Estimation of heuristic switching in behavioral macroeconomic models

0566494 - ÚTIA 2024 RIV NL eng J - Článek v odborném periodiku
Kukačka, Jiří - Sacht, S.
Estimation of heuristic switching in behavioral macroeconomic models.
Journal of Economic Dynamics & Control. Roč. 146, January (2023), č. článku 104585. ISSN 0165-1889. E-ISSN 1879-1743
Grant CEP: GA ČR GA20-14817S
Institucionální podpora: RVO:67985556
Klíčová slova: Behavioral heuristics * Heuristic switching model * Intensity of choice * Simulated maximum likelihood
Obor OECD: Applied Economics, Econometrics
Impakt faktor: 1.9, rok: 2022
Způsob publikování: Omezený přístup
http://library.utia.cas.cz/separaty/2023/E/kukacka-0566494.pdf https://www.sciencedirect.com/science/article/pii/S0165188922002883?via%3Dihub

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.
Trvalý link: https://hdl.handle.net/11104/0337813