Estimation of Ergodic Agent-Based Models by Simulated Minimum Distance

Two diculties arise in the estimation of AB models: (i) the criterion function has no simple analytical expression, (ii) the aggregate properties of the model cannot be analytically understood. In this paper we show how to circumvent these diculties and under which conditions ergodic models can be consistently estimated by simulated minimum distance techniques, both in a long-run equilibrium and during an adjustment phase.

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Year of publication:	2014-10-21
Authors:	Grazzini, Jakob ; Richiardi, Matteo
Institutions:	Economics Group, Nuffield College, University of Oxford
Subject:	Agent-based Models \| Consistent Estimation \| Method of Simulated Moments

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Extent:	application/pdf
Series:	Economics Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2014-W07 42 pages
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C63 - Computational Techniques
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010939259