Frank Schorfheide

Datos Biográficos

ID5813408
NOMBREFrank Schorfheide
NOMBRESFrank
APELLIDOSchorfheide
FIRMASCHORFHEIDE F
AFILIACIONESUniversity of Pennsylvania
ORCID0000-0002-4256-634X
VERIFICADOSí
TOTAL DE OBRAS4
TOTAL DE CITAS2
TOTAL COMO AUTOR4
TOTAL COMO EDITOR0
PRIMER AÑO DE PUBLICACIÓN1970
AÑO MÁS RECIENTE DE PUBLICACIÓN2024
ÍNDICE H1

  • Heterogeneity and Aggregate Fluctuations

    Minsu Chang, Xiaohong Chen et al.ARTICLEJournal of Political Economy2024Referencias: 1

    We develop a state-space model with a state-transition equation that takes the form of a functional vector autoregression and stacks macroeconomic aggregates and a cross-sectional density. The measurement equation captures the error in estimating log densities from repeated cross-sectional samples. The log densities and the transition kernels in the law of motion of the states are approximated by sieves, which leads to a finite-dimensional repres…

  • Real-Time Forecasting With a Mixed-Frequency VAR

    Frank Schorfheide, Dongho SongARTICLEJournal of Business and Economic…2015

    This article develops a vector autoregression (VAR) for time series which are observed at mixed frequencies--quarterly and monthly. The model is cast in state-space form and estimated with Bayesian methods under a Minnesota-style prior. We show how to evaluate the marginal data density to implement a data-driven hyperparameter selection. Using a real-time dataset, we evaluate forecasts from the mixed-frequency VAR and compare them to standard qua…

  • On the Fit of New Keynesian Models

    Marco Del Negro, Frank Schorfheide et al.ARTICLEJournal of Business and Economic…2007

    This article provides new tools for the evaluation of dynamic stochastic general equilibrium (DSGE) models and applies them to a large-scale new Keynesian model. We approximate the DSGE model by a vector autoregression, and then systematically relax the implied cross-equation restrictions and document how the model fit changes. We also compare the DSGE model's impulse responses to structural shocks with those obtained after relaxing its restricti…

  • Essays in Monetary Economics

    David Lagakos, Johannes Wieland et al.ARTICLEInternational Affairs1970Citada por: 2

    Essays in Monetary Economics Get access Essays in Monetary Economics. By Harry G. Johnson. 2nd ed. with new Introduction. London: Allen & Unwin. 1969. 332 pp. Bibliog. Index. (Unwin University Books, 52.) 25s. International Affairs, Volume 46, Issue 4, October 1970, Page 780, https://doi.org/10.1093/ia/46.4.780b Published: 01 October 1970