Template-type: ReDIF-Paper 1.0
Author-Name:  Grazzini, Jakob
Author-Email: jakob.grazzini@unicatt.it
Author-Name:  Richiardi, Matteo
Author-Email: matteo.richiardi@unito.it
Author-Workplace-Name: University of Turin
Author-Workplace-Homepage: http://www.est.unito.it/
Title: Consistent Estimation of Agent-Based Models by Simulated Minimum Distance
Abstract: Agent-based (AB) models are considered a promising tool for macroeconomic analysis. However, until estimation 
of AB models become a common practice, they will not get to the center stage of macroeconomics. Two diculties arise in 
the estimation of AB models: (i) the criterion function has no simple analytical expression, and (ii) the aggregate 
properties of the model cannot be analytically understood. The rst one calls for simulation-based estimation techniques; 
the second requires additional statistical testing in order to ensure that the simulated quantities are consistent estimators 
of the theoretical quantities. The possibly high number of parameters involved and the non-linearities in the theoretical 
quantities used for estimation add to the complexity of the problem. As these diculties are also shared, though to a 
di
erent extent, by DSGE models, we rst look at the lessons that can be learned from this literature. We identify 
simulated minimum distance (SMD) as a practical approach to estimation of AB models, and we discuss the conditions 
which ensure consistency of SMD estimators in AB models 
Length: 38 pages
Creation-Date: 2013-07
File-URL: http://www.est.unito.it/do/home.pl/Download?doc=/allegati/wp2013dip/wp_35_2013.pdf
File-Format: Application/PDF
Handle: RePEc:uto:dipeco:201335