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Article Dans Une Revue Econometrics Année : 2009

Structural estimation of jump-diffusion processes in macroeconomics

Olaf Posch
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Résumé

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.
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Dates et versions

hal-00602592 , version 1 (23-06-2011)

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Olaf Posch. Structural estimation of jump-diffusion processes in macroeconomics. Econometrics, 2009, 153 (2), pp.196. ⟨10.1016/j.jeconom.2009.06.003⟩. ⟨hal-00602592⟩

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