Indirect estimation of agent-based models.An application to a simple diffusion model

Jakob Grazzini, Matteo Richiardi and Lisa Sella

No 118, LABORatorio R. Revelli Working Papers Series from LABORatorio R. Revelli, Centre for Employment Studies

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 estimator. We show that nonlinearities of the moments lead to a small bias in the estimates in small populations, and prove that 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. However, a trade-off emerges between model inadequacy and data inadequacy. This is particularly severe when only aggregate information is available, as common with diffusion data.

Keywords: diffusion model; method of simulated moments; estimation (search for similar items in EconPapers)
JEL-codes: C15 C53 C63 D12 O33 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (14)

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Persistent link: https://EconPapers.repec.org/RePEc:cca:wplabo:118

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