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
510 Kern Graduate Building
University Park, PA 16802
Fax: (814) 863 4775
Tel.: (814) 865 4921
E-mail: hbierens@psu.edu

Home mailing address

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

Honors

• Econometric Theory Plura Scripsit Award (2011)
• Fellow of the Econometric Society (2005)
• Journal of Econometrics Associate Editor Award (2005)
• Fellow of the Journal of Econometrics (1996)
• Econometric Theory Multa Scripsis Award (1997)

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 Estimation of Independently and Identically Repeated First-Price Auctions via an Integrated Simulated Moments Method", forthcoming in the special issue of the Journal of Econometrics on The Econometrics of Auctions and Games (with Hosin Song).
• "Integrated Conditional Moment Tests for Parametric Conditional Distributions", forthcoming in Econometric Theory (with Li Wang).
• "Time Varying Cointegration", Econometric Theory 26, 2010, 1453-1490 (with Luis Martins).
• "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 [Current version: December 3, 2011] 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 and 64 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.

Other freeware.

Current research interest

• Semi-nonparametric modeling and inference.
• Econometric applications of Hilbert space theory.
• Consistent model specification testing.

Teaching

• Previous courses
• Spring 2012
  • ECON 483: Economic forecasting
  • ECON 589: Seminar in econometric theory
    Topics: Semi-nonparametric modeling and estimation and time series econometrics

Links

My links page.

Department of Economics, Penn State University.

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

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