Estimation of ergodic agent-based models by simulated minimum distance

Two difficulties 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 difficulties 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:	2015
Authors:	Grazzini, Jakob ; Richiardi, Matteo
Published in:	Journal of Economic Dynamics and Control. - Elsevier, ISSN 0165-1889. - Vol. 51.2015, C, p. 148-165
Publisher:	Elsevier
Subject:	Agent-based models \| Consistent estimation \| Method of simulated moments

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Type of publication:	Article
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C63 - Computational Techniques
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011190658