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Research Projects and Publications(The current research is supported by a NSF Grant SES 0617803)
Working Papers
Coming Soon (Hopefully)
Refereed Publications
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 | "DSGE Model-Based Forecasting of
Non-Modelled Variables" Joint with Keith Sill (FRB Philadelphia), and Maxym Kryshko (Penn) International Journal of Forecasting, forthcoming July 2010 Also available as NBER Working Paper 14872. |
| Estimation with
Overidentifying Inequality Moment Conditions Joint with Hyungsik Roger Moon (USC) Journal of Econometrics, 153(2), 2009, 136-154. An earlier version of the paper circulated under the title "Empirical Likelihood Estimation Based on Inequality Constraints." GAUSS Programs, Technical Appendix |
| Monetary Policy with Potentially Misspecified
Models Joint with Marco Del Negro (FRB New York) American Economic Review, 99(4), 2009, 1415-1450. Previous version available as NBER Working Paper 13099 Technical Appendix |
| Forming Priors
for DSGE Models (and How it Affects the Assessment of Nominal Rigidities Joint with Marco Del Negro (FRB New York) Journal of Monetary Economics, 55(7), 2008, 1191-1208 Matlab software: Read me, Data, Programs |
| Non-stationary Hours in a DSGE Model Joint with Yongsung Chang (Seoul National University) and Taeyoung Doh (Federal Reserve Bank of Kansas City), Journal of Money, Credit, and Banking, 39(6), 2007, 1357-1373. This Version (substantially revised): April 2006 Software: GAUSS programs |
| Bayesian Analysis of DSGE Models http://dx.doi.org/10.1080/07474930701220071 Joint with Sungbae An (Singapore Management University), Econometric Reviews, 26(2-4), 2007, 113-172, with discussions and rejoinder. An earlier version appeared as CEPR Discussion Paper DP5207 Software: GAUSS programs to analyze DSGE model, GAUSS programs to analyze DSGE-VARs, Matlab programs for nonlinear analysis. Lecture Notes for Estimation and Evaluation of DSGE Models |
| On the Fit and Forecasting Performance of New
Keynesian Models Joint with Marco Del Negro (FRB New York), Frank Smets (ECB), and Rafael Wouters (National Bank of Belgium), Journal of Business and Economic Statistics , with discussions and rejoinder, 25(2), 2007, 123-162. The paper was presented as the Invited JBES Lecture at the 2006 Joint Statistical Meetings of the American Statistical Assocication in Seattle. |
| Do Central Banks Respond to Exchange Rates? A
Structural Investigation Joint with Thomas Lubik (FRB Richmond), Journal of Monetary Economics, 54(4), 2007, 1069-1087. |
| "Learning and Monetary Policy Shifts," Review of Economic Dynamics, 8(2), 2005, 392-419. Gauss Programs |
| "VAR Forecasting under Misspecification," Journal of Econometrics, 128, 2005, 99-136. Gauss Programs for Monte Carlo Study |
| "Testing for Indeterminacy: An Application to U.S. Monetary Policy," joint with Thomas Lubik (FRB Richmond), American Economic Review, 94(1), 2004, 190-217. Technical Appendix, Gauss Programs The July 2002 version of the paper appeared in the Proceedings of the 2002 North American Summer Meetings of the Econometric Society, edited by David K. Levine, William Zame, Roger Farmer, and Patrick Kehoe. |
| "Priors from General Equilibrium Models for VARs," joint with Marco Del Negro (FRB New York), International Economic Review, 45(2), 2004 643-673. Click HERE to download GAUSS code to implement the DSGE Prior |
| "Labor-Supply Shifts and Economic Fluctuations," joint with Yongsung Chang (Seoul National University), Journal of Monetary Economics, 50(8), 2003, 1751-1768. Technical Appendix, Software |
| "Computing Sunspot Equilibria in Linear Rational Expectations
Models," joint with Thomas Lubik (FRB Richmond), Journal of Economic Dynamics and Control, 28(2), 2003, 273-285. Technical Appendix, Software |
| "Minimum Distance Estimation of Nonstationary Time Series
Models," joint with Hyungsik Roger Moon (USC), Econometric Theory, 18(6), 2002, 1385-1407. Calculations for Examples |
| "Learning-by-Doing as Propagation Mechanism,"
joint with Yongsung Chang (Seoul National University) and Joao Gomes (Wharton School), American Economic Review, 92(5), 2002, 1498-1520. Click HERE to download the GAUSS code for the DSGE model evaluation. |
| "Loss Function-based Evaluation of DSGE Models," Journal of Applied Econometrics, 15(6), 2000, 645-670. Click HERE to download the GAUSS code for the DSGE model evaluation. The READ ME file contains a brief description of the procedures that are available in the ZIP file. |
| "Quantile Spline Models for Global Temperature Change," joint with Roger Koenker (University of Illinois), Climatic Change, 28, 1994, pp. 395-404. |
| "DSGE Model-Based Estimation of the New
Keynesian Phillips Curve" FRB Richmond Economic Quarterly, Fall 2008, 397-433. |
| "Inflation Dynamics in a Small Open
Economy Model under Inflation Targeting: Some Evidence from Chile Joint with Marco Del Negro (FRB New York) This Version, March 2008 Forthcoming in: "Monetary Policy Under Uncertainty and Learning," Klaus Schmidt-Hebbel and Carl E. Walsh (editors), 11th Annual Conference of the Central Bank of Chile. |
| Comment on
"Monetary Policy under Uncertainty in an Estimated Model with Labor
Market Frictions" by Luca Sala, Ulf Soderstrom, and Antonella Trigari Journal of Monetary Economics (Carnegie Rochester Conference Series), 55(5), 2008, 1007-1010. |
| Comment on "How Structural are
Structural Parameters" by Jesus Fernandez-Villaverde and Juan
Rubio-Ramirez 2007 NBER Macroeconomics Annual, 2008, MIT Press, 149-163 This Version: May 2007 |
| Bayesian Methods in Macroeconometrics S. N. Durlauf and L. E. Blume, The New Palgrave Dictionary of Economics, forthcoming, Palgrave Macmillan, reproduced with permission of Palgrave Macmillan. This article is taken from the author's original manuscript and has not been reviewed or edited. The definitive published version of this extract may be found in the complete New Palgrave Dictionary of Economics in print and online, forthcoming. |
| A Reply to Comments by A Beyer and R
Farmer on Lubik and Schorfheide (2004, AER) Joint with Thomas Lubik (FRB Richmond), American Economic Review, 97(1), 2007, 530-533. |
| "How Good is What You've Got? DSGE-VAR as a Toolkit for Evaluating
DSGE Models" joint with Marco Del Negro (FRB New York), FRB Atlanta Economic Review, 91(2), 2006. |
| "The
Econometrics of Macroeconomics, Finance, and the Interface," joint with F.X. Diebold (Penn), R.T. Engle (NYU), C. Favero (IGIER), G.M. Gallo Journal of Econometrics, 131(1-2), 2006, 1-2. |
| A Bayesian Look at New Open Economy
Macroeconomics Joint with Thomas Lubik (FRB Richmond) NBER Macroeconomics Annual 2005, edited by Mark Gertler and Kenneth Rogoff This version: May 16, 2005 Data, GAUSS Programs, and DYNARE mod-files Preliminary Draft for NBER Macro Annual Conference: March 22, 2005 |
| "Policy Predictions if the Model Doesn't Fit," joint with Marco Del Negro (FRB Atlanta), Journal of the European Economic Association, 3(2-3), 2005, 434-443. GAUSS programs |
| "Take Your Model Bowling," joint with Marco Del Negro (FRB New York), FRB Atlanta Economic Review, 88(4), 2003. |
| "Loss Function Estimation of Forecasting
Models: A Bayesian Perspective," American Statistical Association, 1999 Proceedings of the Section on Bayesian Statistics, 1999. |
| "Economic Impact of Cuts in Defense Spending", ACDIS Occasional Papers, April 1993, University of Illinois, Urbana and Champaign. |
| "Financial Econometrics" by Christian
Gourieroux and Joann Jasiak, Princeton University Press. Econometric
Theory, vol. 19(2), 2003, 401-409. |
| "Forecasting Economic Time Series" by Michael Clements and David Hendry, Cambridge University Press. Econometric Theory, 16(3), 2000, 441-450. |