Details about Frank Schorfheide
Access statistics for papers by Frank Schorfheide.
Last updated 2024-02-29. Update your information in the RePEc Author Service.
Short-id: psc19
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Working Papers
2025
- Misspecification-Robust Shrinkage and Selection for VAR Forecasts and IRFs
NBER Working Papers, National Bureau of Economic Research, Inc 
2024
- Bayesian Estimation of Panel Models under Potentially Sparse Heterogeneity
Papers, arXiv.org
Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2023)
- On the Effects of Monetary Policy Shocks on Income and Consumption Heterogeneity
NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2024) View citations (1)
2023
- Clustering for Multi-Dimensional Heterogeneity with an Application to Production Function Estimation
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (1)
- Optimal Decision Rules when Payoffs are Partially Identified
Papers, arXiv.org View citations (1)
2022
- Forecasting with a Panel Tobit Model
Papers, arXiv.org
Also in CAEPR Working Papers, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington (2019) View citations (13)
NBER Working Papers, National Bureau of Economic Research, Inc (2019) View citations (12)
See also Journal Article Forecasting with a panel Tobit model, Quantitative Economics, Econometric Society (2023) View citations (5) (2023)
- On the Effects of Monetary Policy Shocks on Earnings and Consumption Heterogeneity
CEPR Discussion Papers, C.E.P.R. Discussion Papers
- Sequential Monte Carlo With Model Tempering
Papers, arXiv.org View citations (1)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2022)
2021
- Heterogeneity and Aggregate Fluctuations
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (15)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2021) View citations (15)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021)
- Online Appendix to "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints"
Online Appendices, Review of Economic Dynamics View citations (16)
See also Journal Article Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2021) View citations (19) (2021)
- Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic
NBER Working Papers, National Bureau of Economic Research, Inc View citations (15)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2021)
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2020) View citations (41)
Working Papers, Federal Reserve Bank of Philadelphia (2020) View citations (19)
- SVARs With Occasionally-Binding Constraints
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (8)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2021) View citations (11)
See also Journal Article SVARs with occasionally-binding constraints, Journal of Econometrics, Elsevier (2022) View citations (11) (2022)
2020
- Online Estimation of DSGE Models
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (2)
Also in Liberty Street Economics, Federal Reserve Bank of New York (2019)
Staff Reports, Federal Reserve Bank of New York (2019)
NBER Working Papers, National Bureau of Economic Research, Inc (2020) View citations (1)
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2019) View citations (1)
See also Journal Article Online estimation of DSGE models, The Econometrics Journal, Royal Economic Society (2021) View citations (7) (2021)
- Panel Forecasts of Country-Level Covid-19 Infections
NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
See also Journal Article Panel forecasts of country-level Covid-19 infections, Journal of Econometrics, Elsevier (2021) View citations (19) (2021)
- Panel Forecasts of Country-Level Covid-19 Infectionsliu
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
- Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints
International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (12)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (6)
NBER Working Papers, National Bureau of Economic Research, Inc (2020) View citations (8)
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2020) View citations (7)
Working Papers, Federal Reserve Bank of Philadelphia (2020) View citations (9)
See also Journal Article Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2021) View citations (19) (2021)
- Robust Forecasting
Papers, arXiv.org
Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2020)
2018
- Forecasting with Dynamic Panel Data Models
NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
Also in Papers, arXiv.org (2017) View citations (5)
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2016) View citations (3)
See also Journal Article Forecasting With Dynamic Panel Data Models, Econometrica, Econometric Society (2020) View citations (24) (2020)
- Inference for VARs Identified with Sign Restrictions
Papers, arXiv.org View citations (46)
Also in Working Papers, Federal Reserve Bank of Philadelphia (2011) View citations (32)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) View citations (15)
NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (32)
See also Journal Article Inference for VARs identified with sign restrictions, Quantitative Economics, Econometric Society (2018) View citations (36) (2018)
- On the Comparison of Interval Forecasts
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (18)
See also Journal Article On the Comparison of Interval Forecasts, Journal of Time Series Analysis, Wiley Blackwell (2018) View citations (17) (2018)
2017
- Real-time forecast evaluation of DSGE models with stochastic volatility
CFS Working Paper Series, Center for Financial Studies (CFS) View citations (47)
Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2015) View citations (10)
NBER Working Papers, National Bureau of Economic Research, Inc (2016) View citations (11)
See also Journal Article Real-time forecast evaluation of DSGE models with stochastic volatility, Journal of Econometrics, Elsevier (2017) View citations (40) (2017)
- Tempered Particle Filtering
NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2016) View citations (1)
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2016) View citations (2)
See also Journal Article Tempered particle filtering, Journal of Econometrics, Elsevier (2019) View citations (10) (2019)
2016
- Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries
International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (45)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013) View citations (70)
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2014) View citations (27)
See also Journal Article Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries, The Review of Economic Studies, Review of Economic Studies Ltd (2018) View citations (116) (2018)
- Solution and Estimation Methods for DSGE Models
NBER Working Papers, National Bureau of Economic Research, Inc View citations (155)
Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2015) View citations (3)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (5)
See also Chapter Solution and Estimation Methods for DSGE Models, Handbook of Macroeconomics, Elsevier (2016) View citations (139) (2016)
2015
- Choosing the Right Policy in Real Time (Why That’s Not Easy)
Liberty Street Economics, Federal Reserve Bank of New York
- Combining Models for Forecasting and Policy Analysis
Liberty Street Economics, Federal Reserve Bank of New York
2014
- Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (26)
Also in Staff Reports, Federal Reserve Bank of New York (2014) View citations (18)
NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (27)
See also Journal Article Dynamic prediction pools: An investigation of financial frictions and forecasting performance, Journal of Econometrics, Elsevier (2016) View citations (122) (2016)
- Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
NBER Working Papers, National Bureau of Economic Research, Inc View citations (23)
Also in Working Papers, Federal Reserve Bank of Philadelphia (2013) View citations (12)
2013 Meeting Papers, Society for Economic Dynamics (2013) View citations (24)
See also Journal Article Identifying Long‐Run Risks: A Bayesian Mixed‐Frequency Approach, Econometrica, Econometric Society (2018) View citations (47) (2018)
- Inflation in the Great Recession and New Keynesian Models
NBER Working Papers, National Bureau of Economic Research, Inc View citations (27)
Also in Staff Reports, Federal Reserve Bank of New York (2013) View citations (10)
2014 Meeting Papers, Society for Economic Dynamics (2014) View citations (26)
See also Journal Article Inflation in the Great Recession and New Keynesian Models, American Economic Journal: Macroeconomics, American Economic Association (2015) View citations (239) (2015)
- Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities
NBER Working Papers, National Bureau of Economic Research, Inc View citations (17)
Also in Working Papers, Federal Reserve Bank of Philadelphia (2013) View citations (3)
See also Journal Article Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities, The Review of Economic Studies, Review of Economic Studies Ltd (2016) View citations (73) (2016)
- To Hold Out or Not to Hold Out
Working Papers, Rice University, Department of Economics
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013) View citations (1)
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2013) View citations (1)
See also Journal Article To hold out or not to hold out, Research in Economics, Elsevier (2016) View citations (8) (2016)
- Why Didn’t Inflation Collapse in the Great Recession?
Liberty Street Economics, Federal Reserve Bank of New York
2013
- Assessing DSGE Model Nonlinearities
NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
Also in Working Papers, Federal Reserve Bank of Philadelphia (2013) View citations (12)
See also Journal Article Assessing DSGE model nonlinearities, Journal of Economic Dynamics and Control, Elsevier (2017) View citations (38) (2017)
- Improving GDP Measurement: A Measurement-Error Perspective
NBER Working Papers, National Bureau of Economic Research, Inc View citations (15)
Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2013) View citations (15)
Working Papers, Federal Reserve Bank of Philadelphia (2013) View citations (27)
See also Journal Article Improving GDP measurement: A measurement-error perspective, Journal of Econometrics, Elsevier (2016) View citations (45) (2016)
- Macroeconomic dynamics near the ZLB: a tale of two equilibria
Working Papers, Federal Reserve Bank of Philadelphia View citations (74)
- Real-Time Forecasting with a Mixed-Frequency VAR
NBER Working Papers, National Bureau of Economic Research, Inc View citations (58)
Also in Working Papers, Federal Reserve Bank of Minneapolis (2012) View citations (10)
See also Journal Article Real-Time Forecasting With a Mixed-Frequency VAR, Journal of Business & Economic Statistics, Taylor & Francis Journals (2015) View citations (168) (2015)
- Sequential Monte Carlo Sampling for DSGE Models
NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2013) View citations (4)
Working Papers, Federal Reserve Bank of Philadelphia (2012) View citations (60)
See also Journal Article SEQUENTIAL MONTE CARLO SAMPLING FOR DSGE MODELS, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2014) View citations (93) (2014)
2012
- A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (5)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) View citations (5)
Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2012) View citations (4)
See also Journal Article A Markov-switching multifractal inter-trade duration model, with application to US equities, Journal of Econometrics, Elsevier (2013) View citations (31) (2013)
- DSGE model-based forecasting
Staff Reports, Federal Reserve Bank of New York View citations (46)
See also Chapter DSGE Model-Based Forecasting, Handbook of Economic Forecasting, Elsevier (2013) View citations (171) (2013)
- Evaluating DSGE model forecasts of comovements
Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (53)
Also in Working Papers, Federal Reserve Bank of Philadelphia (2011) View citations (7)
See also Journal Article Evaluating DSGE model forecasts of comovements, Journal of Econometrics, Elsevier (2012) View citations (49) (2012)
- Forecasting the Great Recession: DSGE vs. Blue Chip
Liberty Street Economics, Federal Reserve Bank of New York
- Labor-Market Heterogeneity, Aggregation, and the Policy-(In)variance of DSGE Model Parameters
Working papers, Yonsei University, Yonsei Economics Research Institute View citations (1)
Also in RCER Working Papers, University of Rochester - Center for Economic Research (RCER) (2011) View citations (3)
See also Journal Article LABOR-MARKET HETEROGENEITY, AGGREGATION, AND POLICY (IN)VARIANCE OF DSGE MODEL PARAMETERS, Journal of the European Economic Association, European Economic Association (2013) View citations (16) (2013)
2011
- Estimation and Evaluation of DSGE Models: Progress and Challenges
NBER Working Papers, National Bureau of Economic Research, Inc View citations (57)
Also in Working Papers, Federal Reserve Bank of Philadelphia (2011) View citations (37)
- Improving GDP Measurement: A Forecast Combination Perspective
NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2011) View citations (2)
Working Papers, Federal Reserve Bank of Philadelphia (2011) View citations (6)
2010
- Financial Frictions, Aggregation, and the Lucas Critique
2010 Meeting Papers, Society for Economic Dynamics View citations (4)
- Labor-Market Heterogeneity, Aggregation, and the Lucas Critique
RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (7)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (4)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (3)
2009
- Bayesian and Frequentist Inference in Partially Identified Models
NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)
See also Journal Article Bayesian and Frequentist Inference in Partially Identified Models, Econometrica, Econometric Society (2012) View citations (117) (2012)
- DSGE Model-Based Forecasting of Non-modelled Variables
NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
Also in Working Papers, Federal Reserve Bank of Philadelphia (2008) View citations (2)
See also Journal Article DSGE model-based forecasting of non-modelled variables, International Journal of Forecasting, Elsevier (2010) View citations (39) (2010)
- Methods versus Substance: Measuring the Effects of Technology Shocks on Hours
NBER Working Papers, National Bureau of Economic Research, Inc View citations (8)
Also in Staff Report, Federal Reserve Bank of Minneapolis (2009) View citations (5)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) View citations (21)
- Sticky Prices Versus Monetary Frictions: An Estimation of Policy Trade-offs
NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
Also in Working Papers, Federal Reserve Bank of Philadelphia (2009) View citations (5)
See also Journal Article Sticky Prices versus Monetary Frictions: An Estimation of Policy Trade-Offs, American Economic Journal: Macroeconomics, American Economic Association (2011) View citations (93) (2011)
2008
- Forming Priors for DSGE Models (and How it Affects the Assessment of Nominal Rigidities)
NBER Working Papers, National Bureau of Economic Research, Inc View citations (274)
Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2006) View citations (12)
2007 Meeting Papers, Society for Economic Dynamics (2007)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations (26)
Staff Reports, Federal Reserve Bank of New York (2008) View citations (178)
See also Journal Article Forming priors for DSGE models (and how it affects the assessment of nominal rigidities), Journal of Monetary Economics, Elsevier (2008) View citations (276) (2008)
- Inflation Dynamics in a Small Open Economy Model Under Inflation Targeting: Some Evidence From Chile
Working Papers Central Bank of Chile, Central Bank of Chile View citations (15)
Also in Staff Reports, Federal Reserve Bank of New York (2008) View citations (5)
See also Chapter Inflation Dynamics in a Small Open Economy Model under Inflation Targeting: Some Evidence from Chile, Central Banking, Analysis, and Economic Policies Book Series, Central Bank of Chile (2009) View citations (18) (2009)
- Insights from an Estimated Search-Based Monetary Model with Nominal Rigidities
2008 Meeting Papers, Society for Economic Dynamics View citations (6)
- Monetary policy analysis with potentially misspecified models
Staff Reports, Federal Reserve Bank of New York View citations (1)
Also in Working Paper Series, European Central Bank (2005) View citations (19)
NBER Working Papers, National Bureau of Economic Research, Inc (2007) View citations (7)
Working Papers, Federal Reserve Bank of Philadelphia (2005) View citations (13)
FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2005) View citations (19)
See also Journal Article Monetary Policy Analysis with Potentially Misspecified Models, American Economic Review, American Economic Association (2009) View citations (77) (2009)
- Priors from Frequency-Domain Dummy Observations
2008 Meeting Papers, Society for Economic Dynamics View citations (2)
2006
- Bayesian analysis of DSGE models
Working Papers, Federal Reserve Bank of Philadelphia View citations (63)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations (51)
See also Journal Article Bayesian Analysis of DSGE Models, Econometric Reviews, Taylor & Francis Journals (2007) View citations (1003) (2007)
- Boosting Your Instruments: Estimation with Overidentifying Inequality Moment Conditions
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (12)
Also in IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2006) View citations (11)
- Non-stationary hours in a DSGE model
Working Papers, Federal Reserve Bank of Philadelphia View citations (15)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations (5)
See also Journal Article Non-stationary Hours in a DSGE Model, Journal of Money, Credit and Banking, Blackwell Publishing (2007) View citations (91) (2007)
2005
- A Bayesian Look at New Open Economy Macroeconomics
Economics Working Paper Archive, The Johns Hopkins University,Department of Economics View citations (395)
See also Chapter A Bayesian Look at New Open Economy Macroeconomics, NBER Chapters, National Bureau of Economic Research, Inc (2006) View citations (153) (2006)
- On the Fit and Forecasting Performance of New Keynesian Models
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (85)
Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2004) View citations (31)
Working Paper Series, European Central Bank (2005) View citations (109)
2004
- A DSGE-VAR for the Euro Area
2004 Meeting Papers, Society for Economic Dynamics View citations (1)
Also in Computing in Economics and Finance 2004, Society for Computational Economics (2004) View citations (1)
- Bayesian Inference for Econometric Models using Empirical Likelihood Functions
Econometric Society 2004 North American Winter Meetings, Econometric Society
- Policy predictions if the model doesn’t fit
FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (7)
See also Journal Article Policy Predictions if the Model Does Not Fit, Journal of the European Economic Association, MIT Press (2005) View citations (7) (2005)
2003
- Do Central Banks Respond to Exchange Rate Movements? A Structural Investigation
Economics Working Paper Archive, The Johns Hopkins University,Department of Economics View citations (79)
See also Journal Article Do central banks respond to exchange rate movements? A structural investigation, Journal of Monetary Economics, Elsevier (2007) View citations (411) (2007)
- Estimating Monetary Policy Rules in Small Open Economies: A Structural Approach
Computing in Economics and Finance 2003, Society for Computational Economics View citations (3)
- Labor supply shifts and economic fluctuations
Working Paper, Federal Reserve Bank of Richmond View citations (10)
Also in Macroeconomics, University Library of Munich, Germany (2002) View citations (2)
See also Journal Article Labor-supply shifts and economic fluctuations, Journal of Monetary Economics, Elsevier (2003) View citations (116) (2003)
- Learning and monetary policy shifts
FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (14)
See also Journal Article Learning and Monetary Policy Shifts, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2005) View citations (197) (2005)
- Testing for Indeterminacy:An Application to U.S. Monetary Policy
Economics Working Paper Archive, The Johns Hopkins University,Department of Economics View citations (9)
See also Journal Article Testing for Indeterminacy: An Application to U.S. Monetary Policy, American Economic Review, American Economic Association (2004) View citations (971) (2004)
2002
- Computing Sunspots in Linear Rational Expectations Models
Computing in Economics and Finance 2002, Society for Computational Economics View citations (1)
Also in Economics Working Paper Archive, The Johns Hopkins University,Department of Economics (2002) View citations (2)
- Learning by Doing as a Propagation Mechanism
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (156)
Also in Macroeconomics, University Library of Munich, Germany (2002) View citations (125)
See also Journal Article Learning-by-Doing as a Propagation Mechanism, American Economic Review, American Economic Association (2002) View citations (159) (2002)
- Priors from general equilibrium models for VARs
FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (5)
See also Journal Article Priors from General Equilibrium Models for VARS, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2004) View citations (507) (2004)
- Testing for Indeterminacy in Linear Rational Expectations Models
Computing in Economics and Finance 2002, Society for Computational Economics View citations (3)
2000
- Evaluating Asset Pricing Implications of DSGE Models
Econometric Society World Congress 2000 Contributed Papers, Econometric Society
- Persistence
Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (4)
Journal Articles
2023
- Forecasting with a panel Tobit model
Quantitative Economics, 2023, 14, (1), 117-159 View citations (5)
See also Working Paper Forecasting with a Panel Tobit Model, Papers (2022) (2022)
2022
- SVARs with occasionally-binding constraints
Journal of Econometrics, 2022, 231, (2), 477-499 View citations (11)
See also Working Paper SVARs With Occasionally-Binding Constraints, CEPR Discussion Papers (2021) View citations (8) (2021)
2021
- Online estimation of DSGE models
The Econometrics Journal, 2021, 24, (1), C33-C58 View citations (7)
See also Working Paper Online Estimation of DSGE Models, Finance and Economics Discussion Series (2020) View citations (2) (2020)
- Panel forecasts of country-level Covid-19 infections
Journal of Econometrics, 2021, 220, (1), 2-22 View citations (19)
See also Working Paper Panel Forecasts of Country-Level Covid-19 Infections, NBER Working Papers (2020) View citations (11) (2020)
- Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints
Review of Economic Dynamics, 2021, 41, 96-120 View citations (19)
See also Software Item Code and data files for "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints", Computer Codes (2021) (2021)
Working Paper Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints, International Finance Discussion Papers (2020) View citations (12) (2020)
Working Paper Online Appendix to "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints", Online Appendices (2021) View citations (16) (2021)
2020
- Forecasting With Dynamic Panel Data Models
Econometrica, 2020, 88, (1), 171-201 View citations (24)
See also Working Paper Forecasting with Dynamic Panel Data Models, NBER Working Papers (2018) View citations (4) (2018)
2019
- Tempered particle filtering
Journal of Econometrics, 2019, 210, (1), 26-44 View citations (10)
See also Working Paper Tempered Particle Filtering, NBER Working Papers (2017) View citations (4) (2017)
2018
- Identifying Long‐Run Risks: A Bayesian Mixed‐Frequency Approach
Econometrica, 2018, 86, (2), 617-654 View citations (47)
See also Working Paper Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach, NBER Working Papers (2014) View citations (23) (2014)
- Inference for VARs identified with sign restrictions
Quantitative Economics, 2018, 9, (3), 1087-1121 View citations (36)
See also Working Paper Inference for VARs Identified with Sign Restrictions, Papers (2018) View citations (46) (2018)
- Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries
The Review of Economic Studies, 2018, 85, (1), 87-118 View citations (116)
See also Working Paper Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries, International Finance Discussion Papers (2016) View citations (45) (2016)
- On the Comparison of Interval Forecasts
Journal of Time Series Analysis, 2018, 39, (6), 953-965 View citations (17)
See also Working Paper On the Comparison of Interval Forecasts, PIER Working Paper Archive (2018) View citations (18) (2018)
2017
- Assessing DSGE model nonlinearities
Journal of Economic Dynamics and Control, 2017, 83, (C), 34-54 View citations (38)
See also Working Paper Assessing DSGE Model Nonlinearities, NBER Working Papers (2013) View citations (12) (2013)
- Real-time forecast evaluation of DSGE models with stochastic volatility
Journal of Econometrics, 2017, 201, (2), 322-332 View citations (40)
See also Working Paper Real-time forecast evaluation of DSGE models with stochastic volatility, CFS Working Paper Series (2017) View citations (47) (2017)
2016
- Dynamic prediction pools: An investigation of financial frictions and forecasting performance
Journal of Econometrics, 2016, 192, (2), 391-405 View citations (122)
See also Working Paper Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance, PIER Working Paper Archive (2014) View citations (26) (2014)
- Improving GDP measurement: A measurement-error perspective
Journal of Econometrics, 2016, 191, (2), 384-397 View citations (45)
See also Working Paper Improving GDP Measurement: A Measurement-Error Perspective, NBER Working Papers (2013) View citations (15) (2013)
- Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities
The Review of Economic Studies, 2016, 83, (4), 1511-1543 View citations (73)
See also Working Paper Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities, NBER Working Papers (2014) View citations (17) (2014)
- To hold out or not to hold out
Research in Economics, 2016, 70, (2), 332-345 View citations (8)
See also Working Paper To Hold Out or Not to Hold Out, Working Papers (2014) (2014)
2015
- Inflation in the Great Recession and New Keynesian Models
American Economic Journal: Macroeconomics, 2015, 7, (1), 168-96 View citations (239)
See also Working Paper Inflation in the Great Recession and New Keynesian Models, NBER Working Papers (2014) View citations (27) (2014)
- Real-Time Forecasting With a Mixed-Frequency VAR
Journal of Business & Economic Statistics, 2015, 33, (3), 366-380 View citations (168)
See also Working Paper Real-Time Forecasting with a Mixed-Frequency VAR, NBER Working Papers (2013) View citations (58) (2013)
2014
- INTRODUCTION TO RECENT ADVANCES IN METHODS AND APPLICATIONS FOR DSGE MODELS
Journal of Applied Econometrics, 2014, 29, (7), 1029-1030
- SEQUENTIAL MONTE CARLO SAMPLING FOR DSGE MODELS
Journal of Applied Econometrics, 2014, 29, (7), 1073-1098 View citations (93)
See also Working Paper Sequential Monte Carlo Sampling for DSGE Models, NBER Working Papers (2013) View citations (18) (2013)
2013
- A Markov-switching multifractal inter-trade duration model, with application to US equities
Journal of Econometrics, 2013, 177, (2), 320-342 View citations (31)
See also Working Paper A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities, PIER Working Paper Archive (2012) View citations (5) (2012)
- LABOR-MARKET HETEROGENEITY, AGGREGATION, AND POLICY (IN)VARIANCE OF DSGE MODEL PARAMETERS
Journal of the European Economic Association, 2013, 11, 193-220 View citations (16)
See also Working Paper Labor-Market Heterogeneity, Aggregation, and the Policy-(In)variance of DSGE Model Parameters, Working papers (2012) View citations (1) (2012)
2012
- Bayesian and Frequentist Inference in Partially Identified Models
Econometrica, 2012, 80, (2), 755-782 View citations (117)
See also Working Paper Bayesian and Frequentist Inference in Partially Identified Models, NBER Working Papers (2009) View citations (16) (2009)
- EconomicDynamics Interviews Frank Schorfheide on DSGE Model Estimation
EconomicDynamics Newsletter, 2012, 13, (2) View citations (1)
- Evaluating DSGE model forecasts of comovements
Journal of Econometrics, 2012, 171, (2), 152-166 View citations (49)
See also Working Paper Evaluating DSGE model forecasts of comovements, Finance and Economics Discussion Series (2012) View citations (53) (2012)
- Methods versus substance: Measuring the effects of technology shocks
Journal of Monetary Economics, 2012, 59, (8), 826-846 View citations (55)
- On the Use of Holdout Samples for Model Selection
American Economic Review, 2012, 102, (3), 477-81 View citations (19)
2011
- Sticky Prices versus Monetary Frictions: An Estimation of Policy Trade-Offs
American Economic Journal: Macroeconomics, 2011, 3, (1), 60-90 View citations (93)
See also Working Paper Sticky Prices Versus Monetary Frictions: An Estimation of Policy Trade-offs, NBER Working Papers (2009) View citations (4) (2009)
2010
- DSGE model-based forecasting of non-modelled variables
International Journal of Forecasting, 2010, 26, (2), 348-373 View citations (39)
See also Working Paper DSGE Model-Based Forecasting of Non-modelled Variables, NBER Working Papers (2009) View citations (1) (2009)
2009
- Estimation with overidentifying inequality moment conditions
Journal of Econometrics, 2009, 153, (2), 136-154 View citations (52)
- Monetary Policy Analysis with Potentially Misspecified Models
American Economic Review, 2009, 99, (4), 1415-50 View citations (77)
See also Working Paper Monetary policy analysis with potentially misspecified models, Staff Reports (2008) View citations (1) (2008)
2008
- Comment on: "Monetary policy under uncertainty in an estimated model with labor market frictions" by Luca Sala, Ulf Söderström, and Antonella Trigari
Journal of Monetary Economics, 2008, 55, (5), 1007-1010 View citations (4)
- DSGE model-based estimation of the New Keynesian Phillips curve
Economic Quarterly, 2008, 94, (Fall), 397-433 View citations (46)
- Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)
Journal of Monetary Economics, 2008, 55, (7), 1191-1208 View citations (276)
See also Working Paper Forming Priors for DSGE Models (and How it Affects the Assessment of Nominal Rigidities), NBER Working Papers (2008) View citations (274) (2008)
2007
- Bayesian Analysis of DSGE Models
Econometric Reviews, 2007, 26, (2-4), 113-172 View citations (1003)
See also Working Paper Bayesian analysis of DSGE models, Working Papers (2006) View citations (63) (2006)
- Bayesian Analysis of DSGE Models—Rejoinder
Econometric Reviews, 2007, 26, (2-4), 211-219 View citations (728)
- Do central banks respond to exchange rate movements? A structural investigation
Journal of Monetary Economics, 2007, 54, (4), 1069-1087 View citations (411)
See also Working Paper Do Central Banks Respond to Exchange Rate Movements? A Structural Investigation, Economics Working Paper Archive (2003) View citations (79) (2003)
- Non-stationary Hours in a DSGE Model
Journal of Money, Credit and Banking, 2007, 39, (6), 1357-1373 View citations (91)
Also in Journal of Money, Credit and Banking, 2007, 39, (6), 1357-1373 (2007) View citations (6)
See also Working Paper Non-stationary hours in a DSGE model, Working Papers (2006) View citations (15) (2006)
- On the Fit of New Keynesian Models
Journal of Business & Economic Statistics, 2007, 25, 123-143 View citations (415)
- Rejoinder
Journal of Business & Economic Statistics, 2007, 25, 159-162
- Testing for Indeterminacy: An Application to U.S. Monetary Policy: Reply
American Economic Review, 2007, 97, (1), 530-533 View citations (13)
2006
- How good is what you've got? DSGE-VAR as a toolkit for evaluating DSGE models
Economic Review, 2006, 91, (Q 2), 21-37 View citations (24)
- The econometrics of macroeconomics, finance, and the interface
Journal of Econometrics, 2006, 131, (1-2), 1-2
2005
- Learning and Monetary Policy Shifts
Review of Economic Dynamics, 2005, 8, (2), 392-419 View citations (197)
See also Working Paper Learning and monetary policy shifts, FRB Atlanta Working Paper (2003) View citations (14) (2003)
- Policy Predictions if the Model Does Not Fit
Journal of the European Economic Association, 2005, 3, (2-3), 434-443 View citations (7)
See also Working Paper Policy predictions if the model doesn’t fit, FRB Atlanta Working Paper (2004) View citations (7) (2004)
- VAR forecasting under misspecification
Journal of Econometrics, 2005, 128, (1), 99-136 View citations (85)
2004
- Future prices as risk-adjusted forecasts of monetary policy; comments
Proceedings, 2004, (Mar)
- Priors from General Equilibrium Models for VARS
International Economic Review, 2004, 45, (2), 643-673 View citations (507)
See also Working Paper Priors from general equilibrium models for VARs, FRB Atlanta Working Paper (2002) View citations (5) (2002)
- Testing for Indeterminacy: An Application to U.S. Monetary Policy
American Economic Review, 2004, 94, (1), 190-217 View citations (971)
See also Working Paper Testing for Indeterminacy:An Application to U.S. Monetary Policy, Economics Working Paper Archive (2003) View citations (9) (2003)
2003
- Computing sunspot equilibria in linear rational expectations models
Journal of Economic Dynamics and Control, 2003, 28, (2), 273-285 View citations (300)
- FINANCIAL ECONOMETRICS, by Christian Gourieroux and Joann Jasiak, Princeton University Press, 2001
Econometric Theory, 2003, 19, (2), 401-409
- Labor-supply shifts and economic fluctuations
Journal of Monetary Economics, 2003, 50, (8), 1751-1768 View citations (116)
See also Working Paper Labor supply shifts and economic fluctuations, Working Paper (2003) View citations (10) (2003)
- Take your model bowling: forecasting with general equilibrium models
Economic Review, 2003, 88, (Q4), 35-50 View citations (15)
2002
- Learning-by-Doing as a Propagation Mechanism
American Economic Review, 2002, 92, (5), 1498-1520 View citations (159)
See also Working Paper Learning by Doing as a Propagation Mechanism, CEPR Discussion Papers (2002) View citations (156) (2002)
- MINIMUM DISTANCE ESTIMATION OF NONSTATIONARY TIME SERIES MODELS
Econometric Theory, 2002, 18, (6), 1385-1407 View citations (8)
2000
- FORECASTING ECONOMIC TIME SERIES
Econometric Theory, 2000, 16, (3), 441-450 View citations (6)
- Loss function-based evaluation of DSGE models
Journal of Applied Econometrics, 2000, 15, (6), 645-670 View citations (497)
Books
2016
- Bayesian Estimation of DSGE Models
Economics Books, Princeton University Press View citations (149)
Chapters
2016
- DSGE Modeling
A chapter in Bayesian Estimation of DSGE Models, 2016
- Solution and Estimation Methods for DSGE Models
Elsevier View citations (139)
See also Working Paper Solution and Estimation Methods for DSGE Models, National Bureau of Economic Research, Inc (2016) View citations (155) (2016)
2013
- DSGE Model-Based Forecasting
Elsevier View citations (171)
See also Working Paper DSGE model-based forecasting, Federal Reserve Bank of New York (2012) View citations (46) (2012)
2009
- Inflation Dynamics in a Small Open Economy Model under Inflation Targeting: Some Evidence from Chile
Chapter 13 in Monetary Policy under Uncertainty and Learning, 2009, vol. 13, pp 511-562 View citations (18)
See also Working Paper Inflation Dynamics in a Small Open Economy Model Under Inflation Targeting: Some Evidence From Chile, Central Bank of Chile (2008) View citations (15) (2008)
2008
- Comment on "How Structural Are Structural Parameters?"
A chapter in NBER Macroeconomics Annual 2007, Volume 22, 2008, pp 149-163 View citations (3)
2006
- A Bayesian Look at New Open Economy Macroeconomics
A chapter in NBER Macroeconomics Annual 2005, Volume 20, 2006, pp 313-382 View citations (153)
See also Working Paper A Bayesian Look at New Open Economy Macroeconomics, The Johns Hopkins University,Department of Economics (2005) View citations (395) (2005)
Software Items
2021
- Code and data files for "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints"
Computer Codes, Review of Economic Dynamics
See also Journal Article Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2021) View citations (19) (2021)
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