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Consistent Estimation of Agent Based Models

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  • Jakob Grazzini

Abstract

The aim of this paper is to describe a method to introduce empirical data in agent based models. Starting from the econometric and calibration literature, it is shown how to select the values of the parameters in the model and which conditions has to be met to have consistent estimations. A crucial point lays in the analysis of the artificial data produced by model, in particular to test for ergodicity and stationarity.

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Bibliographic Info

Paper provided by LABORatorio R. Revelli, Centre for Employment Studies in its series LABORatorio R. Revelli Working Papers Series with number 110.

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Date of creation: 2011
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Handle: RePEc:cca:wplabo:110

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Related research

Keywords: Agent-based models; Estimation; Calibration; Simulation;

References

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Cited by:
  1. Grazzini, J., 2011. "Experimental Based, Agent Based Stock Market," CeNDEF Working Papers 11-07, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
  2. Grazzini Jakob, 2011. "Estimating Micromotives from Macrobehavior," Department of Economics and Statistics Cognetti de Martiis. Working Papers, University of Turin 201111, University of Turin.

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