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The Econometric Analysis of Microscopic Simulation Models

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Author Info
Youwei Li
Bas Donkers

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Abstract

This paper studies how to compare different microscopic simulation (MS) models and how to compare a MS model with real world. The parameters of interest are classified and characterized, various econometric methods are applied for the comparison. We illustrate the methodolgy on testing of the equality of parameters, such as mean, autocorrelation coefficient, for both the case of comparing two different MS models and of comparing a MS model with real world

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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2004 with number 195.

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Date of creation: 11 Aug 2004
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Handle: RePEc:sce:scecf4:195

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Related research
Keywords: MS models; econometrics;

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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing

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  20. repec:cup:macdyn:v:8:y:2004:i:5:p:596-616 is not listed on IDEAS
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  27. Cars H. Hommes, 2005. "Heterogeneous Agent Models in Economics and Finance," Tinbergen Institute Discussion Papers 05-056/1, Tinbergen Institute. [Downloadable!]
    Other versions:
Full references

Cited by:
(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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