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%T Structural estimation of jump-diffusion processes in macroeconomics %A Posch, Olaf %J Journal of Econometrics %N 2 %P 196-210 %V 153 %D 2009 %K C13; E32; O40; Jump-diffusion estimation; Continuous-time DSGE models; Closed-form %= 2011-06-28T12:44:00Z %~ http://www.peerproject.eu/ %> https://nbn-resolving.org/urn:nbn:de:0168-ssoar-255082 %X 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. %C NLD %G en %9 journal article %W GESIS - http://www.gesis.org %~ SSOAR - http://www.ssoar.info