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Structural estimation of jump-diffusion processes in macroeconomics

[journal article]

Posch, Olaf

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Please use the following Persistent Identifier (PID) to cite this document:http://nbn-resolving.de/urn:nbn:de:0168-ssoar-255082

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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 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.
Classification Political Economy; Economic Statistics, Econometrics, Business Informatics
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 http://dx.doi.org/10.1016/j.jeconom.2009.06.003
Status Postprint; reviewed
Licence PEER Licence Agreement (applicable only to documents from PEER project)
Document Type journal article
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