Template-type: ReDIF-Paper 1.0
Author-Name: Grazzini Jakob
Author-Email: jakob.grazzini@unito.it
Author-Workplace-Name: University of Turin
Author-Workplace-Homepage: http://www.est.unito.it/
Title: Estimating Micromotives from Macrobehavior
Abstract: In large economic systems the observed data are usually macro-data; an agent-based
model is a set of individual decision makers that in
uence the macro behavior of the system
both trough their direct actions and trough the in
uence they have on the other decision
makers. The complexity of the model impedes an explicit analytical relation between the
micro-parameters and the macro-behavior, and in turn the use of "traditional" econometric
tools. This paper develops an estimation procedure that allows the estimation of the agents'
micromotives in an agent-based model using the emerging behavior of the system. Starting
from a simple stock market model, in which agents learn by interacting, the properties of
simulation-based estimations are investigated. As a rst step in the direction of extending
and adapting the econometric literature to agent-based models, the paper is focused on the
consistency and on the bias of the estimates.
Length: 26 pages
Creation-Date: 2011-11
File-URL: http://www.est.unito.it/do/home.pl/Download?doc=/allegati/wp2011dip/11_wp_grazzini.pdf
File-Format: Application/PDF
Handle: RePEc:uto:dipeco:201111