This paper proposes computational framework for empirical estimation of Financial Agent-Based Models (FABMs) that does … FABMs estimation purposes. To start with, we apply the methodology to the popular and widely analysed model of Brock and … results of our analysis are the statistical insignificance of the switching coefficient but markedly significant belief …

optimization problems, and the estimation pro-cedure is applied to empirical data sets. This approach considerably relaxes … restrictive theoretical assumptions and enables a novel estimation of the intensity of choice parameter in discrete choice. In … Monte Carlo simulations, we analyze the properties and behavior of the estimation method, which provides important …

This paper offers a simulation-based method for the estimation of heuristic switching in nonlinear macroeconomic models …. Heuristic switching is an important feature of modeling strategy since it uses simple decision rules of boundedly rational … heterogeneous agents. The simulation study shows that the proposed simulated maximum likelihood method identifies the behavioral …

This paper proposes a general computational framework for empirical estimation of financial agent based models, for … likelihood estimation based on kernel methods. Employing one of the most widely analysed heterogeneous agent models in the … insignificance of the switching coefficient but markedly significant belief parameters defining heterogeneous trading regimes with …

This paper proposes a general computational framework for empirical estimation of financial agent-based models, for … simulated maximum likelihood estimation based on kernel methods. In combination with the model developed by Brock and Hommes … properties and behaviour of the estimation framework, as well as its ability to recover parameters consistently and efficiently …

allows to pin down the other unidentifiedparameter without compromising the estimation of the remaining parameters …