Estimation of ergodic agent-based models by simulated minimum distance
Jakob Grazzini and
Matteo Richiardi ()
Journal of Economic Dynamics and Control, 2015, vol. 51, issue C, 148-165
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.
Keywords: Agent-based models; Consistent estimation; Method of simulated moments (search for similar items in EconPapers)
JEL-codes: C15 C63 (search for similar items in EconPapers)
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Working Paper: Estimation of Ergodic Agent-Based Models by Simulated Minimum Distance (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:51:y:2015:i:c:p:148-165
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