Supplement 1, 1979:
159-186.
Bayesian Analysis of Labor
Supply and Commodity
Demand, International Economic Review, 18:1, February 1977:
209-216.
Quadratic Utility, Labor
Supply, and Commodity Demand, in Studies in Nonlinear Estimation, (S.M. Goldfeld and R.E. Quandt, eds.),
Ballinger, 1976: 167-179.
Small Sample Properties of Demand System
Estimates, (with J.G. Mackinnon), in Studies in Nonlinear Estimation,
(S.M. Goldfeld and R.E. Quandt,
eds.), Ballinger, 1976: 181-210.
Bayesian
Analysis of Labor Supply and Commodity Demand, International Economic Review,
18:1, February 1977: 209-216.
Quadratic Utility, Labor
Supply, and Commodity Demand, in Studies in Nonlinear Estimation, (S.M. Goldfeld and R.E. Quandt, eds.),
Ballinger, 1976: 167-179.
Small Sample Properties of Demand System
Estimates, (with J.G. Mackinnon), in Studies in Nonlinear Estimation,
(S.M. Goldfeld and R.E. Quandt,
eds.), Ballinger, 1976: 181-210.
Discrete Parameter
Variation: Efficient Estimation of a Switching
Regression Model, Econometrica, 46:2, March 1978: 427-434.
Estimation of Wage Offer
Distributions and Reservation Wages, (with G.R. Neumann), in Studies in the
Economics of Search, (J.J. McCall and S.A. Lippman,
eds.), Amsterdam: North-Holland,
1979: 171-190.
Training Programs and the
Employment and Earnings of Black Women, presented at the ASPER Conference on
Women in the Labor Market, Barnard College, September 1977. In
Women in the Labor Market, (Cynthia B. Lloyd, Emily Andrews, and Curtis
Gilroy, eds.), Columbia University Press, 1979:
289-303.
Federally
Subsidized Occupational Training and the Employment and Earnings of Male
Trainees, Journal of Econometrics, 8, 1978: 111-125.
An Empirical Job-Search Model,
with a Test of the Constant-Reservation Wage Hypothesis, (with G.R.Neumann), Journal of Political Economy, 87,
February 1979: 89-107.
On the Value
of Sample Separation Information, Econometrica,
47, 1979: 997-1003.
Population Heterogeneity and
Inference from Panel Data on the Effects of Post-Schooling Vocational
Education, presented at the UK/US Conference on Human Capital and Income
Distribution, March 1978. In Journal
of Political Economy, 87, October 1979:
S213-S225. Reprinted in Evaluation
Economy Studies Review Annual, Vol. 5, (E. Stromsdorfer
and G. Farkas, eds.) Beverly
Hills: Sage Publications, 1980.
Individual Effects in a Nonlinear Model: Explicit Treatment of Heterogeneity in the
Empirical Job-Search Model, (with G.R. Neumann), Econometrica,
49, 1981: 965-979.
Limited Information Analysis of
a Small Underidentified Macroeconomic Model, International
Economic Review, 22, 1981: 429-442.
Estimation of
Fixed Effect Models for Time Series of Cross-Sections with Arbitrary Intemporal Covariance, Journal of Econometrics, 14,
1980: 195-202.
The Economics
of Diaspora, (with R. Brenner), August 1978, Economic Development and
Cultural Change, Vol. 29, 1981:
517-534.
Wages and the Structure of Unemployment Rates, (with
G.R. Neumann), presented at the Brookings Institution Conference on Labor
Market Tightness and Inflation, November 1980. In Workers,
Jobs and Inflation, (M.N. Baily ed.), Washington, D.C.: Brookings, 1982.
Identifying Restrictions in
Limited Information Analysis of the Schooling Coefficient in a Wage Regression, Journal
of Econometrics, 13, 1982: 219-237.
Testing for
Dependence in Multivariate Probit Models, Biometrika, 69, 1982: 161-166.
Steady State
as Natural Rates in a Dynamic Discrete Choice Model of Labor Supply, (with K.
Burdett, D. Mortensen, and G. Neumann), presented at the Sonderborg
Conference on Labor Market Dynamics. In G.R. Neumann and N. Westergaard
Neilsen, Studies in Labor Market Dynamics, a
volume in the Studies in Contemporary Economics series. Berlin:
Springer-Verlag, 1984.
Local Asymptotic Specification
Error Analysis," (with G. Skoog), Econometrica, 52, 1984: 873-885.
Structural and Reduced Form
Approaches to Analyzing Unemployment Durations, (with G.R. Neumann), in Studies
in Labor Markets, (Sherwin Rosen, ed.), 1981: 171-188.
Microeconometric Evidence on the Neoclassical Model of Demand,
Journal of Econometrics, 25, 1984: 285-302.
A Simple Test for Heterogeneity
in Exponential Models of Duration, Journal of Labor Economics, 2, 1984:
539-549.
Layoffs and Duration Dependence
in a Model of Turnover, (with K. Burdett and S. Sharma), Journal of
Econometrics, 28, 1985: 51-70.
Specification Diagnostics Based
on Laguerre Alternatives in Econometric Models of
Duration, Journal of Econometrics, 28, 1985: 135-154.
Wages, Employment, and the
Allocation of Time Over Time, (with K. Burdett, D.
Mortensen, and G. R. Neumann), January 1982.
Revised 1983, in Review of Economic Studies, LI, 1984: 559-578.
Methods for Analyzing
Employment Contracts and Other Agreements, presented at the 1984 ASA meetings, Proceedings
of the ASA Business and Economic Statistics Section, 1984, 103-106.
How Long
is a Spell of Unemployment? (with G.R. Neumann and S.
Lundberg), February 1983, Journal of Business and Economic Statistics,
3, April 1985: 118-128.
An Equilibrium Analysis of
Optimal Unemployment Insurance and Taxation, (with D. Easley and U. Possen), Quarterly Journal of Economics, 100,
1985: 989-1010.
Evidence on the Role of
Education in Labor Turnover, The Journal of
Human Resources, 20, 1985: 445-452.
Twentieth Century Unionism in the United States, (with
G.R. Neumann and T. Devine), presented at the 1985 ASA meetings, Proceedings
of the ASA Business and Economic Statistics Section, 1985: 59-64.
A Comparison of Labor Market Equilibria Under Different Institutional Organizations, Labor
Market Adjustments in the Pacific Basin, (P. Chinloy
and E. Stromsdorfer, eds),
Boston: Kluwer-Nijhoff,
1987: 13-30.
A Proposition and an Example in
the Theory of Job Search with Hours Constraints, Journal of Labor Economics,
5, 1987: 211-220.
Control of a
Linear Regression Process with Unknown Parameters, (with Y. Nyarko),
in Dynamic Econometric Modelling, (W. Barnett,
E. Berndt, and H. White, eds.), Cambridge University Press, 1988.
Controlling a
Stochastic Process with Unknown Parameters, (with D. Easley), Econometrica, 56, 1988.
Economic Duration Data and
Hazard Functions, Journal of Economic Literature, 26:2, 1988.
Analysis of Grouped Duration
Data, in Statistical Inference from Stochastic Processes, (N.U. Prabhu, ed.), Providence: AMS Contemporary Mathematics Series, 1988.
Employment Contracts, Job
Search Theory, and Labor Turnover:
Preliminary Empirical Results, Journal of Applied Econometrics,
3:3, 1988.
Optimal Control of an Unknown
Linear Process with Learning, (with Y. Nyarko), International
Economic Review, 30, 1989: 571-586.
A Value Function Arising in the
Economics of Information, Journal of Economic Dynamics and Control,
13,
1989.
Optimal Learning with
Endogenous Data, (with D. Easley), International Economic
Review, 30, 1989: 963-978.
Optimal
Bayesian Control of a Nonlinear Regression Process with Unknown Parameters,
(with Y. Nyarko, in Modelling
and Control of Systems, (A. Blaquiere, ed.),
Springer Verlag Lecture Notes in Control and
Information Science 121, 1989.
Econometric Methods for Grouped
Duration Data, in Panel Data and Labor Market Studies, (J. Hartog, G. Ridder, and J. Teeuwes, eds.), Amsterdam:
Elsevier, 1989.
The Exact
Likelihood Function for an Empirical Job Search Model, (with B.J. Christensen) Econometric
Theory, 7, 1991.
Optimal Collection of
Information by Partially Informed Agents,Econometric
Review, 7, 1988-1989: 13-148.
(Discussion and Reply 149-163).
The
Valuation of Economic Information, in Optimal Decisions in Markets and
Planned Economies, (R.E. Quandt and D. Triska, eds.), Boulder:
Westview Press 1990.
An Equilibrium Analysis of
Fiscal Policy with Uncertainty and Incomplete Markets, (with D. Easley and U. Possen), International Economic Review, Vol. 34, No.
4, Nov. 1993, 935-952.
The Empirical Status of Job
Search Theory, (with T. Devine), Labour
Economics, 1, 1993, 3-24.
Inferential Separation in the
Prototypal Search Model, (with B.J. Christensen), Proceedings from the Third
Symposium on Panel Data and Labor Market Dynamics, (H. Bunzel,
P. Jensen and N. Westergaard-Nielsen, eds.), Elsevier
Science BV, 1993, 231-245.
On the Existence of Universally
Convergent Mechanisms, (with V. Bala) Journal of
Economic Dynamics and Control, Vol. 18, No. 2, March 1994, 299-316.
Menu Pricing: An Experimental Approach, (with K. Burdett
and T. Kelly), Journal of Business and Economic Statistics, 12, 1994,
329-337.
Measurement Error in the
Prototypal Job-Search Model, (with B.J. Christensen), Journal of Labor
Economics, 12, 1994, 618-639.
Savage Bayesian Models in
Economics,(with Y. Nyarko),
in Essays in Learning and Rationality in Economics and Games, (A. Kirman and M. Salmon, eds.), Basil Blackwell, forthcoming.
Local Cuts and Separate
Inference, (with B.J. Christensen), Scandinavian Journal of Statistics,
21, 1994, 389-401.
Lattice
Games: Evolution and Equilibria
Selection," (with M. An), Journal
of Evolutionary Economics, under the title of “ALocal
Externalities and Societal Adoption of Technologies,” 5, 1995, 103-117.
Estimation of
Equilibrium Wage Distribution with Heterogeneity, (with A. Bowlus
and G. Neumann), Journal of Applied Econometrics, 10, 1995, S119-S132.
Liquidity, Information and
Infrequently Traded Stocks, (with D. Easley, M. O=Hara
and J. Paperman), Journal of Finance, Vol. 51,
No. 4, September 1996.
Inference in Non-Linear Panel
Models with Partially Missing Observations:
The Case of the Equilibrium Search Model,(with B.J. Christensen), Journal
of Econometrics, Vol. 79, No. 2, August 1997, 201-219.
Wage Dispersion with
Homogeneity: The Empirical Equilibrium
Search Model, (with G.R. Neumann), Proceedings from the Third Symposium on
Panel Data and Labor Market Dynamics, (H. Bunzel
and N. Westergaard-Nielsen, eds.), Springer-Verlag, forthcoming.
Cream-Skimming vs. Profit
Sharing: The Curious Role of Purchased
Order Flow, (with D. Easley and M. O’Hara), Journal of Finance, Vol. LI,
No. 3, July 1996.
One
Day in the Life of a Very Common Stock, (with D. Easley and M. O'Hara), Review
of Financial Studies, Vol. 10, No. 3, Fall 1997, pp. 805-835.
The Information Content of the
Trading Process, (with D. Easley and M. O=Hara), Journal
of Empirical Finance, Vol. 4, No. 2-3, June 1997.
Bayesian Analysis of the
Prototypal Search Model, (with M. Steel), Journal of Business and Economic
Statistics, Vol. 16, No. 2, April 1998, pp. 178-186.
Simple Robust
Testing of Regression Hypotheses, (with T. Vogelsang
and H.Bunzel), Econometrica,
68, 695-714, 2000.
Simulated
Moment Methods for Empirical Equivalent Martingale Measures, (with B.J.
Christensen). In Simulation-Based
Econometrics, (Robert Mariano, ed.). Cambridge:
Cambridge University Press, 2000.
Panel Data,
Local Cuts, and OG Models, (with B.J. Christensen), Bernoulli, 6, 4-12,
2000.
Equilibrium
Search with Human Capital Accumulation, (with. H. Bunzel,
B.J. Christensen and L. Korsholm). In Panel
Data and Structural Labour Market Models, (H. Bunzel, B.J. Christensen, P. Jensen, D. Mortensen and N.M.
Kiefer, eds.), Amsterdam: North-Holland, 2000, 107-144..
Maximum Likelihood Estimation
in Multinomial Probit Models using Monte Carlo EM,
(with C. McCulloch and R. Natarajan), Computational
Statistics and Data Analysis, 34, 33-50, 2000.
Specification and Estimation of
Equilibrium Search Models for Denmark, (with H. Bunzel,
B.J. Christensen, P. Jensen, L. Korsholm, L. Muus, G. Neumann, and M. Rosholm),
Review of Economic Dynamics, 2001, 90-126.
Simple Robust
Testing in Hypotheses in Non-linear Models, (with Helle
Bunzel and Tim Vogelsang), Journal
of the American Statistical Association, 96, 1088-1098, 2001.
Equilibrium Search Models and
the Transition from School to Work, (with Audra J. Bowlus
and George R. Neumann), International Economic Review, 42:2, 2001,
317-343.
Heteroskedasticity-Autocorrelation Robust Testing Using Bandwidth Equal
to Sample Size, (old title A New Approach to the Asymptotics
of Heteroskedasticity-Autocorrelation Robust Testing)
(with Tim Vogelsang), Econometric Theory, 18,
1350,1366, 2002.
"Heteroskedasticity-Autocorrelation Robust Standard Errors
Using the Bartlett Kernel Without Truncation," (with Tim Vogelsang), Econometrica,
70, 2093-2095, 2002.
“Evaluating Design Choices in
Economic Capital Modeling: A Loss
Function Approach,” (with C. E. Larson), in Economic Capital: A Practitioner
Guide, A. Dev (ed), ch. 15. Risk Books,
London 2004
“A New Asymptotic Theory for Heteroskedasticity-Autocorrelation Robust Tests,” (with T. Vogelsang), Econometric Theory, 21,
1130-1164, 2005
The
Probability Approach to Default Estimation, Risk, July 2007, p. 146-150.
Reprinted in AsiaRisk, September 2007
A Simulation Estimator for
Testing the Time Homogeneity of Credit Rating Transitions (with C. E. Larson), Journal
of Empirical Finance 14 (2007) 818-835
Robust Nonnested
Testing and the Demand for Money (with H. Choi), Journal of Business and
Economic Statistics 26:1 (2008) 9-17
Specification and Informational
Issues in Credit Scoring (with C. E. Larson), International Journal of
Statistics and Management Systems 1: 152-178 (2006)
Investment in Advertising
Campaigns and Search: Identification and Inference in Marketing and Dynamic
Programming Models, (with B.J. Christensen) in Bunzel,
H., Christensen, B.J., Neumann, G.R., Rubin, J.-M. (ed.)
Structural Models of Wage and Employment Dynamics, Elsevier, Amsterdam,
p. 331-364 (2006)
Annual Default Rates are
Probably Less Than Long-Run Average Annual Default Rates, Journal of Fixed
Income, Fall, 2008.
Development and Validation of
Credit-Scoring Models, (with H. Choi, D. Glennon and
C. E. Larson), Journal of Credit Risk 4 (3), Summer,
2008 p. 1-61.
Bank Failure: Evidence from the
Colombian Financial Crisis (with J. Gomez-Gonzalez), International Journal
of Business and Finance Research. Volume 3, Number 2,
(2009). Winner of the Outstanding Research Award at
the Winter Conference of the Institute for Business and Finance Research, 2007.
Default Estimation for
Low-Default Portfolios, Journal of Empirical Finance,16
(2009) 164–173
The Smooth Colonel Meets the
Reverend (with J. Racine), Journal of Nonparametric Statistics, Volume 21, Number 5,
July 2009 , pp. 521-533(13)
Evidence of
Non-Markovian Behavior in the Process of Bank Rating
Migrations (with J. Gomez-Gonzalez), Cuadernos
de Economía 46 (Mayo), 2009 p. 33-50.
Default Estimation and Expert
Information, Journal of Business and Economic Statistics, 2010, 28(2):
320-328.
Default Estimation,
Correlated Defaults, and Expert Information, Journal of Applied Econometrics,
26:
173–192 (2011)
Geometry of the
log-likelihood ratio statistic in misspecified models (with Hwan-sik Choi ) Journal of Statistical Planning and Inference, 141 (2011) 2091–2099.
Letters, Notes, Comments,
Interviews, etc.
Comments
on Quandt and Ramsey, Journal of the American
Statistical Association, 73, December 1978:
730-752.
A Note on Regime Classification
in Disequilibrium Models,Review
of Economic Studies, 48 1980:
251-256.
A Note on
Switching Regressions and Logistic Discrimination, Econometrica,
48, 1980.
Discussion of: The Analysis of
Re-employment Probabilities for the Unemployed, by Lancaster and Nickell, Journal of the Royal Statistical Society Series
A, 1980.
Discussion of: A General
Equilibrium Appraisal of U.S. Corporate and Personal Tax Integration, by Don
Fullerton, A. Thomas King, John Shoven and John Whalley, presented at the Conference on Microeconomic
Simulation Models for the Analysis of Public Policy, National Academy of
Sciences, March 1978, in Microeconomic Stimulation Models for Public Policy
Analysis, (Haveman and Holenbeck,
eds.), New York: Academic Press, 1980.
Testing Normality in
Econometric Models, (with M. Salmon), Economics Letters, 11, 1983: 123-127.
An Integral
Occurring in Duration Models with Heterogeneity, Economics Letters, 11
1983: 251-256.
Comments on: Benefits and
Limitations of Panel Data, by Cheng Hsiao, (with G. Jakubson),
Econometric Reviews, 4, 1985:
175-178.
An Example of a Score Test
Based on Higher-Order Derivatives, Economic Letters, 18, 1985: 301-303.
Multivariate Probit, entry in the Encyclopedia of Statistical
Sciences, (S. Kotz and N.L. Johnson, eds.), Vol.
6, New York: Wiley, 1985: 108-110.
Estimation of
ARCH Models, Econometric Theory, 2, 1986, Problems Series, 289.
Comment on: Econometric
Approaches to the Specification of Life Cycle Labor Supply and Commodity Demand
Behavior, by Richard Blundell, Econometric Reviews, 5, 1986: 159-162.
Arthur S. Goldberger,
interview, Econometric Theory, 5, 1989:
133-160.
Heteroskedasticity-Autocorrelation Robust Standard Testing Using the
Bartlett Kernel without
Truncation,
(with Tim Vogelsang), Econometrica,
70, 2093-2095, 2002.
Book Reviews
Edward E. Leamer,
Specification Searchers: Ad Hoc
Inference with Nonexperimental Data, in Journal
of Political Economy, February 1979.
Ewan Clague
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C.V. Brown, Taxation
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Lyle Broemeling,
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Arnold Zellner,
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Unpublished Papers
(selected)
The Economic Benefits from
Manpower Training Programs, July 1976. Final Report to the Office of Evaluation, ASPER, U.S. Department of
Labor. Issued
as Technical Analysis Paper #43, Office of Research and Evaluation, ASPER, U.S.
Department of Labor.
The Effect of Alternative Partial
Benefits Formulas on Beneficiary Part-Time Work Behavior, (with G.R. Neumann),
March 1978. Revised
August 1978. Final
Report to UIS, U.S. Department of Labor.
Issued as Unemployment Insurance Occasional Paper
79-6, U.S. Department of Labor, Employment and Training Administration.
Infinite Horizon Bayesian
Control of the Normal-Normal Regression Model, (with D. Easley), Center
for
Analytic
Economics working paper #88-06.
Optimal Learning in a
One-Sector Growth Model, (with G. Huffman), Center for Analytic Economics
working paper #90-24, November 1990.
Statistical
Manifolds and Separate Inference, (with B.J. Christensen) Center for Analytic
Economics Workshop Paper #00-05, April 2000.
Optimal
Segmentation in Estimating Probabilities of Default for Risk Categories, (with
C. Erik Larson), working paper, 2003.
Biases in
Default Estimation and Capital Allocations under Basel II, (with C. Erik
Larson), working paper, 2003.