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We find that these TFP max share estimators tend to be biased in large samples when applied to data generated from DSGE models with shock processes that match TFP moments in the data, especially in the presence of TFP measurement error. We propose an alternative max share news estimator that reduces this bias and the RMSE of the impulse response estimates, even when there is sizable measurement error in the news variable. When applying this estimator to U.S. data, we find that news shocks are slower to diffuse to TFP and have a smaller effect on real activity than implied by the TFP max share estimator.<\/jats:p>","DOI":"10.1002\/jae.70059","type":"journal-article","created":{"date-parts":[[2026,5,6]],"date-time":"2026-05-06T13:57:24Z","timestamp":1778075844000},"page":"597-612","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Estimating Macroeconomic News and Surprise Shocks"],"prefix":"10.1002","volume":"41","author":[{"given":"Lutz","family":"Kilian","sequence":"first","affiliation":[{"name":"Federal Reserve Bank of Dallas  Dallas Texas USA"},{"name":"CEPR  London UK"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Michael D.","family":"Plante","sequence":"additional","affiliation":[{"name":"Federal Reserve Bank of Dallas  Dallas Texas USA"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Alexander W.","family":"Richter","sequence":"additional","affiliation":[{"name":"Federal Reserve Bank of Dallas  Dallas Texas USA"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2026,5,6]]},"reference":[{"key":"e_1_2_11_2_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.101.4.1144"},{"key":"e_1_2_11_3_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20181174"},{"key":"e_1_2_11_4_1","volume-title":"Manuscript","author":"Baron J.","year":"2019"},{"key":"e_1_2_11_5_1","doi-asserted-by":"publisher","DOI":"10.1086\/680625"},{"key":"e_1_2_11_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2011.03.001"},{"key":"e_1_2_11_7_1","doi-asserted-by":"publisher","DOI":"10.1086\/648305"},{"key":"e_1_2_11_8_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.96.4.1293"},{"key":"e_1_2_11_9_1","doi-asserted-by":"publisher","DOI":"10.1257\/jel.52.4.993"},{"key":"e_1_2_11_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/jmcb.12250"},{"key":"e_1_2_11_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jinteco.2017.07.008"},{"key":"e_1_2_11_12_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jinteco.2022.103621"},{"key":"e_1_2_11_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/jmcb.12939"},{"key":"e_1_2_11_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2021.08.001"},{"key":"e_1_2_11_15_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2024.2316829"},{"key":"e_1_2_11_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/jmcb.12727"},{"key":"e_1_2_11_17_1","doi-asserted-by":"publisher","DOI":"10.1162\/rest_a_00943"},{"key":"e_1_2_11_18_1","doi-asserted-by":"publisher","DOI":"10.3982\/QE2029"},{"key":"e_1_2_11_19_1","doi-asserted-by":"publisher","DOI":"10.1257\/aer.20170792"},{"key":"e_1_2_11_20_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.euroecorev.2015.10.002"},{"key":"e_1_2_11_21_1","doi-asserted-by":"publisher","DOI":"10.1162\/154247604323068078"},{"key":"e_1_2_11_22_1","volume-title":"Do Technology Shocks Lead to Productivity Slowdowns? 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