Frank Schorfheide : Citation Profile

Are you Frank Schorfheide?

University of Pennsylvania

40

H index

56

i10 index

8531

Citations

RESEARCH PRODUCTION:

57

Articles

142

Papers

1

Books

6

Chapters

RESEARCH ACTIVITY:

   22 years (2000 - 2022). See details.
   Cites by year: 387
   Journals where Frank Schorfheide has often published
   Relations with other researchers
   Recent citing documents: 648.    Total self citations: 131 (1.51 %)

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   Permalink: http://citec.repec.org/psc19
   Updated: 2023-03-25    RAS profile: 2022-03-23    
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Relations with other researchers

Works with:

Aruoba, S. Boragan (12)

Villalvazo, Sergio (10)

Cuba-Borda, Pablo (9)

Liu, Laura (9)

Moon, Hyungsik (7)

Herbst, Edward (7)

Del Negro, Marco (5)

Sarfati, Reca (5)

Diebold, Francis (4)

Song, Dongho (4)

Shin, Minchul (4)

Granziera, Eleonora (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Frank Schorfheide.

Is cited by:

Paccagnini, Alessia (116)

Canova, Fabio (109)

Bianchi, Francesco (98)

Castelnuovo, Efrem (95)

Hirose, Yasuo (90)

Theodoridis, Konstantinos (79)

Melosi, Leonardo (78)

Matthes, Christian (78)

GUPTA, RANGAN (77)

Wolters, Maik (70)

Sahuc, Jean-Guillaume (70)

Cites to:

Wouters, Raf (96)

Smets, Frank (94)

Del Negro, Marco (77)

Christiano, Lawrence (60)

Eichenbaum, Martin (59)

Sims, Christopher (56)

Diebold, Francis (44)

Rubio-Ramirez, Juan F (41)

Watson, Mark (39)

Fernandez-Villaverde, Jesus (36)

Chang, Yongsung (34)

Main data

Where Frank Schorfheide has published?

Journals with more than one article published# docs
Journal of Econometrics10
Journal of Monetary Economics5
American Economic Review5
Review of Economic Dynamics3
Econometric Theory3
Journal of Business & Economic Statistics2
Review of Economic Studies2
Econometric Reviews2
American Economic Journal: Macroeconomics2
Journal of Applied Econometrics2
Econometrica2
Economic Review2
Journal of Economic Dynamics and Control2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc32
Working Papers / Federal Reserve Bank of Philadelphia17
CEPR Discussion Papers / C.E.P.R. Discussion Papers13
Staff Reports / Federal Reserve Bank of New York7
FRB Atlanta Working Paper / Federal Reserve Bank of Atlanta6
Papers / arXiv.org5
Liberty Street Economics / Federal Reserve Bank of New York5
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)4
Economics Working Paper Archive / The Johns Hopkins University,Department of Economics4
Econometric Society World Congress 2000 Contributed Papers / Econometric Society2
Macroeconomics / University Library of Munich, Germany2
Working Paper Series / European Central Bank2
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)2
2008 Meeting Papers / Society for Economic Dynamics2
Computing in Economics and Finance 2002 / Society for Computational Economics2

Recent works citing Frank Schorfheide (2022 and 2021)

YearTitle of citing document
2021Is U.S. real output growth really non-normal? Testing distributional assumptions in time-varying location-scale models. (2021). Kruse-Becher, Robinson ; Demetrescu, Matei. In: CREATES Research Papers. RePEc:aah:create:2021-07.

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2021Modelling and Estimating Large Macroeconomic Shocks During the Pandemic. (2021). Paolillo, Aldo ; Grassi, Stefano ; Corrado, Luisa. In: CREATES Research Papers. RePEc:aah:create:2021-08.

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2021Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?. (2021). Ng, Serena ; Ma, Sai ; Ludvigson, Sydney C. In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:13:y:2021:i:4:p:369-410.

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2022Effectiveness of Monetary Policy Transmission Mechanism in an Implicit Inflation Targeting Regime: The Case of Nigeria.. (2022). Akinlo, Anthony Enisan ; Apanisile, Tolulope Olumuyiwa. In: African Journal of Economic Review. RePEc:ags:afjecr:330370.

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2021Macrofinancial information on the post- COVID-19 economic recovery: will it be V, U or L-shaped?. (2021). Dewachter, Hans ; De Backer, Bruno ; Iania, Leonardo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2021002.

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2022Forecasting a commodity-exporting small open developing economy using DSGE and DSGE-BVAR. (2022). Konebayev, Erlan. In: NAC Analytica Working Paper. RePEc:ajx:wpaper:24.

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2021EXPERIMENTS ON PORTFOLIO SELECTION: A COMPARISON BETWEEN QUANTILE PREFERENCES AND EXPECTED UTILITY DECISION MODELS. (2021). Olmo, Jose ; Kim, Jeong Yeol ; Galvao, Antonio F ; de Castro, Luciano ; Montes-Rojas, Gabriel. In: Documentos de trabajo del Instituto Interdisciplinario de Economía Política (IIEP-BAIRES). RePEc:ake:iiepdt:202168.

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2022Fiscal Policy and the Slowdown in Trend Growth in an Open Economy. (2022). Yamout, Nadine ; Kulish, Mariano ; Beames, Alexander . In: Working Papers. RePEc:aoz:wpaper:143.

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2022Priors and the Slope of the Phillips Curve. (2022). Nicolini, Juan Pablo ; Kulish, Mariano ; Jones, Callum. In: Working Papers. RePEc:aoz:wpaper:165.

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2021Housing Market Drivers and Dynamics in Armenia. (2021). Kartashyan, Hasmik ; Igityan, Haykaz. In: Working Papers. RePEc:ara:wpaper:016.

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2021Asymmetric Effects of Monetary Policy on the Armenian Economy. (2021). Igityan, Haykaz. In: Working Papers. RePEc:ara:wpaper:018.

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2021Density Forecasts in Panel Data Models: A Semiparametric Bayesian Perspective. (2018). Liu, Laura. In: Papers. RePEc:arx:papers:1805.04178.

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2021Posterior Average Effects. (2019). Weidner, Martin ; Bonhomme, Stéphane. In: Papers. RePEc:arx:papers:1906.06360.

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2021Predictive properties of forecast combination, ensemble methods, and Bayesian predictive synthesis. (2019). McAlinn, Kenichiro ; Takanashi, Kosaku. In: Papers. RePEc:arx:papers:1911.08662.

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2022Bayesian Optimization of Hyperparameters when the Marginal Likelihood is Estimated by MCMC. (2020). Stockhammar, Par ; Villani, Mattias ; Gustafsson, Oskar. In: Papers. RePEc:arx:papers:2004.10092.

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2021Identification in Economies with Frictions. (2020). Tryphonides, Andreas. In: Papers. RePEc:arx:papers:2005.02010.

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2021The Macroeconomy as a Random Forest. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2006.12724.

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2021The unbearable lightness of equilibria in a low interest rate environment. (2020). Ascari, Guido ; Mavroeidis, Sophocles. In: Papers. RePEc:arx:papers:2006.12966.

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2022Are low frequency macroeconomic variables important for high frequency electricity prices?. (2020). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Papers. RePEc:arx:papers:2007.13566.

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2021The Spectral Approach to Linear Rational Expectations Models. (2020). Al-Sadoon, Majid. In: Papers. RePEc:arx:papers:2007.13804.

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2021Existence and uniqueness of recursive utilities without boundedness. (2020). Christensen, Timothy M. In: Papers. RePEc:arx:papers:2008.00963.

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2022On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates. (2021). Shin, Minchul ; Diebold, Francis X ; Zhang, Boyuan. In: Papers. RePEc:arx:papers:2012.11649.

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2022Testing the effectiveness of unconventional monetary policy in Japan and the United States. (2020). Zanetti, Francesco ; Mavroeidis, Sophocles ; Ikeda, Daisuke ; Li, Shangshang. In: Papers. RePEc:arx:papers:2012.15158.

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2021Identification and Inference Under Narrative Restrictions. (2021). Kitagawa, Toru ; Read, Matthew ; Giacomini, Raffaella. In: Papers. RePEc:arx:papers:2102.06456.

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2021Monitoring the pandemic: A fractional filter for the COVID-19 contact rate. (2021). Hartl, Tobias. In: Papers. RePEc:arx:papers:2102.10067.

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2022Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions. (2021). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2102.11780.

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2021Quasi-maximum likelihood estimation of break point in high-dimensional factor models. (2021). Han, XU ; Bai, Jushan ; Duan, Jiangtao. In: Papers. RePEc:arx:papers:2102.12666.

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2021COVID-19 and Estimation of Macroeconomic Factors. (2021). Ng, Serena. In: Papers. RePEc:arx:papers:2103.02732.

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2021Identification at the Zero Lower Bound. (2021). Mavroeidis, Sophocles. In: Papers. RePEc:arx:papers:2103.12779.

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2021Big Data Information and Nowcasting: Consumption and Investment from Bank Transactions in Turkey. (2021). Rodrigo, Tomasa ; Ortiz, Alvaro ; Isa, Berk Orkun ; Mert, Seda Guler ; Barlas, Ali B ; Yazgan, Ege ; Soybilgen, Baris. In: Papers. RePEc:arx:papers:2107.03299.

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2021Recursive Utility with Investment Gains and Losses: Existence, Uniqueness, and Convergence. (2021). He, Xue Dong ; Guo, Jing. In: Papers. RePEc:arx:papers:2107.05163.

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2022Bayesian forecast combination using time-varying features. (2021). Li, Feng ; Kang, Yanfei. In: Papers. RePEc:arx:papers:2108.02082.

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2021A Hybrid Learning Approach to Detecting Regime Switches in Financial Markets. (2021). Hussien, Hussien ; Tang, Yi Zhou ; Akioyamen, Peter. In: Papers. RePEc:arx:papers:2108.05801.

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2021Standard Errors for Calibrated Parameters. (2021). Plagborg-Moller, Mikkel ; Cocci, Matthew D. In: Papers. RePEc:arx:papers:2109.08109.

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2022Algorithms for Inference in SVARs Identified with Sign and Zero Restrictions. (2021). Read, Matthew. In: Papers. RePEc:arx:papers:2109.10676.

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2021The Impacts of Mobility on Covid-19 Dynamics: Using Soft and Hard Data. (2021). Martins, Leonardo ; Medeiros, Marcelo C. In: Papers. RePEc:arx:papers:2110.00597.

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2022Can an AI agent hit a moving target?. (2021). , Shi. In: Papers. RePEc:arx:papers:2110.02474.

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2021Asymmetric Conjugate Priors for Large Bayesian VARs. (2021). Chan, Joshua. In: Papers. RePEc:arx:papers:2111.07170.

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2022Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models. (2022). Li, Junye ; Heng, Jeremy ; Fulop, Andras. In: Papers. RePEc:arx:papers:2201.01094.

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2022A Neural Phillips Curve and a Deep Output Gap. (2022). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2202.04146.

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2022High-Dimensional Dynamic Stochastic Model Representation. (2022). Eftekhari, Aryan ; Scheidegger, Simon. In: Papers. RePEc:arx:papers:2202.06555.

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2022Causal Discovery of Macroeconomic State-Space Models. (2022). Hall-Hoffarth, Emmet. In: Papers. RePEc:arx:papers:2204.02374.

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2022Generic Identifiability for REMIS: The Cointegrated Unit Root VAR. (2022). Deistler, Manfred ; Soegner, Leopold ; Gersing, Philipp. In: Papers. RePEc:arx:papers:2204.05952.

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2022Do t-Statistic Hurdles Need to be Raised. (2022). Chen, Andrew Y. In: Papers. RePEc:arx:papers:2204.10275.

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2022Benchmarking Econometric and Machine Learning Methodologies in Nowcasting. (2022). Hopp, Daniel. In: Papers. RePEc:arx:papers:2205.03318.

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2023Policy Choice in Time Series by Empirical Welfare Maximization. (2022). Xu, Mengshan ; Wang, Weining ; Kitagawa, Toru. In: Papers. RePEc:arx:papers:2205.03970.

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2022Estimation and Inference for High Dimensional Factor Model with Regime Switching. (2022). Wang, FA ; Urga, Giovanni. In: Papers. RePEc:arx:papers:2205.12126.

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2022Likelihood ratio test for structural changes in factor models. (2022). Han, XU ; Duan, Jiangtao ; Bai, Jushan. In: Papers. RePEc:arx:papers:2206.08052.

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2022Deep Partial Least Squares for Empirical Asset Pricing. (2022). Goicoechea, Kemen ; Polson, Nicholas G ; Dixon, Matthew F. In: Papers. RePEc:arx:papers:2206.10014.

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2022Estimating the Currency Composition of Foreign Exchange Reserves. (2022). Ferranti, Matthew. In: Papers. RePEc:arx:papers:2206.13751.

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2022Multifractal cross-correlations of bitcoin and ether trading characteristics in the post-COVID-19 time. (2022). Zd, Stanislaw Dro ; Kwapie, Jaroslaw ; Wkatorek, Marcin. In: Papers. RePEc:arx:papers:2208.01445.

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2022Bayesian Mixed-Frequency Quantile Vector Autoregression: Eliciting tail risks of Monthly US GDP. (2022). Zhu, Dan ; Rossini, Luca ; Poon, Aubrey ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:2209.01910.

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2022A Generalized Argmax Theorem with Applications. (2022). Cox, Gregory. In: Papers. RePEc:arx:papers:2209.08793.

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2022The Local to Unity Dynamic Tobit Model. (2022). Duffy, James A ; Bykhovskaya, Anna. In: Papers. RePEc:arx:papers:2210.02599.

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2022Fast Estimation of Bayesian State Space Models Using Amortized Simulation-Based Inference. (2022). Seleznev, Sergei ; Khabibullin, Ramis. In: Papers. RePEc:arx:papers:2210.07154.

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2022Modelling Large Dimensional Datasets with Markov Switching Factor Models. (2022). Massacci, Daniele ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2210.09828.

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2022Low-rank Panel Quantile Regression: Estimation and Inference. (2022). Zhang, Yichong ; Su, Liangjun ; Wang, Yiren. In: Papers. RePEc:arx:papers:2210.11062.

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2022The Sample Complexity of Online Contract Design. (2022). Jordan, Michael I ; Jiao, Jiantao ; Wang, Yixin ; Yang, Zhuoran ; Bates, Stephen ; Zhu, Banghua. In: Papers. RePEc:arx:papers:2211.05732.

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2022Cointegration with Occasionally Binding Constraints. (2022). Mavroeidis, Sophocles ; Wycherley, Sam ; Duffy, James A. In: Papers. RePEc:arx:papers:2211.09604.

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2022Borrowing Constraints in Emerging Markets. (2022). Sangiacomo, Maximo ; Camara, Santiago. In: Papers. RePEc:arx:papers:2211.10864.

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2022Cross-Sectional Dynamics Under Network Structure: Theory and Macroeconomic Applications. (2022). Mlikota, Marko. In: Papers. RePEc:arx:papers:2211.13610.

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2022Bayesian Forecasting in the 21st Century: A Modern Review. (2022). Koop, Gary ; Huber, Florian ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Frazier, David T ; Martin, Gael M ; Panagiotelis, Anastasios ; Nibbering, Didier ; Maheu, John . In: Papers. RePEc:arx:papers:2212.03471.

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2022Smoothing volatility targeting. (2022). Bianco, Nicolas ; Bianchi, Daniele ; Bernardi, Mauro. In: Papers. RePEc:arx:papers:2212.07288.

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2023Hierarchical Regularizers for Reverse Unrestricted Mixed Data Sampling Regressions. (2023). Hecq, Alain ; Wilms, Ines ; Ternes, Marie. In: Papers. RePEc:arx:papers:2301.10592.

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2023Bridging the Covid-19 Data and the Epidemiological Model using Time-Varying Parameter SIRD Model. (2023). Simsek, Yasin ; Cakmakli, Cem. In: Papers. RePEc:arx:papers:2301.13692.

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2022An Augmented Steady-State Kalman Filter to Evaluate the Likelihood of Linear and Time-Invariant State-Space Models. (2022). Huber, Johannes. In: Discussion Paper Series. RePEc:aug:augsbe:0343.

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2022Nowcasting Canadian GDP with Density Combinations. (2022). Chernis, Tony ; Webley, Taylor. In: Discussion Papers. RePEc:bca:bocadp:22-12.

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2021(Optimal) Monetary Policy with and without Debt. (2021). Vogel, Lukas ; Priftis, Romanos ; Oikonomou, Rigas ; Chafweh, Boris. In: Staff Working Papers. RePEc:bca:bocawp:21-5.

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2022Job Ladder and Business Cycles. (2022). Alves, Felipe. In: Staff Working Papers. RePEc:bca:bocawp:22-14.

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2022Risk and State-Dependent Financial Frictions. (2022). Wouters, Rafael ; Harding, Martin. In: Staff Working Papers. RePEc:bca:bocawp:22-37.

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2022Windfall Income Shocks with Finite Planning Horizons. (2022). Boutros, Michael. In: Staff Working Papers. RePEc:bca:bocawp:22-40.

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2022CANVAS: A Canadian Behavioral Agent-Based Model. (2022). Hommes, Cars ; Zhang, Yang ; Siqueira, Melissa ; Poledna, Sebastian ; He, Mario. In: Staff Working Papers. RePEc:bca:bocawp:22-51.

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2023Fiscal Stimulus and Skill Accumulation over the Life Cycle. (2023). Simon, Laure. In: Staff Working Papers. RePEc:bca:bocawp:23-9.

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2021Learning, expectations and monetary policy. (2021). Garcia Sanchez, Pablo. In: BCL working papers. RePEc:bcl:bclwop:bclwp153.

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2021Forecasting Italian GDP growth with epidemiological data. (2021). Villa, Stefania ; Flaccadoro, Marco ; Conteduca, Francesco ; Emiliozzi, Simone ; Borin, Alessandro ; Aprigliano, Valentina ; Marchetti, Sabina. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_664_21.

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2021Characterizing and Communicating the Balance of Risks of Macroeconomic Forecasts: A Predictive Density Approach for Colombia. (2021). Guarín López, Alexander ; Grajales-Olarte, Anderson ; Anzola-Bravo, Cesar ; Guarin, Alexander ; Mendez-Vizcaino, Juan C. In: Borradores de Economia. RePEc:bdr:borrec:1178.

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2022Robust Inference for Non-Gaussian SVAR Models. (2022). Mesters, Geert ; Lee, Adam ; Hoesch, Lukas. In: Working Papers. RePEc:bge:wpaper:1367.

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2022A Stage-Based Identification of Policy Effects. (2022). Santaeulalia-Llopis, Raul ; Ludwig, Alexander ; Busch, Christopher ; Aleman, Christian. In: Working Papers. RePEc:bge:wpaper:1369.

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2021Panel Unit Root Tests with Structural Breaks. (2021). Tzavalis, Elias ; Karavias, Yiannis ; Chen, Pengyu. In: Discussion Papers. RePEc:bir:birmec:21-12.

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2021Understanding bank and non-bank credit cycles: a structural exploration. (2021). Zhong, Molin ; Durdu, Bora C. In: BIS Working Papers. RePEc:bis:biswps:919.

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2021Asymmetric Effects of Monetary Policy on the Armenian Economy. (2021). Igityan, Haykaz. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:80:y:2021:i:1:p:46-103.

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2022Dynamic Stochastic General Equilibrium Model with Multiple Trends and Structural Breaks. (2022). Ivashchenko, Sergey. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:81:y:2022:i:1:p:46-72.

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2022DEMUR: A Regional Semi-Structural Model of the Ural Macroregion. (2022). Kryzhanovskij, Oleg ; Zykov, Alexander ; Kryzhanovsky, Oleg. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:81:y:2022:i:4:p:52-85.

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2021DEMUR, a regional semi-structural model of the Ural Macroregion. (2021). Zykov, Alexander ; Kryzhanovsky, Oleg. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps83.

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2021Exchange Rate Pass-Through Conditional on Shocks and Monetary Policy Credibility. The Case of Uruguay. (2021). Medina, Juan ; Zacheo, Laura ; Cuitio, Fernanda . In: Documentos de trabajo. RePEc:bku:doctra:2021008.

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2022Macroprudential policy and house prices in an estimated Dynamic Stochastic General Equilibrium model for South Africa. (2022). Ngalawa, Harold ; Dlamini, Lenhle. In: Australian Economic Papers. RePEc:bla:ausecp:v:61:y:2022:i:2:p:304-336.

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2021DSGE models, detrending, and the method of moments. (2021). MAO TAKONGMO, Charles Olivier. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:1:p:67-99.

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2021DSGE modelling for the UK economy 1974–2017. (2021). Asteriou, Dimitrios ; Pilbeam, Keith ; Litsios, Ioannis. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:2:p:295-323.

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2022Mixed Monetary–Fiscal Policies and Macroeconomic Fluctuations: An Analysis Based on the Dynamic Stochastic General Equilibrium Model. (2022). Zhang, Guangbin ; Li, Jiayang ; Wang, XI. In: China & World Economy. RePEc:bla:chinae:v:30:y:2022:i:2:p:167-196.

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2021Uncertainty and monetary policy in the US: A journey into nonlinear territory. (2021). Pellegrino, Giovanni. In: Economic Inquiry. RePEc:bla:ecinqu:v:59:y:2021:i:3:p:1106-1128.

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2022Fiscal multipliers, expectations and learning in a macroeconomic agent?based model. (2022). Reissl, Severin. In: Economic Inquiry. RePEc:bla:ecinqu:v:60:y:2022:i:4:p:1704-1729.

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2021Housing and Commodity Investment Booms in a Small Open Economy. (2021). Gibbs, Christopher ; Nodari, Gabriela ; Hambur, Jonathan. In: The Economic Record. RePEc:bla:ecorec:v:97:y:2021:i:317:p:212-242.

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2022The Fragility of Market Risk Insurance. (2022). Yogo, Motohiro. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:815-862.

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2022Late to Recessions: Stocks and the Business Cycle. (2022). Gomezcram, Roberto. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:923-966.

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2022Monetary Policy and Asset Valuation. (2022). Ludvigson, Sydney C ; Lettau, Martin ; Bianchi, Francesco. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:967-1017.

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2021Identifiability of structural singular vector autoregressive models. (2021). Braumann, Alexander ; Funovits, Bernd. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:4:p:431-441.

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2022Long?term prediction intervals with many covariates. (2022). Wu, Wei Biao ; Chud, Marek ; Karmakar, Sayar. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:4:p:587-609.

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2021Convergence stories of post?socialist Central?Eastern European countries. (2021). Kónya, István ; Baksa, Daniel. In: Manchester School. RePEc:bla:manchs:v:89:y:2021:i:3:p:239-258.

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2021Some International Evidence for Keynesian Economics Without the Phillips Curve. (2021). Farmer, Roger ; Nicolo, Giovanni. In: Manchester School. RePEc:bla:manchs:v:89:y:2021:i:s1:p:1-22.

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2022Three Basic Issues that Arise when Using Informational Restrictions in SVARs. (2022). pagan, adrian ; Ouliaris, Sam. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:1:p:1-20.

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2021Leaning against persistent financial cycles with occasional crises. (2021). Mimir, Yasin ; Kravik, Erling Motzfeldt ; Kockerols, Thore. In: Working Paper. RePEc:bno:worpap:2021_11.

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More than 100 citations found, this list is not complete...

Works by Frank Schorfheide:

YearTitleTypeCited
2012On the Use of Holdout Samples for Model Selection In: American Economic Review.
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2002Learning-by-Doing as a Propagation Mechanism In: American Economic Review.
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2002Learning by Doing as a Propagation Mechanism.(2002) In: CEPR Discussion Papers.
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2002Learning by Doing as a Propagation Mechanism.(2002) In: Macroeconomics.
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2004Testing for Indeterminacy: An Application to U.S. Monetary Policy In: American Economic Review.
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2003Testing for Indeterminacy:An Application to U.S. Monetary Policy.(2003) In: Economics Working Paper Archive.
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2007Testing for Indeterminacy: An Application to U.S. Monetary Policy: Reply In: American Economic Review.
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2009Monetary Policy Analysis with Potentially Misspecified Models In: American Economic Review.
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2005Monetary policy analysis with potentially misspecified models.(2005) In: Working Paper Series.
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2005Monetary policy analysis with potentially misspecified models.(2005) In: FRB Atlanta Working Paper.
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2008Monetary policy analysis with potentially misspecified models.(2008) In: Staff Reports.
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2005Monetary policy analysis with potentially misspecified models.(2005) In: Working Papers.
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2007Monetary Policy Analysis with Potentially Misspecified Models.(2007) In: NBER Working Papers.
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2011Sticky Prices versus Monetary Frictions: An Estimation of Policy Trade-Offs In: American Economic Journal: Macroeconomics.
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2009Sticky prices versus monetary frictions: an estimation of policy trade-offs.(2009) In: Working Papers.
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2009Sticky Prices Versus Monetary Frictions: An Estimation of Policy Trade-offs.(2009) In: NBER Working Papers.
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2015Inflation in the Great Recession and New Keynesian Models In: American Economic Journal: Macroeconomics.
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2013Inflation in the Great Recession and New Keynesian models.(2013) In: Staff Reports.
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2014Inflation in the Great Recession and New Keynesian Models.(2014) In: NBER Working Papers.
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2014Inflation in the Great Recession and New Keynesian Models.(2014) In: 2014 Meeting Papers.
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2017Forecasting with Dynamic Panel Data Models In: Papers.
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2018Forecasting with Dynamic Panel Data Models.(2018) In: NBER Working Papers.
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2016Forecasting with Dynamic Panel Data Models.(2016) In: PIER Working Paper Archive.
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2020Forecasting With Dynamic Panel Data Models.(2020) In: Econometrica.
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2018Inference for VARs Identified with Sign Restrictions In: Papers.
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2011Inference for VARs Identified with Sign Restrictions.(2011) In: CEPR Discussion Papers.
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2011Inference for VARs identified with sign restrictions.(2011) In: Working Papers.
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2011Inference for VARs Identified with Sign Restrictions.(2011) In: NBER Working Papers.
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2018Inference for VARs identified with sign restrictions.(2018) In: Quantitative Economics.
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2020Robust Forecasting In: Papers.
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2020Robust Forecasting.(2020) In: PIER Working Paper Archive.
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2019Forecasting with a Panel Tobit Model.(2019) In: CAEPR Working Papers.
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2019Forecasting with a Panel Tobit Model.(2019) In: NBER Working Papers.
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2022Sequential Monte Carlo With Model Tempering In: Papers.
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2007On the Fit of New Keynesian Models In: Journal of Business & Economic Statistics.
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2007Rejoinder In: Journal of Business & Economic Statistics.
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2013LABOR-MARKET HETEROGENEITY, AGGREGATION, AND POLICY (IN)VARIANCE OF DSGE MODEL PARAMETERS In: Journal of the European Economic Association.
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2011Labor-Market Heterogeneity, Aggregation, and the Policy-(In)variance of DSGE Model Parameters.(2011) In: RCER Working Papers.
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2012Labor-Market Heterogeneity, Aggregation, and the Policy-(In)variance of DSGE Model Parameters.(2012) In: Working papers.
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2018On the Comparison of Interval Forecasts In: Journal of Time Series Analysis.
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2018On the Comparison of Interval Forecasts.(2018) In: PIER Working Paper Archive.
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2009Inflation Dynamics in a Small Open Economy Model under Inflation Targeting: Some Evidence from Chile In: Central Banking, Analysis, and Economic Policies Book Series.
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2008Inflation Dynamics in a Small Open Economy Model Under Inflation Targeting: Some Evidence From Chile.(2008) In: Working Papers Central Bank of Chile.
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2008Inflation dynamics in a small open-economy model under inflation targeting: some evidence from Chile.(2008) In: Staff Reports.
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2015Solution and Estimation Methods for DSGE Models In: CEPR Discussion Papers.
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2016Solution and Estimation Methods for DSGE Models.(2016) In: Handbook of Macroeconomics.
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2016Solution and Estimation Methods for DSGE Models.(2016) In: NBER Working Papers.
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2015Solution and Estimation Methods for DSGE Models.(2015) In: PIER Working Paper Archive.
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2020Panel Forecasts of Country-Level Covid-19 Infectionsliu In: CEPR Discussion Papers.
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2020Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints In: CEPR Discussion Papers.
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2020Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints.(2020) In: International Finance Discussion Papers.
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2020Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints.(2020) In: Working Papers.
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2020Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints.(2020) In: NBER Working Papers.
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2020Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints.(2020) In: PIER Working Paper Archive.
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2021Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints.(2021) In: Review of Economic Dynamics.
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2021SVARs With Occasionally-Binding Constraints In: CEPR Discussion Papers.
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2021SVARs With Occasionally-Binding Constraints.(2021) In: NBER Working Papers.
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2005On the Fit and Forecasting Performance of New Keynesian Models In: CEPR Discussion Papers.
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2005On the fit and forecasting performance of New-Keynesian models.(2005) In: Working Paper Series.
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2004On the fit and forecasting performance of New Keynesian models.(2004) In: FRB Atlanta Working Paper.
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2005Bayesian Analysis of DSGE Models In: CEPR Discussion Papers.
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2006Bayesian analysis of DSGE models.(2006) In: Working Papers.
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2007Bayesian Analysis of DSGE Models.(2007) In: Econometric Reviews.
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2005Non-stationary Hours in a DSGE Model In: CEPR Discussion Papers.
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2006Non-stationary hours in a DSGE model.(2006) In: Working Papers.
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2007Non-stationary Hours in a DSGE Model.(2007) In: Journal of Money, Credit and Banking.
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2007Non?stationary Hours in a DSGE Model.(2007) In: Journal of Money, Credit and Banking.
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2006Boosting Your Instruments: Estimation with Overidentifying Inequality Moment Conditions In: CEPR Discussion Papers.
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2006Boosting Your Instruments: Estimation with Overidentifying Inequality Moment Conditions.(2006) In: IEPR Working Papers.
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2007Forming Priors for DSGE Models (and How It Affects the Assessment of Nominal Rigidities) In: CEPR Discussion Papers.
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2008Forming priors for DSGE models (and how it affects the assessment of nominal rigidities).(2008) In: Journal of Monetary Economics.
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2006Forming priors for DSGE models (and how it affects the assessment of nominal rigidities).(2006) In: FRB Atlanta Working Paper.
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2008Forming priors for DSGE models (and how it affects the assessment of nominal rigidities).(2008) In: Staff Reports.
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2008Forming Priors for DSGE Models (and How it Affects the Assessment of Nominal Rigidities).(2008) In: NBER Working Papers.
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2007Forming Priors for DSGE Models (and How It Affects the Assessment of Nominal Rigidities).(2007) In: 2007 Meeting Papers.
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2009Methods versus Substance: Measuring the Effects of Technology Shocks on Hours In: CEPR Discussion Papers.
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2009Methods versus substance: measuring the effects of technology shocks on hours.(2009) In: Staff Report.
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2009Methods versus Substance: Measuring the Effects of Technology Shocks on Hours.(2009) In: NBER Working Papers.
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2010Labor-Market Heterogeneity, Aggregation, and the Lucas Critique In: CEPR Discussion Papers.
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2010Labor-Market Heterogeneity, Aggregation, and the Lucas Critique.(2010) In: NBER Working Papers.
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2010Labor-Market Heterogeneity, Aggregation, and the Lucas Critique.(2010) In: RCER Working Papers.
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2000FORECASTING ECONOMIC TIME SERIES In: Econometric Theory.
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2002MINIMUM DISTANCE ESTIMATION OF NONSTATIONARY TIME SERIES MODELS In: Econometric Theory.
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2003FINANCIAL ECONOMETRICS, by Christian Gourieroux and Joann Jasiak, Princeton University Press, 2001 In: Econometric Theory.
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2021Heterogeneity and Aggregate Fluctuations In: Cowles Foundation Discussion Papers.
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2014To Hold Out or Not to Hold Out In: Working Papers.
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2016To hold out or not to hold out.(2016) In: Research in Economics.
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2013To Hold Out or Not to Hold Out.(2013) In: NBER Working Papers.
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2013To Hold Out or Not to Hold Out.(2013) In: PIER Working Paper Archive.
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2012A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities In: Working Papers.
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2013A Markov-switching multifractal inter-trade duration model, with application to US equities.(2013) In: Journal of Econometrics.
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2012A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities.(2012) In: NBER Working Papers.
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2012A Markov-Switching Multi-Fractal Inter-Trade Duration Model, with Application to U.S. Equities.(2012) In: PIER Working Paper Archive.
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2012Bayesian and Frequentist Inference in Partially Identified Models In: Econometrica.
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2004Bayesian Inference for Econometric Models using Empirical Likelihood Functions In: Econometric Society 2004 North American Winter Meetings.
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2000Evaluating Asset Pricing Implications of DSGE Models In: Econometric Society World Congress 2000 Contributed Papers.
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2000Persistence In: Econometric Society World Congress 2000 Contributed Papers.
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2003Computing sunspot equilibria in linear rational expectations models In: Journal of Economic Dynamics and Control.
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2017Assessing DSGE model nonlinearities In: Journal of Economic Dynamics and Control.
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2013Assessing DSGE Model Nonlinearities.(2013) In: NBER Working Papers.
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2013DSGE Model-Based Forecasting In: Handbook of Economic Forecasting.
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2006The econometrics of macroeconomics, finance, and the interface In: Journal of Econometrics.
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2009Estimation with overidentifying inequality moment conditions In: Journal of Econometrics.
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2012Evaluating DSGE model forecasts of comovements In: Journal of Econometrics.
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2012Evaluating DSGE model forecasts of comovements.(2012) In: Finance and Economics Discussion Series.
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2011Evaluating DSGE model forecasts of comovements.(2011) In: Working Papers.
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2016Improving GDP measurement: A measurement-error perspective In: Journal of Econometrics.
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2013Improving GDP Measurement: A Measurement-Error Perspective.(2013) In: NBER Working Papers.
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2013Improving GDP Measurement: A Measurement-Error Perspective.(2013) In: PIER Working Paper Archive.
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2016Dynamic prediction pools: An investigation of financial frictions and forecasting performance In: Journal of Econometrics.
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2014Dynamic prediction pools: an investigation of financial frictions and forecasting performance.(2014) In: Staff Reports.
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2014Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance.(2014) In: NBER Working Papers.
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2014Dynamic Prediction Pools: An Investigation of Financial Frictions and Forecasting Performance.(2014) In: PIER Working Paper Archive.
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2017Real-time forecast evaluation of DSGE models with stochastic volatility In: Journal of Econometrics.
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2015Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility.(2015) In: PIER Working Paper Archive.
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2017Real-time forecast evaluation of DSGE models with stochastic volatility.(2017) In: CFS Working Paper Series.
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2019Tempered particle filtering In: Journal of Econometrics.
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2016Tempered Particle Filtering.(2016) In: Finance and Economics Discussion Series.
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2020Panel Forecasts of Country-Level Covid-19 Infections.(2020) In: NBER Working Papers.
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2010DSGE model-based forecasting of non-modelled variables In: International Journal of Forecasting.
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2008DSGE model-based forecasting of non-modelled variables.(2008) In: Working Papers.
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2009DSGE Model-Based Forecasting of Non-modelled Variables.(2009) In: NBER Working Papers.
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2007Do central banks respond to exchange rate movements? A structural investigation In: Journal of Monetary Economics.
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2008Comment on: Monetary policy under uncertainty in an estimated model with labor market frictions by Luca Sala, Ulf Söderström, and Antonella Trigari In: Journal of Monetary Economics.
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2012Forecasting the Great Recession: DSGE vs. Blue Chip In: Liberty Street Economics.
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2014Why Didn’t Inflation Collapse in the Great Recession? In: Liberty Street Economics.
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2015Combining Models for Forecasting and Policy Analysis In: Liberty Street Economics.
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2015Choosing the Right Policy in Real Time (Why That’s Not Easy) In: Liberty Street Economics.
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2011Improving GDP Measurement: A Forecast Combination Perspective.(2011) In: NBER Working Papers.
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2011Improving GDP Measurement: A Forecast Combination Perspective.(2011) In: PIER Working Paper Archive.
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2011Estimation and evaluation of DSGE models: progress and challenges In: Working Papers.
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2011Estimation and Evaluation of DSGE Models: Progress and Challenges.(2011) In: NBER Working Papers.
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