Consistent Estimation of Agent Based Models

Jakob Grazzini

No 110, LABORatorio R. Revelli Working Papers Series from LABORatorio R. Revelli, Centre for Employment Studies

Abstract: 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.

Keywords: Agent-based models; Estimation; Calibration; Simulation (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:cca:wplabo:110

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