On the Estimation of Behavioral Macroeconomic Models via Simulated Maximum Likelihood
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F18%3A10392656" target="_blank" >RIV/00216208:11230/18:10392656 - isvavai.cz</a>
Result on the web
<a href="http://www.vwl.uni-kiel.de/EconomicsWorkingPapers/EWP-2018-11.pdf" target="_blank" >http://www.vwl.uni-kiel.de/EconomicsWorkingPapers/EWP-2018-11.pdf</a>
DOI - Digital Object Identifier
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Alternative languages
Result language
angličtina
Original language name
On the Estimation of Behavioral Macroeconomic Models via Simulated Maximum Likelihood
Original language description
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.
Czech name
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Czech description
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Classification
Type
J<sub>ost</sub> - Miscellaneous article in a specialist periodical
CEP classification
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OECD FORD branch
50201 - Economic Theory
Result continuities
Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Economics Working Papers
ISSN
2193-2476
e-ISSN
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Volume of the periodical
2018
Issue of the periodical within the volume
12
Country of publishing house
DE - GERMANY
Number of pages
32
Pages from-to
1-32
UT code for WoS article
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EID of the result in the Scopus database
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