Herman J. Bierens

Professor of Economics
Pennsylvania State University
Ph.D.: University of Amsterdam, 1980
Field: Econometrics

Short biography

PennState mailing address

Department of Economics
Pennsylvania State University
608 Kern Graduate Building
University Park, PA 16802
Fax: (814) 863 4775
Tel.: (814) 865 4921
E-mail: hbierens@psu.edu

Secretary:
Michele W. Moslak
Tel.: (814) 865 0130
E-mail: mwm5@psu.edu

Home mailing address

P.O. Box 187
Centre Hall, PA 16828
Tel. (814) 364-1843

Honors

Fellow of the Econometric Society (2005)
Journal of Econometrics Associate Editor Award (2005)
Fellow of the Journal of Econometrics
Econometric Theory Multa Scripsis Award (1997)

Some representative publications

• Introduction to the Mathematical and Statistical Foundations of Econometrics, Cambridge University Press (xvii + 323 pages), 2004.
• Topics in Advanced Econometrics: Estimation, Testing, and Specification of Cross-Section and Time Series Models, Cambridge University Press (xii + 258 pages), 1994.
• Robust Methods and Asymptotic Theory in Nonlinear Econometrics, Springer-Verlag (ix + 198 pages), 1981.

• "Semi-Nonparametric Interval-Censored Mixed Proportional Hazard Models: Identification and Consistency Results", Econometric Theory 24, 2008, 749-794.
• "Semi-Nonparametric Competing Risks Analysis of Recidivism" Journal of Applied Econometrics 22, 2007, 971-993 (with Jose Carvalho).
• "Econometric Analysis of Linearized Singular Dynamic Stochastic General Equilibrium Models", Journal of Econometrics 236, 2007, 595-627.
• "Complex Unit Roots and Business Cycles: Are They Real?", Econometric Theory 17, 2001, 962-983.
• "Nonparametric Nonlinear Co-Trending Analysis, with an Application to Inflation and Interest in the U.S.", Journal of Business & Economic Statistics 18, 2000, 323-337.
• "The Econometric Consequences of The Ceteris Paribus Condition in Economic Theory", Journal of Econometrics 95, 2000, 223-253 (with Norman Swanson).
• "Asymptotic Theory of Integrated Conditional Moment Tests", Econometrica 65, 1997, 1129-1151 (with Werner Ploberger).
• "Nonparametric Cointegration Analysis", Journal of Econometrics 77, 1997, 379-404.
• "A Consistent Conditional Moment Test of Functional Form", Econometrica 58, 1990, 1443-1458.
• "ARMA Memory Index Modeling of Economic Time Series (with discussion)", Econometric Theory 4, 1988, 35-59.
• "Kernel Estimators of Regression Functions", in: Truman F.Bewley (ed.), Advances in Econometrics: Fifth World Congress, Vol.I, New York: Cambridge University Press, 1987, 99-144.
• "Consistent Model Specification Tests", Journal of Econometrics 20, 1982, 105-134.

Other writings

More on my CV.
Downloadable papers.
Downloadable lecture notes.

Software

EasyReg International is a free (but powerful) interactive econometrics software package, written in Visual Basic 5. EasyReg (Easy Regression) conducts various elementary, intermediate, and advanced econometric estimation, testing, and data analysis tasks on 32 bit Windows platforms, just by clicking the mouse. EasyReg is designed for use in empirical research (including my own), and for teaching econometrics at all levels.

Current research interest

Semi-nonparametric specification and estimation of duration and auction models. Model (mis)specification analysis in econometrics and its empirical applications.

Teaching

• Previous courses.
• Fall 2008
  • ECON 501: Introduction to the Mathematical and Statistical Foundations of Econometrics.
• Spring 2009
  • ECON 483: Forecasting (former ECON 497A)
  • ECON 589: Seminar in econometric theory
    Topic: Time series econometrics (former ECON 511)

Links

My links page.

Department of Economics, Penn State University.

CAPCP: Center for the Study of Auctions, Procurements and Competition Policy.

Other freeware.

Google, the only search engine which lists EasyReg first if you search for "free econometrics software". It has the handy "Search within" option.