Structural estimation of jump-diffusion processes in macroeconomics |
| |
Authors: | Olaf Posch |
| |
Institution: | Aarhus University, School of Economics and Management, Aarhus, Denmark; Center for Research in Econometric Analysis of Time Series, CREATES, Denmark |
| |
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: | C13 E32 O40 |
本文献已被 ScienceDirect 等数据库收录! |
|