The Econometric Analysis of Microscopic Simulation Models

This paper studies how to compare different microscopic simulation (MS) models and how to compare a MS model with real world. The parameters of interest are classified and characterized, various econometric methods are applied for the comparison. We illustrate the methodolgy on testing of the equality of parameters, such as mean, autocorrelation coefficient, for both the case of comparing two different MS models and of comparing a MS model with real world

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Year of publication:	2004-08-11
Authors:	Li, Youwei ; Donkers, Bas
Institutions:	Society for Computational Economics - SCE
Subject:	MS models \| econometrics

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Extent:	application/pdf
Series:	Computing in Economics and Finance 2004.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series Computing in Economics and Finance 2004 Number 195
Classification:	C12 - Hypothesis Testing ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005706521