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The Econometric Analysis of Microscopic Simulation Models

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Author Info

  • Li, Y.
  • Donkers, A.C.D.
  • Melenberg, B.

    (Tilburg University, Center for Economic Research)

Abstract

Microscopic simulation models are often evaluated based on visual inspection of the results.This paper presents formal econometric techniques to compare microscopic simulation (MS) models with real-life data.A related result is a methodology to compare different MS models with each other.For this purpose, possible parameters of interest, such as mean returns, or autocorrelation patterns, are classified and characterized.For each class of characteristics, the appropriate techniques are presented.We illustrate the methodology by comparing the MS model developed by Levy, Levy, and Solomon (2000) and the market fraction model developed by He and Li (2005a, b) with actual data

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Bibliographic Info

Paper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2006-99.

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Date of creation: 2006
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Handle: RePEc:dgr:kubcen:200699

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Web page: http://center.uvt.nl

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Keywords: Microscopic simulation models; Econometric analysis;

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References

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Citations

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Cited by:
  1. Li, Y. & Donkers, A.C.D. & Melenberg, B., 2006. "The Non- and Semiparametric Analysis of MS Models: Some Applications," Discussion Paper 2006-95, Tilburg University, Center for Economic Research.
  2. He, Xue-Zhong & Li, Youwei, 2007. "Power-law behaviour, heterogeneity, and trend chasing," Journal of Economic Dynamics and Control, Elsevier, vol. 31(10), pages 3396-3426, October.

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