0478481 20240103214544.420170925235959.9 85033485531 000418220900002 10.1016/j.jedc.2017.09.006 38 s. P cav_un_epca*02511950165-1889851 (2017)21-45Elsevier heterogeneous agent model, simulated maximum likelihood switching cav_un_auth*0293468 Kukačka Jiří Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics CZ Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0242028 Baruník Jozef Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics CZ Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2017/E/kukacka-0478481.pdf cav_un_auth*0281000 GBP402/12/G097 GA ČR CZ This paper proposes a general computational framework for empirical estimation of financial agent-based models, for which criterion functions have unknown analytical form. For this purpose, we adapt a recently developed nonparametric simulated maximum likelihood estimation based on kernel methods. In combination with the model developed by Brock and Hommes (1998), which is one of the most widely analysed heterogeneous agent models in the literature, we extensively test the properties and behaviour of the estimation framework, as well as its ability to recover parameters consistently and e ciently using simulations. Key empirical findings indicate the statistical insignificance of the switching coe cient but markedly significant belief parameters that define heterogeneous trading regimes with a predominance of trend following over contrarian strategies. In addition, we document a slight proportional dominance of fundamentalists over trend-following chartists in major world markets. AH 50000 50200 50206 2018 2 4 A hod 4ah 20231122142653.8 RVO:67985556 http://hdl.handle.net/11104/0275483 1 Department of Econometrics UTIA-B 50202 ECONOMICS S 1 Article Economics 1 Article Economics 1 Article Economics ECONOMICS 1.691 0.304 10.2 0.01147 1.133 4630 1.795 1.371 112 Q2 66.667 67.8 Q2 Q1* 0.85 Q2 67.847 2017 Soubory v repozitáři: kukacka-0478481.pdf 85033485531 SCOPUS PUBMED 000418220900002 WOS cav_un_epca*0251195 Journal of Economic Dynamics & Control 0165-1889 1879-1743 Roč. 85 č. 1 2017 21 45 Elsevier