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Professor Schorfheide is also a Research Fellow at the Centre for Economic Policy Research (CEPR), a Research Associate at the National Bureau of Economic Research (NBER), and has been a Visiting Scholar at several central banks. He serves as an Associate Editor for Econometrica, the Journal of Monetary Economics, and Quantitative Economics.
Professor Schorfheide conducts research in econometrics and macroeconomics. Much of his econometric works has focused on the problem of model evaluation and selection in situations in which some or all models under consideration are potentially misspecified. This research is motivated by the need for econometric methods that are suitable to analyze modern macroeconomic models, such as dynamic stochastic general equilibrium (DSGE) models. His research provides a set of tools that are useful for empirical work with modern macroeconomic models, including forecasting and policy analysis. He applied these methods to analyze the sources of business cycle fluctuations and to study the effects of monetary policy. (See the Research section of his personal page for detailed information.)
Schorfheide currently advises various regional Federal Reserve Banks in regard to the use of DSGE models and Vector Autoregressions for forecasting and policy analysis.