Journal article | Zeitschriftenartikel
Structural estimation of jump-diffusion processes in macroeconomics
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.
- Umfang
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Seite(n): 196-210
- Sprache
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Englisch
- Anmerkungen
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Status: Postprint; begutachtet (peer reviewed)
- Erschienen in
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Journal of Econometrics, 153(2)
- Klassifikation
-
Estimation: General
- Thema
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Wirtschaft
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Volkswirtschaftslehre
- Ereignis
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Geistige Schöpfung
- (wer)
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Posch, Olaf
- Ereignis
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Veröffentlichung
- (wo)
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Niederlande
- (wann)
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2009
- DOI
- URN
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urn:nbn:de:0168-ssoar-255082
- Rechteinformation
-
GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
- Letzte Aktualisierung
-
21.06.2024, 16:27 MESZ
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Objekttyp
- Zeitschriftenartikel
Beteiligte
- Posch, Olaf
Entstanden
- 2009
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