1st Round: One-on-one, 25 minute interview with a senior consultant (fresh out of master's program) at the Eastern College Career Days event in Fall 2014. I was hand-selected to be interviewed from a pool of applicants. I sit down, the consultant looks over my resume and writing sample. I discuss my experience with economics at school, econometric tools I've used, and how familiar I am with the research process. I am asked to elaborate on my writing sample and describe the writing and research processes.
2nd Round: I am invited to come in for a half-day of 6 back-to-back interviews with senior managers of the Boston branch, and am informed that travel and housing will be reimbursed. (HR arranges a hotel room for me.)
I come in at 8:20 AM and my first interview is a 30-minute conference call with an MD who works remotely most of the time. The next one is a 45-minute interview with a senior MD. Afterwards, another 45-minute interview with an equally experienced MD. Another 45-minute interview with an MD who works mostly on doing financial work. Another 15-minute interview with an HR director. The last interview with another senior MD gets cancelled due to the MD getting busy.
Most of these interviews are a chance for them to get to know you, understand better your aptitude with economics and research writing, and get a feel for your fit with the firm. Their questions are almost never technical, as they ask you to talk about yourself, your experience with undergraduate economics, what your writing sample is about, why you wrote it, how you wrote it, what your thoughts were, etc.
One MD, an older scholarly gentleman, drilled me on the specifics of my paper and asked me about other papers that I wrote about. It was somewhat difficult doing that on the spot, since I've never really verbally explained to someone about a research paper from start to finish. I think I was underprepared. Otherwise, most of the questions were very fit-based and focused on you being able to show them your knowledge of econometrics so far.
There's plenty of time to ask them questions. Most 45-minute interview sessions had me asking them questions on work they did/are doing and what their work flow looks like. Some chit-chat here and there.
I get told by e-mail less than a week later that I am not offered a job. Another candidate, who has taken a lot more senior-level economics classes than I have (and was writing a thesis--I was not), was offered a job.