Consistent Estimation of Agent Based Models

The aim of this paper is to describe a method to introduce empirical data in agent based models. Starting from the econometric and calibration literature, it is shown how to select the values of the parameters in the model and which conditions has to be met to have consistent estimations. A crucial point lays in the analysis of the artificial data produced by model, in particular to test for ergodicity and stationarity.

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Year of publication:	2011
Authors:	Grazzini, Jakob
Institutions:	Collegio Carlo Alberto, Università degli Studi di Torino
Subject:	Agent-based models \| Estimation \| Calibration \| Simulation

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Extent:	application/pdf
Series:	LABORatorio R. Revelli Working Papers Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 110
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009150647