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Structural estimation of jump-diffusion processes in macroeconomics
[journal article]
Abstract This paper shows how to solve and estimate a continuous-time dynamic stochastic general equilibrium (DSGE) model with jumps. It also shows that a continuous-time formulation can make it simpler (relative to its discrete-time version) to compute and estimate the deep parameters using the likelihood f... view more
This paper shows how to solve and estimate a continuous-time dynamic stochastic general equilibrium (DSGE) model with jumps. It also shows that a continuous-time formulation can make it simpler (relative to its discrete-time version) to compute and estimate the deep parameters using the likelihood function when non-linearities and/or non-normalities are considered. We illustrate our approach by solving and estimating the stochastic AK and the neoclassical growth models. Our Monte Carlo experiments demonstrate that non-normalities can be detected for this class of models. Moreover, we provide strong empirical evidence for jumps in aggregate US data.... view less
Classification
Economic Statistics, Econometrics, Business Informatics
Political Economy
Free Keywords
C13; E32; O40; Jump-diffusion estimation; Continuous-time DSGE models; Closed-form
Document language
English
Publication Year
2009
Page/Pages
p. 196-210
Journal
Journal of Econometrics, 153 (2009) 2
DOI
https://doi.org/10.1016/j.jeconom.2009.06.003
Status
Postprint; peer reviewed
Licence
PEER Licence Agreement (applicable only to documents from PEER project)