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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.

Suggested Citation

  • Jakob Grazzini, 2011. "Consistent Estimation of Agent Based Models," LABORatorio R. Revelli Working Papers Series 110, LABORatorio R. Revelli, Centre for Employment Studies.
    • Handle: RePEc:cca:wplabo:110
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    File URL: http://www.laboratoriorevelli.it/_pdf/wp110.pdf
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    References listed on IDEAS

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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. Eleanor J. Murray & James M. Robins & George R. Seage III & Sara Lodi & Emily P. Hyle & Krishna P. Reddy & Kenneth A. Freedberg & Miguel A. Hernán, 2018. "Using Observational Data to Calibrate Simulation Models," Medical Decision Making, , vol. 38(2), pages 212-224, February.
    3. Grazzini Jakob, 2011. "Estimating Micromotives from Macrobehavior," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201111, University of Turin.

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