TY - JOUR SN - 0165-1889 AU - Baur, Dirk G. AU - Glover, Kristoffer J. T1 - Heterogeneous expectations in the gold market: Specification and estimation JF - Journal of Economic Dynamics and Control SP - 116 EP - 133 IS - 0 VL - 40 PY - 2014 KW - Bubbles KW - Gold price KW - Heterogeneous agents KW - STR models KW - Switching AB - Abstract The increase in the price of gold between 2002 and 2011 appears to be a candidate for a potential asset price ‘bubble’, suggesting that chartists (feedback traders) were highly active in the gold market during this period. Hence, this paper develops and tests empirically several models incorporating heterogeneous expectations of agents, specifically fundamentalists and chartists, for the gold market. The empirical results show that both agent types are important in explaining historical gold prices but that the 10-year bull run of gold in the early 2000s is consistent with the presence of agents extrapolating long-term trends. Technically this paper is a further step toward providing an empirical foundation for certain assumptions used in the heterogeneous agents literature. For example, the empirical results presented in this paper compare the economical and statistical significance of numerous switching variable specifications that are generally only introduced ad hoc. DO - 10.1016/j.jedc.2014.01.001 M4 - Citavi ER -