Understanding of polarization-heat interactions in pyroelectric and electrocaloric thin-film materials requires that the electrothermal response is reliably characterized. While most work, particularly in electrocalorics, has relied on indirect measurement protocols, here we report a direct technique for measuring both pyroelectric and electrocaloric effects in epitaxial ferroelectric thin films. We demonstrate an electrothermal test platform where localized high-frequency (∼ 1 kHz) periodic heating and highly-sensitive thin-film resistance thermometry allow direct measurement of pyrocurrents (< 10 pA) and electrocaloric temperature changes (< 2 mK) using the "2-omega" and an adapted "3-omega" technique, respectively. Frequency-domain, phase-sensitive detection permits extraction of pyrocurrent from the total current, which is often convoluted by thermally-stimulated currents. The wide frequency range measurements employed in this study further show the effect of secondary contributions to pyroelectricity due to the mechanical constraints of the substrate. Similarly, measurement of the electrocaloric effect on the same device in the frequency-domain (∼ 100 kHz) allows decoupling of Joule heating from the electrocaloric effect. Using one-dimensional, analytical heattransport models, the transient temperature profile of the heterostructure is characterized to extract pyroelectric and electrocaloric coefficients.