Structural estimation of jump-diffusion processes in macroeconomics
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Publication:2630127
DOI10.1016/j.jeconom.2009.06.003zbMath1431.91240OpenAlexW3122359979MaRDI QIDQ2630127
Publication date: 25 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2009.06.003
Applications of statistics to economics (62P20) Markov processes: estimation; hidden Markov models (62M05) Economic growth models (91B62) Dynamic stochastic general equilibrium theory (91B51)
Related Items (9)
Estimating dynamic equilibrium models using mixed frequency macro and financial data ⋮ Stability and mean growth rate of stochastic Solow model driven by jump-diffusion process ⋮ On the link between volatility and growth ⋮ Production technologies in stochastic continuous time models ⋮ A robust consumption model when the intensity of technological progress is ambiguous ⋮ Optimal consumption in a stochastic Ramsey model with Cobb-Douglas production function ⋮ Risk premia in general equilibrium ⋮ Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics ⋮ Numerical solution of dynamic equilibrium models under Poisson uncertainty
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