Nicholas M. Kiefer




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Recent Papers


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

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.

Default Estimation, Correlated Defaults, and Expert Information, April 2008. Journal of Applied Econometrics, forthcoming. doi 10.1002/jae.1124

The Probability Approach to Default Estimation, Risk, July 2007, p. 146-150. Reprinted in AsiaRisk, September 2007.

Differential Geometry, Bias Correction, and Nonnested Hypothesis Testing (with H. Choi), April, 2006

A Simulation Estimator for Testing the Time
Homogeneity of Credit Rating Transitions
(with C. E. Larson), Journal of Empirical Finance
14 (2007) 818-835

Default Estimation for Low-Default Portfolios, Journal of Empirical Finance,16 (2009) 164–173

Robust Nonnested Testing and the Demand for Money (with H. Choi), February, Journal of Business and Economic Statistics 26:1 (2008) 9-17.

Evidence of Non-Markovian Behavior in the
Process of Bank Rating Migrations
(with J. Gomez-Gonzalez), Cuadernos de Economía, Vol. 46 (Mayo
2009) 33-50.

Bank Failure: Evidence from the Colombian Financial Crisis (with J. Gomez-Gonzalez), October, 2006, The International Journal of Business and Finance Research, forthcoming. Winner of the Outstanding Research Award at the Winter Conference of the Institute for Business and Finance Research

A New Asymptotic Theory for Heteroskedasticity-Autocorrelation Robust Tests  (with T. Vogelsang), Econometric Theory, 21, 1130-1164, 2005

Specification and Informational Issues in Credit Scoring (with C. E. Larson), International Journal of Statistics and Management Systems 1: 152-178 (2006)

Economics and the Origin of the Restaurant, Cornell Hotel and Restaurant Administration Quarterly, August 2002.


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