Detail publikace

On the estimation of behavioral macroeconomic models via simulated maximum likelihood

Autor: PhDr. Jiří Kukačka Ph.D., Stephen Sacht (Kiel University), Tae-Seok Jang (Kyungpook National University)
Typ: Ostatní
Rok: 2018
Číslo: 11
ISSN / ISBN: 2193-2476
Publikováno v: Kiel University Economics Working Paper No 2018-11, DOI
Místo vydání: Kiel, Germany
Klíčová slova: behavioral heuristics, the intensity of choice, Monte Carlo simulations, new-Keynesian model, simulated maximum likelihood
JEL kódy: C53, D83, E12, E32
Citace:
Abstrakt: In this paper, we introduce the simulated maximum likelihood method for identifying behavioral heuristics of heterogeneous agents in the baseline three-equation New Keynesian model. The method is extended to multivariate macroeconomic optimization problems, and the estimation procedure is applied to empirical data sets. This approach considerably relaxes restrictive theoretical assumptions and enables a novel estimation of the intensity of choice parameter in discrete choice. In Monte Carlo simulations, we analyze the properties and behavior of the estimation method, which provides important information on the behavioral parameters of the New Keynesian model. However, the curse of dimensionality arises via a consistent downward bias for idiosyncratic shocks. Our empirical results show that the forward-looking version of both the behavioral and the rational model specifications exhibits good performance. We identify potential sources of misspecification for the hybrid version. A novel feature of our analysis is that we pin down the switching parameter for the intensity of choice for the Euro Area and US economy.

08

Prosinec

Prosinec 2021
poútstčtsone
  12345
6789101112
13141516171819
20212223242526
2728293031  

Partneři

Deloitte

Sponzoři

CRIF
McKinsey
Patria Finance