Structural estimation of jump-diffusion processes in macroeconomics

Olaf Posch

Journal of Econometrics, 2009, vol. 153, issue 2, 196-210

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.

Keywords: Jump-diffusion; estimation; Continuous-time; DSGE; models; Closed-form (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (25)

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Related works:
Working Paper: Structural estimation of jump-diffusion processes in macroeconomics (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:153:y:2009:i:2:p:196-210

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