Small sample bias in MSM estimation of agent-based models

Jakob Grazzini, Matteo Richiardi, Lisa Sella

Risultato della ricerca: Contributo in libroChapter

2 Citazioni (Scopus)

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.
Lingua originaleEnglish
Titolo della pubblicazione ospiteManaging Market Complexity
Pagine237-247
Numero di pagine11
DOI
Stato di pubblicazionePubblicato - 2012

Serie di pubblicazioni

NomeLECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS

Keywords

  • Agent-based modeling
  • Estimation
  • small-sample bias

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