← All authors Frank Schorfheide University of Pennsylvania (from arXiv:2502.03693, 2025) · ORCID · OpenAlex
71 papers in scope · 66 published · 7 on the econ.EM arXiv · 8,840 citations · h-index 39 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Laura Liu Hyungsik Roger Moon Mikkel Plagborg-Møller Sokbae Lee Myunghyun Song Boyuan Zhang Jörg Stoye Xu Cheng S. L. Ho José Luis Montiel Olea Silvia Sarpietro Emanuele Bacchiocchi Christian K. Wolf Toru Kitagawa Charles F. Manski Chen Qiu Eric Qian Raffaella Giacomini James A. Duffy Timothy B. Armstrong Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (9 of 71)
working paper 2025 · arXiv
working paper 2025 · arXiv · 1 citations
Heterogeneity and Aggregate Fluctuations
published 2024 · Journal of Political Economy · 16 citations · first circulated 2021
working paper 2023 · arXiv
published 2023 · Studies in Nonlinear Dynamics and Econometrics · 2 citations · first circulated 2022
published 2023 · Quantitative Economics · 13 citations · first circulated 2019
working paper 2022 · arXiv · 3 citations
SVARs with occasionally-binding constraints
published 2021 · Journal of Econometrics · 27 citations
Piecewise-linear approximations and filtering for DSGE models with occasionally-binding constraints
published 2021 · Review of Economic Dynamics · 33 citations · first circulated 2020
with S. Borağan Aruoba, Pablo Cuba-Borda, Kenji Higa-Flores, Sergio Villalvazo
working paper 2020 · arXiv · 3 citations
Panel forecasts of country-level Covid-19 infections
published 2020 · Journal of Econometrics · 53 citations
Online estimation of DSGE models
published 2020 · Econometrics Journal · 18 citations · first circulated 2019
Choosing the Right Policy in Real Time (Why That’s Not Easy)
published 2020 · Liberty Street Economics
no link
published 2020 · Econometrica · 62 citations · first circulated 2016
Tempered particle filtering
published 2018 · Journal of Econometrics · 36 citations · first circulated 2016
with Edward Herbst
On the Comparison of Interval Forecasts
published 2018 · Journal of Time Series Analysis · 52 citations
published 2018 · Quantitative Economics · 17 citations · first circulated 2011
Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
published 2018 · Econometrica · 206 citations · first circulated 2013
with Dongho Song, Amir Yaron
Real-time forecast evaluation of DSGE models with stochastic volatility
published 2017 · Journal of Econometrics · 51 citations · first circulated 2015
Macroeconomic Dynamics Near the ZLB: A Tale of Two Countries
published 2017 · The Review of Economic Studies · 165 citations · first circulated 2013
with S. Borağan Aruoba, Pablo Cuba-Borda, Pablo Borda
To hold out or not to hold out
published 2016 · Research in Economics · 12 citations · first circulated 2013
with Kenneth I. Wolpin
Dynamic prediction pools: An investigation of financial frictions and forecasting performance
published 2016 · Journal of Econometrics · 122 citations · first circulated 2014
Shrinkage Estimation of High-Dimensional Factor Models with Structural Instabilities
published 2016 · The Review of Economic Studies · 124 citations · first circulated 2013
Improving G D P measurement: A measurement-error perspective
published 2015 · Journal of Econometrics · 76 citations · first circulated 2013
Combining Models for Forecasting and Policy Analysis
published 2015 · Liberty Street Economics
no link
Inflation in the Great Recession and New Keynesian Models
published 2015 · American Economic Journal Macroeconomics · 217 citations · first circulated 2013
with Marco Del Negro, Marc Giannoni
INTRODUCTION TO RECENT ADVANCES IN METHODS AND APPLICATIONS FOR DSGE MODELS
published 2014 · Journal of Applied Econometrics
with Fabio Canova, Herman K. van Dijk
Real-Time Forecasting With a Mixed-Frequency VAR
published 2014 · Journal of Business and Economic Statistics · 257 citations · first circulated 2013
with Dongho Song
Why Didn’t Inflation Collapse in the Great Recession?
published 2014 · Liberty Street Economics
no link
SEQUENTIAL MONTE CARLO SAMPLING FOR DSGE MODELS
published 2014 · Journal of Applied Econometrics · 120 citations · first circulated 2012
with Edward Herbst
Assessing DSGE Model Nonlinearities
published 2013 · Journal of Economic Dynamics and Control · 8 citations
with S. Borağan Aruoba, Luigi Bocola
A Markov-switching multifractal inter-trade duration model, with application to US equities
published 2013 · Journal of Econometrics · 50 citations
LABOR-MARKET HETEROGENEITY, AGGREGATION, AND POLICY (IN)VARIANCE OF DSGE MODEL PARAMETERS
published 2013 · Journal of the European Economic Association · 51 citations · first circulated 2012
with Yongsung Chang, Sun-Bin Kim
Methods versus substance: Measuring the effects of technology shocks
published 2012 · Journal of Monetary Economics · 63 citations · first circulated 2009
with José-Víctor Ríos-Rull, Cristina Fuentes-Albero, Maxym Kryshko, Raül Santaeulàlia-Llopis, José-V́ıctor Ŕıos-Rull
Evaluating DSGE model forecasts of comovements
published 2012 · Journal of Econometrics · 70 citations · first circulated 2011
with Edward Herbst
On the Use of Holdout Samples for Model Selection
published 2012 · American Economic Review · 56 citations
with Kenneth I. Wolpin
Forecasting the Great Recession: DSGE vs. Blue Chip
published 2012 · Liberty Street Economics
with Marco Del Negro, Daniel Herbst
no link
Sticky Prices versus Monetary Frictions: An Estimation of Policy Trade-offs
published 2011 · American Economic Journal Macroeconomics · 60 citations · first circulated 2009
with S. Borağan Aruoba
DSGE model-based forecasting of non-modelled variables
published 2010 · International Journal of Forecasting · 241 citations · first circulated 2008
with Keith Sill, Maxym Kryshko, Marco Del Negro
Monetary Policy Analysis with Potentially Misspecified Models
published 2009 · American Economic Review · 76 citations · first circulated 2005
with Marco Del Negro
Estimation with overidentifying inequality moment conditions
published 2009 · Journal of Econometrics · 66 citations · first circulated 2006
Forming priors for DSGE models (and how it affects the assessment of nominal rigidities)
published 2008 · Journal of Monetary Economics · 320 citations · first circulated 2006
with Marco Del Negro
Comment on: “Monetary policy under uncertainty in an estimated model with labor market frictions” by Luca Sala, Ulf Söderström, and Antonella Trigari
published 2008 · Journal of Monetary Economics · 1 citations
DSGE MODEL-BASED ESTIMATION OF THE NEW KEYNESIAN PHILLIPS CURVE
published 2008 · Economic quarterly - Federal Reserve Bank of Richmond · 78 citations
no link
Non‐stationary Hours in a DSGE Model
published 2007 · Journal of money credit and banking · 92 citations · first circulated 2006
with Yongsung Chang, Taeyoung Doh
Bayesian Analysis of DSGE Models
published 2007 · Econometric Reviews · 1304 citations · first circulated 2006
with Sungbae An
Bayesian Analysis of DSGE Models—Rejoinder
published 2007 · Econometric Reviews · 88 citations
with Sungbae An
On the Fit of New Keynesian Models
published 2007 · Journal of Business and Economic Statistics · 522 citations · first circulated 2005
with Marco Del Negro, Frank Smets, Rafael Wouters, Raf Wouters
Rejoinder
published 2007 · Journal of Business and Economic Statistics · 7 citations
with Marco Del Negro, Frank Smets, Rafael Wouters
Testing for Indeterminacy: An Application to U.S. Monetary Policy: Reply
published 2007 · American Economic Review · 7 citations
with Thomas A. Lubik, ThomasA. Lubik
Do central banks respond to exchange rate movements? A structural investigation
published 2007 · Journal of Monetary Economics · 588 citations · first circulated 2003
with Thomas A. Lubik
How Structural Are Structural Parameters? [with Comments and Discussion]
published 2007 · NBER Macroeconomics Annual · 66 citations
How Good Is What You've Got? DGSE-VAR as a Toolkit for Evaluating DSGE Models
published 2006 · Econometric Reviews · 77 citations
with Marco Del Negro, Del Negro
no link
Policy Predictions If the Model Does Not Fit
published 2005 · Journal of the European Economic Association · 14 citations
with Marco Del Negro
The econometrics of macroeconomics, finance, and the interface
published 2005 · Journal of Econometrics · 7 citations
Learning and monetary policy shifts
published 2005 · Review of Economic Dynamics · 34 citations · first circulated 2003
A Bayesian Look at New Open Economy Macroeconomics
published 2005 · NBER Macroeconomics Annual · 232 citations
with Thomas A. Lubik
VAR forecasting under misspecification
published 2004 · Journal of Econometrics · 121 citations
Priors from General Equilibrium Models for VARS*
published 2004 · International Economic Review · 549 citations · first circulated 2002
with Marco Del Negro
Testing for Indeterminacy: An Application to U.S. Monetary Policy
published 2004 · American Economic Review · 841 citations · first circulated 2002
with Thomas A. Lubik
Labor-supply shifts and economic fluctuations
published 2003 · Journal of Monetary Economics · 129 citations · first circulated 2001
with Yongsung Chang
FINANCIAL ECONOMETRICS, by Christian Gourieroux and Joann Jasiak, Princeton University Press, 2001
published 2003 · Econometric Theory
Take your model bowling: forecasting with general equilibrium models
published 2003 · Econometric Reviews · 32 citations
with Marco Del Negro
no link
A DSGE-VAR for the Euro Area
published 2003 · Computing in Economics and Finance · 1 citations
with Marco Del Negro, Frank Smets, Raf Wouters
no link
Computing sunspot equilibria in linear rational expectations models
published 2002 · Journal of Economic Dynamics and Control · 321 citations · first circulated 2001
with Thomas A. Lubik
Learning-by-Doing as a Propagation Mechanism
published 2002 · American Economic Review · 206 citations · first circulated 2001
with Yongsung Chang, João F. Gomes
MINIMUM DISTANCE ESTIMATION OF NONSTATIONARY TIME SERIES MODELS
published 2002 · Econometric Theory · 16 citations · first circulated 2001
Testing for Indeterminacy in Linear Rational Expectations Models
published 2002 · Computing in Economics and Finance · 4 citations
with Thomas A. Lubik
no link
Loss function‐based evaluation of DSGE models
published 2000 · Journal of Applied Econometrics · 672 citations
FORECASTING ECONOMIC TIME SERIES
published 2000 · Econometric Theory · 6 citations
Quantile spline models for global temperature change
published 1994 · Climatic Change · 78 citations
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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