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@article{ Posch2009,
 title = {Structural estimation of jump-diffusion processes in macroeconomics},
 author = {Posch, Olaf},
 journal = {Journal of Econometrics},
 number = {2},
 pages = {196-210},
 volume = {153},
 year = {2009},
 doi = {https://doi.org/10.1016/j.jeconom.2009.06.003},
 urn = {https://nbn-resolving.org/urn:nbn:de:0168-ssoar-255082},
 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.},
}