Zhentao Shi and Huanhuan Zheng (2018), "Structural Estimation of Behavioral Heterogeneity," Journal of Applied Econometrics [arxiv]

We provide code of XMM and ELXM that replicates the empirical results.

• A static copy is hosted at Journal of Applied Econometrics Data Archive.
• A dynamic copy is hosted at Github with Version 1.0 exactly the same as the copy in JAE Data Archive. The authors will maintain it for future update.

• raw_data.csv: the raw dataset, downloaded from Robert Shiller's webpage. This paper only uses three columns of the dataset.
  • date: in the format year.month
  • p: S&P 500 index
  • D: Dividend

• master1_data_cleaning.R: generate the detrended time series for each period. After running this script, three Rdata files will be saved in the folder.
• master2_estimation.R: estimation by XMM and ELXM using the Rdata files generated by master1_data_cleaning.R.

The following Rscripts contain the user-defined functions used in master2_estimation.R.

• CUE.R: XMM
• EL.R: EXLM
• func5.R: a collection of useful functions for the estimation procedures.

• No extra software is needed to run master1_data_cleaning.R.
• The numerical optimization in master2_estimation.R depends on NLOPT and MOSEK via the R packages nloptr and RMOSEK. The software must be installed to run the code.

1. R --vanilla <master1_data_generation.R> data.out &
2. R --vanilla <master2_estimation.R> est.out &