| Autor: |
PhDr. Jiří Kukačka Ph.D., Stephen Sacht (Kiel University)
|
| Typ: |
Ostatní |
| Rok: |
2021 |
| Číslo: |
0 |
| ISSN / ISBN: |
2193-2476 |
| Publikováno v: |
Kiel University Economics Working Paper No 2021-01, DOI |
| Místo vydání: |
Kiel, Germany |
| Klíčová slova: |
behavioral heuristics, heuristic switching model, intensity of choice, simulated maximum likelihood |
| JEL kódy: |
C53, D83, E12, E32 |
| Citace: |
Kukacka, J., Sacht, S. (2021). Estimation of heuristic switching in behavioral macroeconomic models. Kiel University Economics Working Paper No 2021-01. |
| Granty: |
PRIMUS/19/HUM/17 2019-2021 Behaviorální finance a makroekonomie: Nové pohledy pro hlavní proud
|
| Abstrakt: |
This paper offers a simulation-based method for the estimation of heuristic switching in nonlinear macroeconomic models. Heuristic switching is an important feature of modeling strategy since it uses simple decision rules of boundedly rational heterogeneous agents. The simulation study shows that the proposed simulated maximum likelihood method identifies the behavioral effects that stay hidden for standard econometric approaches. In the empirical application, we estimate the structural and behavioral parameters of the US economy. We are especially able to reliably identify the intensity of choice that governs the models’ nonlinear dynamics. |
