 Lack of identification of parameters in a simple behavioral macroeconomic modelThomas Lux Journal of Economic Dynamics and Control, 2024, vol. 168, issue C Abstract: Identifiability of the parameters is an important precondition for consistent estimation of models designed to describe empirical phenomena. Nevertheless, many estimation exercises proceed without a preliminary investigation into the identifiability of their models. As a consequence, the estimates could be essentially meaningless if convergence to the ‘true’ parameters is not guaranteed in the pertinent problem. We provide some evidence here that such a lack of identification is responsible for the inconclusive results reported in recent literature on parameter estimates for a certain class of nonlinear behavioral New Keynesian models. We also show that identifiability depends on the subtle details of the model structure. Hence, a careful investigation of identifiability should precede any attempt at estimation of such models. Keywords: Behavioral macro; Identification; Forecast heuristics (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:168:y:2024:i:c:s0165188924001647 DOI: 10.1016/j.jedc.2024.104972 Access Statistics for this article Journal of Economic Dynamics and Control is currently edited by J. Bullard, C. Chiarella, H. Dawid, C. H. Hommes, P. Klein and C. Otrok More articles in Journal of Economic Dynamics and Control from Elsevier |
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