Small sample bias in MSM estimation of agent-based models

Jakob Grazzini, Matteo Richiardi and Lisa Sella ()
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Lisa Sella: Ceris - CNR

Chapter Chapter 19 in Managing Market Complexity, 2012, pp 237-247 from Springer

Abstract: Abstract Starting from an agent-based interpretation of the well-known Bass innovation diffusion model, we perform a Montecarlo analysis of the performance of a method of simulated moment (MSM) estimator. We show that nonlinearities of the moments lead to a small bias in the estimates in small populations, although our estimates are consistent and converge to the true values as population size increases. Our approach can be generalized to the estimation of more complex agent-based models.

Keywords: Potential Adopter; Computational Economic; Small Sample Property; Bass Model; Small Sample Bias (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:spr:lnechp:978-3-642-31301-1_19

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DOI: 10.1007/978-3-642-31301-1_19

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