Frank Schorfheide

University of Pennsylvania
Department of Economics
3718 Locust Walk
Philadelphia, PA 19104-6297
Tel: 215/898-8486
Fax: 215/573-2057

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
NBER Program Affiliations: ME , EFG
NBER Affiliation: Research Associate

NBER Working Papers and Publications

May 2017Tempered Particle Filtering
with Edward Herbst: w23448
September 2016Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility
with Francis X. Diebold, Minchul Shin: w22615
January 2016Solution and Estimation Methods for DSGE Models
with Jesús Fernández-Villaverde, Juan F. Rubio Ramírez: w21862
October 2014Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance
with Marco Del Negro, Raiden B. Hasegawa: w20575

Published: Del Negro, Marco & Hasegawa, Raiden B. & Schorfheide, Frank, 2016. "Dynamic prediction pools: An investigation of financial frictions and forecasting performance," Journal of Econometrics, Elsevier, vol. 192(2), pages 391-405. citation courtesy of

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

Published: Marco Del Negro & Marc P. Giannoni & Frank Schorfheide, 2015. "Inflation in the Great Recession and New Keynesian Models," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 168-96, January. citation courtesy of

January 2014Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities
with Xu Cheng, Zhipeng Liao: w19792

Published: Xu Cheng & Zhipeng Liao & Frank Schorfheide, 2016. "Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities," Review of Economic Studies, Oxford University Press, vol. 83(4), pages 1511-1543. citation courtesy of

December 2013Assessing DSGE Model Nonlinearities
with S. Borağan Aruoba, Luigi Bocola: w19693
Real-Time Forecasting with a Mixed-Frequency VAR
with Dongho Song: w19712

Published: Frank Schorfheide & Dongho Song, 2015. "Real-Time Forecasting With a Mixed-Frequency VAR," Journal of Business & Economic Statistics, vol 33(3), pages 366-380. citation courtesy of

October 2013To Hold Out or Not to Hold Out
with Kenneth I. Wolpin: w19565

Published: Schorfheide, Frank & Wolpin, Kenneth I., 2016. "To hold out or not to hold out," Research in Economics, Elsevier, vol. 70(2), pages 332-345. citation courtesy of

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

Published: Edward Herbst & Frank Schorfheide, 2014. "Sequential Monte Carlo Sampling For Dsge Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(7), pages 1073-1098, November. citation courtesy of

April 2013Improving GDP Measurement: A Measurement-Error Perspective
with S. Boraǧan Aruoba, Francis X. Diebold, Jeremy Nalewaik, Dongho Song: w18954

Published: Aruoba, S. Borağan & Diebold, Francis X. & Nalewaik, Jeremy & Schorfheide, Frank & Song, Dongho, 2016. "Improving GDP measurement: A measurement-error perspective," Journal of Econometrics, Elsevier, vol. 191(2), pages 384-397. citation courtesy of

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

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

June 2008Comment on "How Structural Are Structural Parameters?"
in NBER Macroeconomics Annual 2007, Volume 22, Daron Acemoglu, Kenneth Rogoff and Michael Woodford, editors
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

April 2006A Bayesian Look at the New Open Economy Macroeconomics
with Thomas Lubik
in NBER Macroeconomics Annual 2005, Volume 20, Mark Gertler and Kenneth Rogoff, editors
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