Nicholas M. Kiefer

Ph.D. Princeton University, 1976, Ta-Chung Liu Professor, Professor of Economics and Statistics

FIELDS

Econometrics, labor economics, statistics.

SELECTED PUBLICATIONS

"Simple Robust Testing of Regression Hypotheses," (with T. Vogelsang and H.Bunzel), CAE working paper #98-03R, Department of Economics, Cornell University, February 1998, forthcoming in Econometrica; "Bayesian Analysis of the Prototypal Search Model," (with M. Steel), Journal of Business and Economic Statistics, April 1998; "One Day in the Life of a Very Common Stock," (with D. Easley and M. O'Hara), Review of Financial Studies, 1997; "The Information Content of the Trading Process," (with D. Easley and M. O’Hara), Journal of Empirical Finance, 1997; "Cream-Skimming vs. Profit Sharing: The Curious Role of Purchased Order Flow," (with D. Easley and M. O’Hara), Journal of Finance, 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, 1997; "Liquidity, Information and Infrequently Traded Stocks," (with D. Easley, M. O’Hara and J. Paperman), Journal of Finance, 1996; "Estimation of Equilibrium Wage Distribution with Heterogeneity," (with A. Bowlus and G. Neumann), Journal of Applied Econometrics, 1995; "Local Externalities and Societal Adoption of Technologies," (with M. An), Journal of Evolutionary Economics, 1995.

CURRENT RESEARCH

Econometrics for duration data; likelihood analysis; empirical approaches to menu pricing; coordination of distributed information.


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