Consistent Estimation of Agent Based Models
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.
|Date of creation:||2011|
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