NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Frank Schorfheide

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

Working Papers

July 2014Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
with Dongho Song, Amir Yaron: w20303
April 2014Inflation in the Great Recession and New Keynesian Models
with Marco Del Negro, Marc P. Giannoni: w20055
January 2014Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities
with Xu Cheng, Zhipeng Liao: w19792
December 2013Assessing DSGE Model Nonlinearities
with S. Borağan Aruoba, Luigi Bocola: w19693
Real-Time Forecasting with a Mixed-Frequency VAR
with Dongho Song: w19712
October 2013To Hold Out or Not to Hold Out
with Kenneth I. Wolpin: w19565
July 2013Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries
with S. Borağan Aruoba, Pablo Cuba-Borda: w19248
June 2013Sequential Monte Carlo Sampling for DSGE Models
with Edward P. Herbst: w19152
April 2013Improving GDP Measurement: A Measurement-Error Perspective
with S. Boraǧan Aruoba, Francis X. Diebold, Jeremy Nalewaik, Dongho Song: w18954
May 2012A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities
with Fei Chen, Francis X. Diebold: w18078

Published: Chen, Fei & Diebold, Francis X. & Schorfheide, Frank, 2013. "A Markov-switching multifractal inter-trade duration model, with application to US equities," Journal of Econometrics, Elsevier, vol. 177(2), pages 320-342. citation courtesy of

September 2011Improving GDP Measurement: A Forecast Combination Perspective
with S. Boragan Aruoba, Francis X. Diebold, Jeremy Nalewaik, Dongho Song: w17421

Published: "Improving GDP Measurement: A Forecast Combination Perspective," in X. Chen and N. Swanson (eds.), Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis: Essays in Honor of Halbert L. White Jr., Springer, 1- 26, 2012. With B. Aruoba, J. Nalewaik, F. Schorfheide and D. Song,

June 2011Inference for VARs Identified with Sign Restrictions
with Hyungsik Roger Moon, Eleonora Granziera, Mihye Lee: w17140
February 2011Estimation and Evaluation of DSGE Models: Progress and Challenges
w16781

Estimation and Evaluation of DSGE Models: Progress and Challenges.” Forthcoming in: D. Acemoglu, M. Arellano, and E. Deckel (eds .): “Advances in Economics and Econometrics: Theory and Applications, Tenth World Congress,” Vol 3 , 2 013, Cambridge University Press , 184 - 230.

September 2010Labor-Market Heterogeneity, Aggregation, and the Lucas Critique
with Yongsung Chang, Sun-Bin Kim: w16401

Published: “Labor Market Heterogeneity and the Lucas Critique,” joint with Yongsung Chang (Rochester), and Sun - Bin Kim (Yonsei University), Journal of the European Economic Association , 11(S1), 2013, 193 - 220.

September 2009Methods versus Substance: Measuring the Effects of Technology Shocks on Hours
with José-Víctor Ríos-Rull, Cristina Fuentes-Albero, Maxym Kryshko, Raül Santaeulàlia-Llopis: w15375

Published: \Methods versus Substance: Measuring the E ects of Technology Shocks on Hours" joint with Frank Schorfheide, Cristina Fuentes-Albero, Raul Santaeulalia-Llopis and Maxym Kryshko. Journal of Monetary Economics Vol. 59, Issue 8, December 2012, pp. 826-46.

April 2009Bayesian and Frequentist Inference in Partially Identified Models
with Hyungsik Roger Moon: w14882

Published: Hyungsik Roger Moon & Frank Schorfheide, 2012. "Bayesian and Frequentist Inference in Partially Identified Models," Econometrica, Econometric Society, vol. 80(2), pages 755-782, 03. citation courtesy of

Sticky Prices Versus Monetary Frictions: An Estimation of Policy Trade-offs
with S. Boragan Aruoba: w14870

Published: S. Boragan Aruoba & Frank Schorfheide, 2011. "Sticky Prices versus Monetary Frictions: An Estimation of Policy Trade-Offs," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(1), pages 60-90, January. citation courtesy of

DSGE Model-Based Forecasting of Non-modelled Variables
with Keith Sill, Maxym Kryshko: w14872

Published: Schorfheide, Frank & Sill, Keith & Kryshko, Maxym, 2010. "DSGE model-based forecasting of non-modelled variables," International Journal of Forecasting, Elsevier, vol. 26(2), pages 348-373, April. citation courtesy of

January 2008Forming Priors for DSGE Models (and How it Affects the Assessment of Nominal Rigidities)
with Marco Del Negro: w13741

Published: Del Negro, Marco & Schorfheide, Frank, 2008. "Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)," Journal of Monetary Economics, Elsevier, vol. 55(7), pages 1191-1208, October. citation courtesy of

May 2007Monetary Policy Analysis with Potentially Misspecified Models
with Marco Del Negro: w13099

Published: Marco Del Negro & Frank Schorfheide, 2009. "Monetary Policy Analysis with Potentially Misspecified Models," American Economic Review, American Economic Association, vol. 99(4), pages 1415-50, September. citation courtesy of

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

 
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