Fernández-Villaverde and Rubio-Ramírez gratefully acknowledges financial support from the National Science Foundation under Grant SES 1223271. Schorfheide gratefully acknowledges financial support from the National Science Foundation under Grant SES 1424843. Minsu Chang, Eugenio Rojas, and Jacob Warren provided excellent research assistance. We thank our discussant Serguei Maliar, the editors John Taylor and Harald Uhlig, John Cochrane, and the participants at the Handbook Conference hosted by the Hoover Institution for helpful comments and suggestions. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.