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Estimation of heuristic switching in behavioral macroeconomic models
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SYSNO ASEP 0566494 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title Estimation of heuristic switching in behavioral macroeconomic models Author(s) Kukačka, Jiří (UTIA-B) RID, ORCID
Sacht, S. (DE)Article number 104585 Source Title Journal of Economic Dynamics & Control. - : Elsevier - ISSN 0165-1889
Roč. 146, January (2023)Number of pages 18 s. Publication form Online - E Language eng - English Country NL - Netherlands Keywords Behavioral heuristics ; Heuristic switching model ; Intensity of choice ; Simulated maximum likelihood Subject RIV AH - Economics OECD category Applied Economics, Econometrics R&D Projects GA20-14817S GA ČR - Czech Science Foundation (CSF) Method of publishing Limited access Institutional support UTIA-B - RVO:67985556 UT WOS 000915237900001 EID SCOPUS 85144450704 DOI 10.1016/j.jedc.2022.104585 Annotation This paper addresses the issue of empirical validation of macroeconomic models with behavioral heuristics and a nonlinear switching mechanism. 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 well identifies behavioral effects that remain hidden under standard econometric approaches. In the empirical application, we estimate the structural and behavioral parameters of the US economy. We are specifically able to reliably identify the intensity of choice that governs the models’ nonlinear dynamics. Our empirical results thus lay the foundation for studying monetary and fiscal policy in a behavioral macroeconomic framework. Workplace Institute of Information Theory and Automation Contact Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Year of Publishing 2024 Electronic address https://www.sciencedirect.com/science/article/pii/S0165188922002883?via%3Dihub
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