Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5098358 | Journal of Economic Dynamics and Control | 2015 | 18 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Jakob Grazzini, Matteo Richiardi,