Estimation of Ergodic Agent-Based Models by Simulated Minimum Distance

Jakob Grazzini and Matteo Richiardi

No 2014-W07, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: Two diculties 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 diculties 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)
Pages: 42 pages
Date: 2014-10-21
New Economics Papers: this item is included in nep-cmp, nep-ecm and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Related works:
Journal Article: Estimation of ergodic agent-based models by simulated minimum distance (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:nuf:econwp:1407

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