Template-type: ReDIF-Paper 1.0
Author-Name: Jakob Grazzini
Author-Workplace-Name: Catholic University of Milan, Dept of Economics and Finance
Author-Email: jakob.grazzini@unicatt.it
Author-Name: Matteo Richiardi
Author-Workplace-Name: Institute for New Economic Thinking, Nuffield College, Oxford and Collegio Carlo Alberto
Author-Email: matteo.richiardi@maths.ox.ac.uk
Title: Estimation of Ergodic Agent-Based Models by Simulated Minimum Distance
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.
Classification-JEL: C15 (Statistical Simulation Methods: General), C63 (Computational Techniques;
Simulation Modeling)
Keywords: Agent-based Models, Consistent Estimation, Method of Simulated Moments.
Length: 42 pages
Creation-Date: 2014-10-21
Number: 2014-W07
File-URL: http://www.nuffield.ox.ac.uk/economics/papers/2014/ABMestimation-ergodicv.18.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:1407