Details about Frank Schorfheide

Access statistics for papers by Frank Schorfheide.

Last updated 2009-05-07. Update your information in the RePEc Author Service.

Short-id: psc19

Working Papers

2009

1. Bayesian and Frequentist Inference in Partially Identified Models
   NBER Working Papers, National Bureau of Economic Research, Inc
2. DSGE Model-Based Forecasting of Non-modelled Variables
   NBER Working Papers, National Bureau of Economic Research, Inc
   Also in Working Papers, Federal Reserve Bank of Philadelphia (2008)
3. Methods versus Substance: Measuring the Effects of Technology Shocks on Hours
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
4. Sticky Prices Versus Monetary Frictions: An Estimation of Policy Trade-offs
   NBER Working Papers, National Bureau of Economic Research, Inc
   Also in Working Papers, Federal Reserve Bank of Philadelphia (2009)

2008

5. 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
   Also in Staff Reports, Federal Reserve Bank of New York (2008) View citations
   Working Paper, Federal Reserve Bank of Atlanta (2006) View citations
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations
   See also Journal Article in Journal of Monetary Economics (2008)
6. 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
   Also in Staff Reports, Federal Reserve Bank of New York (2008)
7. Monetary policy analysis with potentially misspecified models
   Staff Reports, Federal Reserve Bank of New York
   Also in Working Paper Series, European Central Bank (2005) View citations
   Working Papers, Federal Reserve Bank of Philadelphia (2005) View citations
   NBER Working Papers, National Bureau of Economic Research, Inc (2007) View citations
   Working Paper, Federal Reserve Bank of Atlanta (2005) View citations

2006

8. Bayesian analysis of DSGE models
   Working Papers, Federal Reserve Bank of Philadelphia View citations
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations
   See also Journal Article in Econometric Reviews (2007)
9. Boosting Your Instruments: Estimation with Overidentifying Inequality Moment Conditions
   IEPR Working Papers, Institute of Economic Policy Research (IEPR) View citations
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) View citations
10. Non-stationary hours in a DSGE model
    Working Papers, Federal Reserve Bank of Philadelphia View citations
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations
    See also Journal Article in Journal of Money, Credit and Banking (2007)

2005

11. A Bayesian Look at New Open Economy Macroeconomics
    Economics Working Paper Archive, The Johns Hopkins University,Department of Economics View citations
12. On the Fit and Forecasting Performance of New Keynesian Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in Working Paper Series, European Central Bank (2005) View citations
    Working Paper, Federal Reserve Bank of Atlanta (2004) View citations

2004

13. 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)
14. Bayesian Inference for Econometric Models using Empirical Likelihood Functions
    Econometric Society 2004 North American Winter Meetings, Econometric Society
15. Policy predictions if the model doesn’t fit
    Working Paper, Federal Reserve Bank of Atlanta View citations
    See also Journal Article in Journal of the European Economic Association (2005)

2003

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

2002

21. Computing Sunspots in Linear Rational Expectations Models
    Economics Working Paper Archive, The Johns Hopkins University,Department of Economics View citations
    Also in Computing in Economics and Finance 2002, Society for Computational Economics (2002) View citations
22. Labor-Supply Shifts and Economic Fluctuations
    Macroeconomics, EconWPA
    See also Journal Article in Journal of Monetary Economics (2003)
23. Learning by Doing as a Propagation Mechanism
    Macroeconomics, EconWPA View citations
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) View citations
    See also Journal Article in American Economic Review (2002)
24. Priors from general equilibrium models for VARs
    Working Paper, Federal Reserve Bank of Atlanta View citations
    See also Journal Article in International Economic Review (2004)
25. Testing for Indeterminacy in Linear Rational Expectations Models
    Computing in Economics and Finance 2002, Society for Computational Economics View citations

2000

26. Evaluating Asset Pricing Implications of DSGE Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society
27. Persistence
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations

Journal Articles

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
2. 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
   See also Working Paper (2008)

2007

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

2006

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

2005

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

2004

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

2003

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

2002

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

2000

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

Chapters

2007

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

2006

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