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Estimating a Behavioral New Keynesian Model

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  • Joaquim Andrade
  • Pedro Cordeiro
  • Guilherme Lambais

Abstract

This paper analyzes identification issues of a behavorial New Keynesian model and estimates it using likelihood-based and limited-information methods with identification-robust confidence sets. The model presents some of the same difficulties that exist in simple benchmark DSGE models, but the analytical solution is able to indicate in what conditions the cognitive discounting parameter (attention to the future) can be identified and the robust estimation methods is able to confirm its importance for explaining the proposed behavioral model.

Suggested Citation

  • Joaquim Andrade & Pedro Cordeiro & Guilherme Lambais, 2019. "Estimating a Behavioral New Keynesian Model," Papers 1912.07601, arXiv.org.
    • Handle: RePEc:arx:papers:1912.07601
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    References listed on IDEAS

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    Cited by:

    1. Greta Meggiorini & Fabio Milani, 2021. "Behavioral New Keynesian Models: Learning vs. Cognitive Discounting," Working Papers 202103, University of California-Irvine, Department of Economics.
    2. Afsar, Atahan & Gallegos, José-Elías & Jaimes, Richard & Silgado-Gómez, Edgar, 2024. "A behavioral hybrid New Keynesian model: Quantifying the importance of belief formation frictions," Economic Modelling, Elsevier, vol. 132(C).
    3. Atahan Afsar; José Elías Gallegos; Richard Jaimes; Edgar Silgado Gómez & José Elías Gallegos & Richard Jaimes & Edgar Silgado Gómez, 2020. "Reconciling Empirics and Theory: The Behavioral Hybrid New Keynesian Model," Vniversitas Económica 18560, Universidad Javeriana - Bogotá.

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