Structural estimation of jump-diffusion processes in macroeconomics

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  • Institut for Økonomi
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.
OriginalsprogEngelsk
TidsskriftJournal of Econometrics
Vol/bind153
Nummer2
Sider (fra-til)196-210
ISSN0304-4076
DOI
StatusUdgivet - 2009

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