Estimation of ergodic agent-based models by simulated minimum distance

B-Tier
Journal: Journal of Economic Dynamics and Control
Year: 2015
Volume: 51
Issue: C
Pages: 148-165

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Two difficulties arise in the estimation of AB models: (i) the criterion function has no simple analytical expression, (ii) the aggregate properties of the model cannot be analytically understood. In this paper we show how to circumvent these difficulties and under which conditions ergodic models can be consistently estimated by simulated minimum distance techniques, both in a long-run equilibrium and during an adjustment phase.

Technical Details

RePEc Handle
repec:eee:dyncon:v:51:y:2015:i:c:p:148-165
Journal Field
Macro
Author Count
2
Added to Database
2026-01-25