Nicholas Kiefer

Professor Nicholas M. Kiefer is in the departments of economics and statistics and data science (DS2) and is a member of the graduate field faculty in economics, statistics and hospitality administration at Cornell University.

Professor 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.