Estimation of ergodic agent-based models by simulated minimum distance

Jakob Grazzini, Matteo Richiardi

Risultato della ricerca: Contributo in rivistaArticolo in rivista

61 Citazioni (Scopus)

Abstract

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.
Lingua originaleEnglish
pagine (da-a)148-165
Numero di pagine18
RivistaJOURNAL OF ECONOMIC DYNAMICS & CONTROL
Volume51
DOI
Stato di pubblicazionePubblicato - 2015

Keywords

  • Agent-based models
  • Consistent estimation
  • Method of simulated moments

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