Modeling of heterogeneous agent behaviour through learning models, using a heuristic switching model in MATLAB.
This code fits a heuristic switching model with 4 heuristics (2 simple predictors, 2 advanced predictors) to inflation time-series for both The Netherlands and Germany. The code is used to investigate hetergeneous agent behaviour in forecasting macroeconomic time-series with respect to the time-series stationarity. The other component of the research uses R to test the series for I(d) properties and estimates the long-memory parameters using various techniques.
- MATLAB
- Time-series data
- The idea of the heuristic switching model was put forward by Anufriev & Hommes.