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: 
WWW: http://www.ssc.upenn.edu/~schorf/
NBER Program Affiliations:
ME
,
EFG
NBER Affiliation: Research Associate
Information about this author at RePEc
NBER Working Papers and Publications
| May 2017 | Tempered Particle Filtering
with Edward Herbst: w23448
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| September 2016 | Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility
with Francis X. Diebold, Minchul Shin: w22615
Published: Francis X. Diebold & Frank Schorfheide & Minchul Shin, 2017. "Real-time forecast evaluation of DSGE models with stochastic volatility," Journal of Econometrics, vol 201(2), pages 322-332. citation courtesy of 
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| January 2016 | Solution and Estimation Methods for DSGE Models
with Jesús Fernández-Villaverde, Juan F. Rubio Ramírez: w21862
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| October 2014 | Dynamic 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
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| July 2014 | Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
with Dongho Song, Amir Yaron: w20303
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| April 2014 | Inflation 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
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| January 2014 | Shrinkage 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
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| December 2013 | Assessing DSGE Model Nonlinearities
with S. Borağan Aruoba, Luigi Bocola: w19693
Published: Aruoba, S. Borağan & Bocola, Luigi & Schorfheide, Frank, 2017. "Assessing DSGE model nonlinearities," Journal of Economic Dynamics and Control, Elsevier, vol. 83(C), pages 34-54. citation courtesy of
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| 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
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| October 2013 | To 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
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| July 2013 | Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries
with S. Borağan Aruoba, Pablo Cuba-Borda: w19248
Published: S Borağan Aruoba Pablo Cuba-Borda Frank Schorfheide The Review of Economic Studies, Volume 85, Issue 1, 1 January 2018, Pages 87–118, https://doi.org/10.1093/restud/rdx027 citation courtesy of
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| June 2013 | Sequential 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
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| April 2013 | Improving 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
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| May 2012 | A 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
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| September 2011 | Improving 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,
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| June 2011 | Inference for VARs Identified with Sign Restrictions
with Hyungsik Roger Moon, Eleonora Granziera, Mihye Lee: w17140
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| February 2011 | Estimation 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.
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| September 2010 | Labor-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.
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| September 2009 | Methods 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.
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| April 2009 | Bayesian 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
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| 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
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| 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
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| June 2008 | Comment on "How Structural Are Structural Parameters?"
in NBER Macroeconomics Annual 2007, Volume 22, Daron Acemoglu, Kenneth Rogoff and Michael Woodford, editors
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| January 2008 | Forming 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
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| May 2007 | Monetary 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
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| April 2006 | A 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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