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Nicholas Kiefer (1951-2024)

Ta-Chung Liu Professor, Cornell University
Ph.D., Princeton University, 1976

About Nicholas Kiefer

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. Details are given in the Research Summary. 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 the new 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.

Tributes to Nick from Info-Metrics Colleagues

Amos Golan

It is with deep personal sadness that I write to tell you that Nick Kiefer passed away on March 12. Nick was a true academician, a good colleague and friend, and a long-time member of the Institute. He was a constant at all of our meetings – always thoughtful and deep in his remarks, talks and critique. He was a most kind and generous person. I will miss him very much.Ìý

Hwan-sik Choi

I was at his funeral. He is now resting peacefully near Ithaca. The day was cloudy, wet and foggy, and cold, yet very peaceful.

He was my advisor and mentor at Cornell and one of my best friends. I feel that I have grown up with his care until today. I remember those days like yesterday when we discussed Efron's statistical curvature and entropy in his office and a cold beer he loved in the seminar room. The steak from his grill was superb. I visited him every year as Binghamton is only an hour away. He was very active and energetic with a big smile until I saw him last year in Ithaca. I hope his soul stays with us for a long time.

Esfandiar Maasoumi

I have many fond memories of Nick. He was a friend for more than 4 decades!

I share a mere two memories:

1. I met Nick the first time at the summer meetings of Econometric Society, I believe at Stanford, may be 1978 or 79. I was approached by this very friendly and sharp eyed chap, who shook my hand and said, "Esfandiar, nice to meet you, welcome!" I had not heard my unusual first name enunciated so clearly and deliberately for many years. We got to know one another and he invited me to Cornell many times. He was one of the smartest and erudite economists I know.

2. I invited Nick to SMU and Herman Bierens and I decided we should take him to the famous Mansion on Turtle Creek, infamously expensive place! We all knew of Nick's culinary tastes and expertise. I know I went home somewhat hungry, but the bill was so large that the hitherto for unlimited seminar budget at SMU was thereafter limited and kept under strict control. In his future visits and our meals all over the world, thereafter, either of us paid to avoid submitting those bills to any authorities!

Nick was a deep thinker, at home with fundamentals of statistical inference, including Bayesian. He and I and our mutual friend Jeff Racine discussed the information theory basis of nonparametric density estimators and other subtle topics. I will miss him and his sharp wit dearly.

Hashem Pesaran

Nick was the co-editor of JAE during 1986-1990 – I learned a great deal from him. A deep thinker and a real scholar. A great loss to the profession.

Refik Soyer

Such a sad loss.

Teddy Seidenfeld

Most definitely sad, sad news about Nick. And a serious diminution to our collective wisdom.

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