Structural estimation of jump-diffusion processes in macroeconomics

Journal of Econometrics

Volumn 153, Issue 2, 2009, Pages 196-210

  Posch, Olaf ^a,b  

^a AARHUS UNIVERSITY   (Denmark)

^b CREATES   (Denmark)

Author keywords

Closed form; Continuous time DSGE models; Jump diffusion estimation

Indexed keywords

CLOSED-FORM; CONTINUOUS-TIME DSGE MODELS; CONTINUOUS-TIME DYNAMICS; CONTINUOUS-TIME FORMULATION; DISCRETE TIME VERSION; EMPIRICAL EVIDENCE; GENERAL EQUILIBRIUM; GROWTH MODELS; JUMP-DIFFUSION ESTIMATION; JUMP-DIFFUSION PROCESS; LIKELIHOOD FUNCTIONS; MONTE CARLO EXPERIMENTS; NONLINEARITIES; STRUCTURAL ESTIMATION;

CONTINUOUS TIME SYSTEMS; DIFFUSION; ECONOMICS; ESTIMATION;

STOCHASTIC MODELS;

EID: 70349278379     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2009.06.003     Document Type: Article

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