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The econometric analysis of microscopic simulation models

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Author Info
Li, Youwei
Donkers, Bas
Melenberg, Bertrand (Tilburg University, Center for Economic Research)

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

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

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Find related papers by JEL classification:
C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - General
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

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(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Li, Youwei & Donkers, Bas & Melenberg, Bertrand, 2006. "The non- and semiparametric analysis of MS models : some applications," Discussion Paper 95, Tilburg University, Center for Economic Research. [Downloadable!]
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