On the Estimation of Behavioral Macroeconomic Models via Simulated Maximum Likelihood

Kód výsledku v 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>

Výsledek na webu

<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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Jazyk výsledku

angličtina

Název v původním jazyce

On the Estimation of Behavioral Macroeconomic Models via Simulated Maximum Likelihood

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

On the Estimation of Behavioral Macroeconomic Models via Simulated Maximum Likelihood

Popis výsledku anglicky

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.

Druh

J_ost - Ostatní články v recenzovaných periodicích

CEP obor

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OECD FORD obor

50201 - Economic Theory

Projekt

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Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2018

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Economics Working Papers

ISSN

2193-2476

e-ISSN

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Svazek periodika

2018

Číslo periodika v rámci svazku

12

Stát vydavatele periodika

DE - Spolková republika Německo

Počet stran výsledku

32

Strana od-do

1-32

Kód UT WoS článku

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EID výsledku v databázi Scopus

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