Details about Frank Schorfheide

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 2023-05-08. Update your information in the RePEc Author Service.

Short-id: psc19

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Working Papers

2023

1. Optimal Decision Rules when Payoffs are Partially Identified
   Papers, arXiv.org

2022

2. 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 (11)
   NBER Working Papers, National Bureau of Economic Research, Inc (2019) View citations (10)
   See also Journal Article in Quantitative Economics (2023)
3. On the Effects of Monetary Policy Shocks on Earnings and Consumption Heterogeneity
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
4. Sequential Monte Carlo With Model Tempering
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Papers, arXiv.org (2022) View citations (1)

2021

5. Heterogeneity and Aggregate Fluctuations
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2021) View citations (11)
   NBER Working Papers, National Bureau of Economic Research, Inc (2021) View citations (11)
6. Online Appendix to "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints"
   Online Appendices, Review of Economic Dynamics View citations (8)
   See also Journal Article in Review of Economic Dynamics (2021)
7. Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2020) View citations (37)
   Working Papers, Federal Reserve Bank of Philadelphia (2020) View citations (16)
   NBER Working Papers, National Bureau of Economic Research, Inc (2021) View citations (8)
8. 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 in Journal of Econometrics (2022)

2020

9. 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 Staff Reports, Federal Reserve Bank of New York (2019)
   Liberty Street Economics, Federal Reserve Bank of New York (2019)
   NBER Working Papers, National Bureau of Economic Research, Inc (2020)
   PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2019) View citations (1)
   See also Journal Article in The Econometrics Journal (2021)
10. Panel Forecasts of Country-Level Covid-19 Infections
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)
    See also Journal Article in Journal of Econometrics (2021)
11. Panel Forecasts of Country-Level Covid-19 Infectionsliu
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
12. 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 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 (8)
    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)
    See also Journal Article in Review of Economic Dynamics (2021)
13. Robust Forecasting
    Papers, arXiv.org
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2020)

2018

14. Forecasting with Dynamic Panel Data Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2016) View citations (3)
    Papers, arXiv.org (2017) View citations (5)
    See also Journal Article in Econometrica (2020)
15. Inference for VARs Identified with Sign Restrictions
    Papers, arXiv.org View citations (42)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (32)
    Working Papers, Federal Reserve Bank of Philadelphia (2011) View citations (31)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) View citations (15)
    See also Journal Article in Quantitative Economics (2018)
16. On the Comparison of Interval Forecasts
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (16)
    See also Journal Article in Journal of Time Series Analysis (2018)

2017

17. Real-time forecast evaluation of DSGE models with stochastic volatility
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (41)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2016) View citations (12)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2015) View citations (11)
    See also Journal Article in Journal of Econometrics (2017)
18. Tempered Particle Filtering
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2016) View citations (2)
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2016) View citations (1)
    See also Journal Article in Journal of Econometrics (2019)

2016

19. 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 PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2014) View citations (27)
    NBER Working Papers, National Bureau of Economic Research, Inc (2013) View citations (68)
    See also Journal Article in Review of Economic Studies (2018)
20. Solution and Estimation Methods for DSGE Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (137)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2015) View citations (5)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2015) View citations (3)
    See also Chapter (2016)

2015

21. Choosing the Right Policy in Real Time (Why That’s Not Easy)
    Liberty Street Economics, Federal Reserve Bank of New York
22. Combining Models for Forecasting and Policy Analysis
    Liberty Street Economics, Federal Reserve Bank of New York

2014

23. 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 NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (26)
    Staff Reports, Federal Reserve Bank of New York (2014) View citations (18)
    See also Journal Article in Journal of Econometrics (2016)
24. Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (23)
    Also in 2013 Meeting Papers, Society for Economic Dynamics (2013) View citations (24)
    Working Papers, Federal Reserve Bank of Philadelphia (2013) View citations (12)
    See also Journal Article in Econometrica (2018)
25. Inflation in the Great Recession and New Keynesian Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (27)
    Also in 2014 Meeting Papers, Society for Economic Dynamics (2014) View citations (26)
    Staff Reports, Federal Reserve Bank of New York (2013) View citations (10)
    See also Journal Article in American Economic Journal: Macroeconomics (2015)
26. 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 in Review of Economic Studies (2016)
27. To Hold Out or Not to Hold Out
    Working Papers, Rice University, Department of Economics
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2013) View citations (1)
    NBER Working Papers, National Bureau of Economic Research, Inc (2013) View citations (1)
    See also Journal Article in Research in Economics (2016)
28. Why Didn’t Inflation Collapse in the Great Recession?
    Liberty Street Economics, Federal Reserve Bank of New York

2013

29. 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 (11)
    See also Journal Article in Journal of Economic Dynamics and Control (2017)
30. Improving GDP Measurement: A Measurement-Error Perspective
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (15)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013) View citations (15)
    Working Papers, Federal Reserve Bank of Philadelphia (2013) View citations (27)
    See also Journal Article in Journal of Econometrics (2016)
31. Macroeconomic dynamics near the ZLB: a tale of two equilibria
    Working Papers, Federal Reserve Bank of Philadelphia View citations (60)
32. 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 in Journal of Business & Economic Statistics (2015)
33. Sequential Monte Carlo Sampling for DSGE Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2012) View citations (59)
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2013) View citations (4)
    See also Journal Article in Journal of Applied Econometrics (2014)

2012

34. A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (4)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) View citations (5)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2012) View citations (5)
    See also Journal Article in Journal of Econometrics (2013)
35. DSGE model-based forecasting
    Staff Reports, Federal Reserve Bank of New York View citations (46)
    See also Chapter (2013)
36. Evaluating DSGE model forecasts of comovements
    Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (55)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2011) View citations (3)
    See also Journal Article in Journal of Econometrics (2012)
37. Forecasting the Great Recession: DSGE vs. Blue Chip
    Liberty Street Economics, Federal Reserve Bank of New York
38. 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 in Journal of the European Economic Association (2013)

2011

39. Estimation and Evaluation of DSGE Models: Progress and Challenges
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (58)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2011) View citations (36)
40. Improving GDP Measurement: A Forecast Combination Perspective
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
    Also in Working Papers, Federal Reserve Bank of Philadelphia (2011) View citations (6)
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2011) View citations (2)

2010

41. Financial Frictions, Aggregation, and the Lucas Critique
    2010 Meeting Papers, Society for Economic Dynamics View citations (4)
42. Labor-Market Heterogeneity, Aggregation, and the Lucas Critique
    RCER Working Papers, University of Rochester - Center for Economic Research (RCER) View citations (7)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (3)
    NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (4)

2009

43. Bayesian and Frequentist Inference in Partially Identified Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)
    See also Journal Article in Econometrica (2012)
44. 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 in International Journal of Forecasting (2010)
45. Methods versus Substance: Measuring the Effects of Technology Shocks on Hours
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (20)
    Also in Staff Report, Federal Reserve Bank of Minneapolis (2009) View citations (5)
    NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (7)
46. 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 (2)
    See also Journal Article in American Economic Journal: Macroeconomics (2011)

2008

47. 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 (260)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations (26)
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2006) View citations (12)
    Staff Reports, Federal Reserve Bank of New York (2008) View citations (173)
    2007 Meeting Papers, Society for Economic Dynamics (2007)
    See also Journal Article in Journal of Monetary Economics (2008)
48. 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 (14)
    Also in Staff Reports, Federal Reserve Bank of New York (2008) View citations (5)
    See also Chapter (2009)
49. Insights from an Estimated Search-Based Monetary Model with Nominal Rigidities
    2008 Meeting Papers, Society for Economic Dynamics View citations (6)
50. Monetary policy analysis with potentially misspecified models
    Staff Reports, Federal Reserve Bank of New York View citations (1)
    Also in 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 (18)
    Working Paper Series, European Central Bank (2005) View citations (19)
    See also Journal Article in American Economic Review (2009)
51. Priors from Frequency-Domain Dummy Observations
    2008 Meeting Papers, Society for Economic Dynamics View citations (2)

2006

52. 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 in Econometric Reviews (2007)
53. 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)
54. 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 in Journal of Money, Credit and Banking (2007)

2005

55. A Bayesian Look at New Open Economy Macroeconomics
    Economics Working Paper Archive, The Johns Hopkins University,Department of Economics View citations (389)
    See also Chapter (2006)
56. On the Fit and Forecasting Performance of New Keynesian Models
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (85)
    Also in Working Paper Series, European Central Bank (2005) View citations (109)
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta (2004) View citations (30)

2004

57. 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)
58. Bayesian Inference for Econometric Models using Empirical Likelihood Functions
    Econometric Society 2004 North American Winter Meetings, Econometric Society
59. Policy predictions if the model doesn’t fit
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (7)
    See also Journal Article in Journal of the European Economic Association (2005)

2003

60. 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 in Journal of Monetary Economics (2007)
61. Estimating Monetary Policy Rules in Small Open Economies: A Structural Approach
    Computing in Economics and Finance 2003, Society for Computational Economics View citations (2)
62. Labor shifts and economic fluctuations
    Working Paper, Federal Reserve Bank of Richmond View citations (8)
63. Learning and monetary policy shifts
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (14)
    See also Journal Article in Review of Economic Dynamics (2005)
64. 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 in American Economic Review (2004)

2002

65. Computing Sunspots in Linear Rational Expectations Models
    Economics Working Paper Archive, The Johns Hopkins University,Department of Economics View citations (2)
    Also in Computing in Economics and Finance 2002, Society for Computational Economics (2002) View citations (1)
66. Labor-Supply Shifts and Economic Fluctuations
    Macroeconomics, University Library of Munich, Germany View citations (2)
    See also Journal Article in Journal of Monetary Economics (2003)
67. Learning by Doing as a Propagation Mechanism
    Macroeconomics, University Library of Munich, Germany View citations (118)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) View citations (149)
    See also Journal Article in American Economic Review (2002)
68. Priors from general equilibrium models for VARs
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (5)
    See also Journal Article in International Economic Review (2004)
69. Testing for Indeterminacy in Linear Rational Expectations Models
    Computing in Economics and Finance 2002, Society for Computational Economics View citations (3)

2000

70. Evaluating Asset Pricing Implications of DSGE Models
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society
71. Persistence
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (4)

Journal Articles

2023

1. Forecasting with a panel Tobit model
   Quantitative Economics, 2023, 14, (1), 117-159
   See also Working Paper (2022)

2022

2. SVARs with occasionally-binding constraints
   Journal of Econometrics, 2022, 231, (2), 477-499 View citations (2)
   See also Working Paper (2021)

2021

3. Online estimation of DSGE models
   The Econometrics Journal, 2021, 24, (1), C33-C58 View citations (3)
   See also Working Paper (2020)
4. Panel forecasts of country-level Covid-19 infections
   Journal of Econometrics, 2021, 220, (1), 2-22 View citations (10)
   See also Working Paper (2020)
5. Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints
   Review of Economic Dynamics, 2021, 41, 96-120 View citations (11)
   See also Working Paper (2021)
   Working Paper (2020)
   Software Item (2021)

2020

6. Forecasting With Dynamic Panel Data Models
   Econometrica, 2020, 88, (1), 171-201 View citations (16)
   See also Working Paper (2018)

2019

7. Tempered particle filtering
   Journal of Econometrics, 2019, 210, (1), 26-44 View citations (6)
   See also Working Paper (2017)

2018

8. Identifying Long‐Run Risks: A Bayesian Mixed‐Frequency Approach
   Econometrica, 2018, 86, (2), 617-654 View citations (39)
   See also Working Paper (2014)
9. Inference for VARs identified with sign restrictions
   Quantitative Economics, 2018, 9, (3), 1087-1121 View citations (32)
   See also Working Paper (2018)
10. Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries
    Review of Economic Studies, 2018, 85, (1), 87-118 View citations (102)
    See also Working Paper (2016)
11. On the Comparison of Interval Forecasts
    Journal of Time Series Analysis, 2018, 39, (6), 953-965 View citations (15)
    See also Working Paper (2018)

2017

12. Assessing DSGE model nonlinearities
    Journal of Economic Dynamics and Control, 2017, 83, (C), 34-54 View citations (30)
    See also Working Paper (2013)
13. Real-time forecast evaluation of DSGE models with stochastic volatility
    Journal of Econometrics, 2017, 201, (2), 322-332 View citations (33)
    See also Working Paper (2017)

2016

14. Dynamic prediction pools: An investigation of financial frictions and forecasting performance
    Journal of Econometrics, 2016, 192, (2), 391-405 View citations (103)
    See also Working Paper (2014)
15. Improving GDP measurement: A measurement-error perspective
    Journal of Econometrics, 2016, 191, (2), 384-397 View citations (42)
    See also Working Paper (2013)
16. Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities
    Review of Economic Studies, 2016, 83, (4), 1511-1543 View citations (62)
    See also Working Paper (2014)
17. To hold out or not to hold out
    Research in Economics, 2016, 70, (2), 332-345 View citations (7)
    See also Working Paper (2014)

2015

18. Inflation in the Great Recession and New Keynesian Models
    American Economic Journal: Macroeconomics, 2015, 7, (1), 168-96 View citations (211)
    See also Working Paper (2014)
19. Real-Time Forecasting With a Mixed-Frequency VAR
    Journal of Business & Economic Statistics, 2015, 33, (3), 366-380 View citations (147)
    See also Working Paper (2013)

2014

20. INTRODUCTION TO RECENT ADVANCES IN METHODS AND APPLICATIONS FOR DSGE MODELS
    Journal of Applied Econometrics, 2014, 29, (7), 1029-1030
21. SEQUENTIAL MONTE CARLO SAMPLING FOR DSGE MODELS
    Journal of Applied Econometrics, 2014, 29, (7), 1073-1098 View citations (83)
    See also Working Paper (2013)

2013

22. 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 (2012)
23. 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 (2012)

2012

24. Bayesian and Frequentist Inference in Partially Identified Models
    Econometrica, 2012, 80, (2), 755-782 View citations (105)
    See also Working Paper (2009)
25. EconomicDynamics Interviews Frank Schorfheide on DSGE Model Estimation
    EconomicDynamics Newsletter, 2012, 13, (2) View citations (1)
26. Evaluating DSGE model forecasts of comovements
    Journal of Econometrics, 2012, 171, (2), 152-166 View citations (50)
    See also Working Paper (2012)
27. Methods versus substance: Measuring the effects of technology shocks
    Journal of Monetary Economics, 2012, 59, (8), 826-846 View citations (53)
28. On the Use of Holdout Samples for Model Selection
    American Economic Review, 2012, 102, (3), 477-81 View citations (16)

2011

29. Sticky Prices versus Monetary Frictions: An Estimation of Policy Trade-Offs
    American Economic Journal: Macroeconomics, 2011, 3, (1), 60-90 View citations (88)
    See also Working Paper (2009)

2010

30. DSGE model-based forecasting of non-modelled variables
    International Journal of Forecasting, 2010, 26, (2), 348-373 View citations (40)
    See also Working Paper (2009)

2009

31. Estimation with overidentifying inequality moment conditions
    Journal of Econometrics, 2009, 153, (2), 136-154 View citations (50)
32. Monetary Policy Analysis with Potentially Misspecified Models
    American Economic Review, 2009, 99, (4), 1415-50 View citations (70)
    See also Working Paper (2008)

2008

33. 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)
34. DSGE model-based estimation of the New Keynesian Phillips curve
    Economic Quarterly, 2008, 94, (Fall), 397-433 View citations (45)
35. 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 (263)
    See also Working Paper (2008)

2007

36. Bayesian Analysis of DSGE Models
    Econometric Reviews, 2007, 26, (2-4), 113-172 View citations (959)
    See also Working Paper (2006)
37. Bayesian Analysis of DSGE Models—Rejoinder
    Econometric Reviews, 2007, 26, (2-4), 211-219 View citations (684)
38. Do central banks respond to exchange rate movements? A structural investigation
    Journal of Monetary Economics, 2007, 54, (4), 1069-1087 View citations (396)
    See also Working Paper (2003)
39. Non-stationary Hours in a DSGE Model
    Journal of Money, Credit and Banking, 2007, 39, (6), 1357-1373 View citations (89)
    Also in Journal of Money, Credit and Banking, 2007, 39, (6), 1357-1373 (2007) View citations (4)
    See also Working Paper (2006)
40. On the Fit of New Keynesian Models
    Journal of Business & Economic Statistics, 2007, 25, 123-143 View citations (393)
41. Rejoinder
    Journal of Business & Economic Statistics, 2007, 25, 159-162
42. Testing for Indeterminacy: An Application to U.S. Monetary Policy: Reply
    American Economic Review, 2007, 97, (1), 530-533 View citations (13)

2006

43. 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 (21)
44. The econometrics of macroeconomics, finance, and the interface
    Journal of Econometrics, 2006, 131, (1-2), 1-2

2005

45. Learning and Monetary Policy Shifts
    Review of Economic Dynamics, 2005, 8, (2), 392-419 View citations (193)
    See also Working Paper (2003)
46. 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 (2004)
47. VAR forecasting under misspecification
    Journal of Econometrics, 2005, 128, (1), 99-136 View citations (78)

2004

48. Future prices as risk-adjusted forecasts of monetary policy; comments
    Proceedings, 2004, (Mar)
49. Priors from General Equilibrium Models for VARS
    International Economic Review, 2004, 45, (2), 643-673 View citations (491)
    See also Working Paper (2002)
50. Testing for Indeterminacy: An Application to U.S. Monetary Policy
    American Economic Review, 2004, 94, (1), 190-217 View citations (941)
    See also Working Paper (2003)

2003

51. Computing sunspot equilibria in linear rational expectations models
    Journal of Economic Dynamics and Control, 2003, 28, (2), 273-285 View citations (291)
52. FINANCIAL ECONOMETRICS, by Christian Gourieroux and Joann Jasiak, Princeton University Press, 2001
    Econometric Theory, 2003, 19, (2), 401-409
53. Labor-supply shifts and economic fluctuations
    Journal of Monetary Economics, 2003, 50, (8), 1751-1768 View citations (113)
    See also Working Paper (2002)
54. Take your model bowling: forecasting with general equilibrium models
    Economic Review, 2003, 88, (Q4), 35-50 View citations (14)

2002

55. Learning-by-Doing as a Propagation Mechanism
    American Economic Review, 2002, 92, (5), 1498-1520 View citations (152)
    See also Working Paper (2002)
56. MINIMUM DISTANCE ESTIMATION OF NONSTATIONARY TIME SERIES MODELS
    Econometric Theory, 2002, 18, (6), 1385-1407 View citations (7)

2000

57. FORECASTING ECONOMIC TIME SERIES
    Econometric Theory, 2000, 16, (3), 441-450 View citations (6)
58. Loss function-based evaluation of DSGE models
    Journal of Applied Econometrics, 2000, 15, (6), 645-670 View citations (481)

Books

2016

1. Bayesian Estimation of DSGE Models
   Economics Books, Princeton University Press View citations (132)

Chapters

2016

1. DSGE Modeling
   A chapter in Bayesian Estimation of DSGE Models, 2016
2. Solution and Estimation Methods for DSGE Models
   Elsevier View citations (138)
   See also Working Paper (2016)

2013

3. DSGE Model-Based Forecasting
   Elsevier View citations (165)
   See also Working Paper (2012)

2009

4. 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 (17)
   See also Working Paper (2008)

2008

5. Comment on "How Structural Are Structural Parameters?"
   A chapter in NBER Macroeconomics Annual 2007, Volume 22, 2008, pp 149-163 View citations (3)

2006

6. A Bayesian Look at New Open Economy Macroeconomics
   A chapter in NBER Macroeconomics Annual 2005, Volume 20, 2006, pp 313-382 View citations (150)
   See also Working Paper (2005)

Software Items

2021

1. 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 in Review of Economic Dynamics (2021)