Nicholas M. Kiefer works primarily in econometrics and statistics with applications in financial economics, credit scoring and risk management in banking, consumer trend forecasting, and development of quantitative management techniques. Previously, Kiefer worked on developing structural job search models and subsequently equilibrium search models. His work on the value of information, using a dynamic programming framework, led to results on the possibility and potential optimality of learning. Subsequent theoretical and empirical work on market microstructure led to invention of the PIN, a widely used statistic for measuring the information content of trades. Recently, Kiefer has developed a new approach to asymptotic approximations for use in testing problems in dynamic models. Most recently, Kiefer is developing methods for inference about small probabilities, with special interest in banking applications and the formal incorporation of expert information using Bayesian techniques. The unifying theme of the work is the complementary use of statistics and economic theory. Both statistical modeling and theoretical modeling are seen as tools to summarize and focus information. Theory and econometrics are treated as similar, complementary activities, not separate fields. This view is reflected in his book with B.J. Christensen Economic Modeling and Inference.
Professor Kiefer is in the departments of economics and statistical sciences and is a member of the graduate field faculty in economics, statistics and hospitality administration at Cornell University.
- Econometric Modeling and Inference (with Bent Jesper Christensen), Princeton University Press, 2009
- Empirical Labor Economics: The Search Approach (with Theresa J. Devine), Oxford University Press, 1991
- Search Models and Applied Labor Economics (with George R. Neumann), Cambridge University Press, 1989. Also in paperback.
- Panel Data and Structural Labour Market Models (edited with H. Bunzel , Bent J. Christensen , Peter Jensen, and Dale T. Mortensen), Elsevier, Contributions to Economic Analysis v. 243, 2000. 2nd edition, Emerald Publishing Group.
- Special Issue on the Microeconometrics of Dynamic Decision Making, Journal of Applied Econometrics,
- (edited with Arie Kapteyn and John Rust), Volume 10, Supplement, December, 1995
- Bayesian Methods for Default Estimation in Low Default Portfolios, Presented at the BIS, Basel, March 2007
- Improving robust model selection tests for dynamic models (with H. Choi), October, 2006.Econometrics Journal, forthcoming.
- Default Estimation and Expert Information,Journal of Business and Economic Statistics, 2010, 28(2): 320-328. doi:10.1198/jbes.2009.07236
- The Smooth Colonel Meets the Reverend (w. J. Racine), April 2008. Journal of Nonparametric Statistics, Volume 21, Number 5, July 2009 , pp. 521-533(13)
- Annual Default Rates are Probably Less Than Long-Run Average Annual Default Rates,Journal of Fixed Income, Fall 2008, Vol. 18, No. 2: pp. 85-87 DOI: 10.3905/jfi.2008.712352