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Details about Frank Schorfheide

E-mail:
Homepage:http://sites.sas.upenn.edu/schorf
Phone:215-898-8486
Postal address:Department of Economics University of Pennsylvania 3718 Locust Walk Philadelphia, PA 19104-6297
Workplace:Department of Economics, University of Pennsylvania, (more information at EDIRC)

Access statistics for papers by Frank Schorfheide.

Last updated 2016-09-14. Update your information in the RePEc Author Service.

Short-id: psc19


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Working Papers

2017

  1. Tempered Particle Filtering
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2016) Downloads

2016

  1. Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2014) Downloads View citations (13)
    NBER Working Papers, National Bureau of Economic Research, Inc (2013) Downloads View citations (39)
  2. Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
  3. Solution and Estimation Methods for DSGE Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) Downloads View citations (2)

2014

  1. Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (14)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2014) Downloads View citations (14)
    Staff Reports, Federal Reserve Bank of New York (2014) Downloads View citations (14)

    See also Journal Article in Journal of Econometrics (2016)
  2. Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2013) Downloads View citations (9)
    2013 Meeting Papers, Society for Economic Dynamics (2013) Downloads View citations (2)
  3. Inflation in the Great Recession and New Keynesian Models
    2014 Meeting Papers, Society for Economic Dynamics View citations (6)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) Downloads View citations (13)
    Staff Reports, Federal Reserve Bank of New York (2014) Downloads View citations (4)

    See also Journal Article in American Economic Journal: Macroeconomics (2015)
  4. Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2013) Downloads View citations (2)
  5. To Hold Out or Not to Hold Out
    Working Papers, Rice University, Department of Economics Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013) Downloads View citations (1)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2013) Downloads View citations (1)

    See also Journal Article in Research in Economics (2016)

2013

  1. Assessing DSGE Model Nonlinearities
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2013) Downloads View citations (4)
  2. Improving GDP Measurement: A Measurement-Error Perspective
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2013) Downloads View citations (9)
    Working Papers, Federal Reserve Bank of Philadelphia (2013) Downloads View citations (19)

    See also Journal Article in Journal of Econometrics (2016)
  3. Macroeconomic dynamics near the ZLB: a tale of two equilibria
    Working Papers, Federal Reserve Bank of Philadelphia Downloads View citations (37)
  4. Real-Time Forecasting with a Mixed-Frequency VAR
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (39)
    Also in Working Papers, Federal Reserve Bank of Minneapolis (2012) Downloads View citations (9)

    See also Journal Article in Journal of Business & Economic Statistics (2015)
  5. Sequential Monte Carlo Sampling for DSGE Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (16)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2012) Downloads View citations (4)
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2013) Downloads View citations (3)

    See also Journal Article in Journal of Applied Econometrics (2014)

2012

  1. A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2012) Downloads View citations (3)

    See also Journal Article in Journal of Econometrics (2013)
  2. DSGE model-based forecasting
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (44)
    See also Chapter (2013)
  3. Evaluating DSGE model forecasts of comovements
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (32)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2011) Downloads View citations (1)

    See also Journal Article in Journal of Econometrics (2012)
  4. Labor-Market Heterogeneity, Aggregation, and the Policy-(In)variance of DSGE Model Parameters
    Working papers, Yonsei University, Yonsei Economics Research Institute Downloads
    Also in RCER Working Papers, University of Rochester - Center for Economic Research (RCER) (2011) Downloads View citations (2)

2011

  1. Estimation and Evaluation of DSGE Models: Progress and Challenges
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (23)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2011) Downloads View citations (20)
  2. Improving GDP Measurement: A Forecast Combination Perspective
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2011) Downloads View citations (1)
    Working Papers, Federal Reserve Bank of Philadelphia (2011) Downloads View citations (1)
  3. Inference for VARs Identified with Sign Restrictions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (8)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) Downloads View citations (28)
    Working Papers, Federal Reserve Bank of Philadelphia (2011) Downloads View citations (24)

2010

  1. Financial Frictions, Aggregation, and the Lucas Critique
    2010 Meeting Papers, Society for Economic Dynamics Downloads
  2. Labor-Market Heterogeneity, Aggregation, and the Lucas Critique
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) Downloads View citations (1)
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) (2010) Downloads View citations (4)

2009

  1. Bayesian and Frequentist Inference in Partially Identified Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    See also Journal Article in Econometrica (2012)
  2. DSGE Model-Based Forecasting of Non-modelled Variables
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2008) Downloads

    See also Journal Article in International Journal of Forecasting (2010)
  3. Methods versus Substance: Measuring the Effects of Technology Shocks on Hours
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (20)
    Also in Staff Report, Federal Reserve Bank of Minneapolis (2009) Downloads View citations (5)
    NBER Working Papers, National Bureau of Economic Research, Inc (2009) Downloads View citations (7)
  4. Sticky Prices Versus Monetary Frictions: An Estimation of Policy Trade-offs
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2009) Downloads View citations (3)

    See also Journal Article in American Economic Journal: Macroeconomics (2011)

2008

  1. Forming Priors for DSGE Models (and How it Affects the Assessment of Nominal Rigidities)
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (88)
    Also in Staff Reports, Federal Reserve Bank of New York (2008) Downloads View citations (89)
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2006) Downloads View citations (5)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) Downloads View citations (26)
    2007 Meeting Papers, Society for Economic Dynamics (2007) Downloads

    See also Journal Article in Journal of Monetary Economics (2008)
  2. 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 Downloads View citations (2)
    Also in Staff Reports, Federal Reserve Bank of New York (2008) Downloads View citations (4)

    See also Chapter (2009)
  3. Insights from an Estimated Search-Based Monetary Model with Nominal Rigidities
    2008 Meeting Papers, Society for Economic Dynamics View citations (4)
  4. Monetary policy analysis with potentially misspecified models
    Staff Reports, Federal Reserve Bank of New York Downloads
    Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2005) Downloads View citations (14)
    Working Papers, Federal Reserve Bank of Philadelphia (2005) Downloads View citations (9)
    NBER Working Papers, National Bureau of Economic Research, Inc (2007) Downloads View citations (5)

    See also Journal Article in American Economic Review (2009)
  5. Priors from Frequency-Domain Dummy Observations
    2008 Meeting Papers, Society for Economic Dynamics Downloads

2006

  1. Bayesian analysis of DSGE models
    Working Papers, Federal Reserve Bank of Philadelphia Downloads View citations (48)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) Downloads View citations (46)

    See also Journal Article in Econometric Reviews (2007)
  2. Boosting Your Instruments: Estimation with Overidentifying Inequality Moment Conditions
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (8)
    Also in IEPR Working Papers, Institute of Economic Policy Research (IEPR) (2006) View citations (2)
  3. Non-stationary hours in a DSGE model
    Working Papers, Federal Reserve Bank of Philadelphia Downloads View citations (14)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) Downloads View citations (4)

    See also Journal Article in Journal of Money, Credit and Banking (2007)

2005

  1. A Bayesian Look at New Open Economy Macroeconomics
    Economics Working Paper Archive, The Johns Hopkins University,Department of Economics Downloads View citations (183)
  2. On the Fit and Forecasting Performance of New Keynesian Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (33)
    Also in FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2004) Downloads View citations (25)

2004

  1. A DSGE-VAR for the Euro Area
    2004 Meeting Papers, Society for Economic Dynamics
    Also in Computing in Economics and Finance 2004, Society for Computational Economics (2004) Downloads
  2. Bayesian Inference for Econometric Models using Empirical Likelihood Functions
    Econometric Society 2004 North American Winter Meetings, Econometric Society Downloads
  3. Policy predictions if the model doesn’t fit
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (7)
    See also Journal Article in Journal of the European Economic Association (2005)

2003

  1. Do Central Banks Respond to Exchange Rate Movements? A Structural Investigation
    Economics Working Paper Archive, The Johns Hopkins University,Department of Economics Downloads View citations (49)
    See also Journal Article in Journal of Monetary Economics (2007)
  2. Estimating Monetary Policy Rules in Small Open Economies: A Structural Approach
    Computing in Economics and Finance 2003, Society for Computational Economics View citations (2)
  3. Labor shifts and economic fluctuations
    Working Paper, Federal Reserve Bank of Richmond Downloads View citations (8)
  4. Learning and monetary policy shifts
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (12)
    See also Journal Article in Review of Economic Dynamics (2005)
  5. Testing for Indeterminacy:An Application to U.S. Monetary Policy
    Economics Working Paper Archive, The Johns Hopkins University,Department of Economics Downloads View citations (9)
    See also Journal Article in American Economic Review (2004)

2002

  1. Computing Sunspots in Linear Rational Expectations Models
    Economics Working Paper Archive, The Johns Hopkins University,Department of Economics Downloads View citations (2)
    Also in Computing in Economics and Finance 2002, Society for Computational Economics (2002) View citations (1)
  2. Labor-Supply Shifts and Economic Fluctuations
    Macroeconomics, EconWPA Downloads
    See also Journal Article in Journal of Monetary Economics (2003)
  3. Learning by Doing as a Propagation Mechanism
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (72)
    Also in Macroeconomics, EconWPA (2002) Downloads View citations (65)

    See also Journal Article in American Economic Review (2002)
  4. Priors from general equilibrium models for VARs
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (1)
    See also Journal Article in International Economic Review (2004)
  5. Testing for Indeterminacy in Linear Rational Expectations Models
    Computing in Economics and Finance 2002, Society for Computational Economics Downloads View citations (3)

2000

  1. Evaluating Asset Pricing Implications of DSGE Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads
  2. Persistence
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (3)

Journal Articles

2016

  1. Dynamic prediction pools: An investigation of financial frictions and forecasting performance
    Journal of Econometrics, 2016, 192, (2), 391-405 Downloads View citations (5)
    See also Working Paper (2014)
  2. Improving GDP measurement: A measurement-error perspective
    Journal of Econometrics, 2016, 191, (2), 384-397 Downloads View citations (1)
    See also Working Paper (2013)
  3. To hold out or not to hold out
    Research in Economics, 2016, 70, (2), 332-345 Downloads
    See also Working Paper (2014)

2015

  1. Inflation in the Great Recession and New Keynesian Models
    American Economic Journal: Macroeconomics, 2015, 7, (1), 168-96 Downloads View citations (24)
    See also Working Paper (2014)
  2. Real-Time Forecasting With a Mixed-Frequency VAR
    Journal of Business & Economic Statistics, 2015, 33, (3), 366-380 Downloads View citations (9)
    See also Working Paper (2013)

2014

  1. INTRODUCTION TO RECENT ADVANCES IN METHODS AND APPLICATIONS FOR DSGE MODELS
    Journal of Applied Econometrics, 2014, 29, (7), 1029-1030 Downloads
  2. SEQUENTIAL MONTE CARLO SAMPLING FOR DSGE MODELS
    Journal of Applied Econometrics, 2014, 29, (7), 1073-1098 Downloads View citations (13)
    See also Working Paper (2013)

2013

  1. A Markov-switching multifractal inter-trade duration model, with application to US equities
    Journal of Econometrics, 2013, 177, (2), 320-342 Downloads View citations (13)
    See also Working Paper (2012)
  2. LABOR-MARKET HETEROGENEITY, AGGREGATION, AND POLICY (IN)VARIANCE OF DSGE MODEL PARAMETERS
    Journal of the European Economic Association, 2013, 11, 193-220 Downloads View citations (10)

2012

  1. Bayesian and Frequentist Inference in Partially Identified Models
    Econometrica, 2012, 80, (2), 755-782 Downloads View citations (24)
    See also Working Paper (2009)
  2. EconomicDynamics Interviews Frank Schorfheide on DSGE Model Estimation
    EconomicDynamics Newsletter, 2012, 13, (2) Downloads
  3. Evaluating DSGE model forecasts of comovements
    Journal of Econometrics, 2012, 171, (2), 152-166 Downloads View citations (28)
    See also Working Paper (2012)
  4. Methods versus substance: Measuring the effects of technology shocks
    Journal of Monetary Economics, 2012, 59, (8), 826-846 Downloads View citations (23)
  5. On the Use of Holdout Samples for Model Selection
    American Economic Review, 2012, 102, (3), 477-81 Downloads View citations (2)

2011

  1. Sticky Prices versus Monetary Frictions: An Estimation of Policy Trade-Offs
    American Economic Journal: Macroeconomics, 2011, 3, (1), 60-90 Downloads View citations (37)
    See also Working Paper (2009)

2010

  1. DSGE model-based forecasting of non-modelled variables
    International Journal of Forecasting, 2010, 26, (2), 348-373 Downloads View citations (33)
    See also Working Paper (2009)

2009

  1. Estimation with overidentifying inequality moment conditions
    Journal of Econometrics, 2009, 153, (2), 136-154 Downloads View citations (13)
  2. Monetary Policy Analysis with Potentially Misspecified Models
    American Economic Review, 2009, 99, (4), 1415-50 Downloads View citations (40)
    See also Working Paper (2008)

2008

  1. 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 Downloads View citations (4)
  2. DSGE model-based estimation of the New Keynesian Phillips curve
    Economic Quarterly, 2008, (Fall), 397-433 Downloads View citations (29)
  3. Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)
    Journal of Monetary Economics, 2008, 55, (7), 1191-1208 Downloads View citations (89)
    See also Working Paper (2008)

2007

  1. Bayesian Analysis of DSGE Models
    Econometric Reviews, 2007, 26, (2-4), 113-172 Downloads View citations (417)
    See also Working Paper (2006)
  2. Bayesian Analysis of DSGE Models—Rejoinder
    Econometric Reviews, 2007, 26, (2-4), 211-219 Downloads View citations (355)
  3. Do central banks respond to exchange rate movements? A structural investigation
    Journal of Monetary Economics, 2007, 54, (4), 1069-1087 Downloads View citations (209)
    See also Working Paper (2003)
  4. Non-stationary Hours in a DSGE Model
    Journal of Money, Credit and Banking, 2007, 39, (6), 1357-1373 Downloads View citations (49)
    See also Working Paper (2006)
  5. On the Fit of New Keynesian Models
    Journal of Business & Economic Statistics, 2007, 25, 123-143 Downloads View citations (179)
  6. Rejoinder
    Journal of Business & Economic Statistics, 2007, 25, 159-162 Downloads
  7. Testing for Indeterminacy: An Application to U.S. Monetary Policy: Reply
    American Economic Review, 2007, 97, (1), 530-533 Downloads View citations (6)

2006

  1. How good is what you've got? DSGE-VAR as a toolkit for evaluating DSGE models
    Economic Review, 2006, (Q 2), 21-37 Downloads View citations (13)
  2. The econometrics of macroeconomics, finance, and the interface
    Journal of Econometrics, 2006, 131, (1-2), 1-2 Downloads

2005

  1. Learning and Monetary Policy Shifts
    Review of Economic Dynamics, 2005, 8, (2), 392-419 Downloads View citations (126)
    See also Working Paper (2003)
  2. Policy Predictions if the Model Does Not Fit
    Journal of the European Economic Association, 2005, 3, (2-3), 434-443 Downloads View citations (6)
    See also Working Paper (2004)
  3. VAR forecasting under misspecification
    Journal of Econometrics, 2005, 128, (1), 99-136 Downloads View citations (41)

2004

  1. Future prices as risk-adjusted forecasts of monetary policy; comments
    Proceedings, 2004, (Mar) Downloads
  2. Priors from General Equilibrium Models for VARS
    International Economic Review, 2004, 45, (2), 643-673 Downloads View citations (315)
    See also Working Paper (2002)
  3. Testing for Indeterminacy: An Application to U.S. Monetary Policy
    American Economic Review, 2004, 94, (1), 190-217 Downloads View citations (531)
    See also Working Paper (2003)

2003

  1. Computing sunspot equilibria in linear rational expectations models
    Journal of Economic Dynamics and Control, 2003, 28, (2), 273-285 Downloads View citations (166)
  2. FINANCIAL ECONOMETRICS, by Christian Gourieroux and Joann Jasiak, Princeton University Press, 2001
    Econometric Theory, 2003, 19, (02), 401-409 Downloads
  3. Labor-supply shifts and economic fluctuations
    Journal of Monetary Economics, 2003, 50, (8), 1751-1768 Downloads View citations (64)
    See also Working Paper (2002)
  4. Take your model bowling: forecasting with general equilibrium models
    Economic Review, 2003, (Q4), 35-50 Downloads View citations (10)

2002

  1. Learning-by-Doing as a Propagation Mechanism
    American Economic Review, 2002, 92, (5), 1498-1520 Downloads View citations (73)
    See also Working Paper (2002)
  2. MINIMUM DISTANCE ESTIMATION OF NONSTATIONARY TIME SERIES MODELS
    Econometric Theory, 2002, 18, (06), 1385-1407 Downloads View citations (2)

2000

  1. FORECASTING ECONOMIC TIME SERIES
    Econometric Theory, 2000, 16, (03), 441-450 Downloads View citations (6)
  2. Loss function-based evaluation of DSGE models
    Journal of Applied Econometrics, 2000, 15, (6), 645-670 Downloads View citations (308)

Books

2016

  1. Bayesian Estimation of DSGE Models
    Economics Books, Princeton University Press View citations (9)

Chapters

2016

  1. DSGE Modeling
    A chapter in Bayesian Estimation of DSGE Models, 2016 Downloads

2013

  1. DSGE Model-Based Forecasting
    Elsevier Downloads View citations (19)
    See also Working Paper (2012)

2009

  1. 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 Downloads View citations (1)
    See also Working Paper (2008)

2008

  1. Comment on "How Structural Are Structural Parameters?"
    A chapter in NBER Macroeconomics Annual 2007, Volume 22, 2008, pp 149-163 Downloads View citations (1)

2006

  1. A Bayesian Look at the New Open Economy Macroeconomics
    A chapter in NBER Macroeconomics Annual 2005, Volume 20, 2006, pp 313-382 Downloads View citations (47)

Software Items

 
Page updated 2017-06-28