Detail publikace

Estimation of heuristic switching in behavioral macroeconomic models

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.

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