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The Econometric Analysis of Microscopic Simulation Models

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  • Youwei Li
  • Bas Donkers

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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File URL: http://repec.org/sce2004/up.24328.1077884185.pdf
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Bibliographic Info

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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Keywords: MS models; econometrics;

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References

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Cited by:
  1. 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.
  2. 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.

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