Empirical Validation of Agent-Based Models

In: C. Hommes and B. LeBaron (eds), Handbook of Computational Economics 4, pp: 437-488.

115 Pages Posted: 5 Mar 2017 Last revised: 12 Nov 2018

See all articles by Thomas Lux

Thomas Lux

University of Kiel - Institute of Economics; University of Bonn - Economic Science Area

Remco C. J. Zwinkels

VU University Amsterdam - Department of Finance and Financial Sector Management

Date Written: November 12, 2018

Abstract

The literature on agent-based models has been highly successful in replicating many stylized facts of financial and macroeconomic time series. Over the past decade, however, also advances in the estimation of such models have been made. Due to the inherent heterogeneity of agents and nonlinearity of agent-based models, fundamental choices have to be made to take the models to the data. In this chapter we provide an overview of the current literature on the empirical validation of agent-based models. We discuss potential lessons from other fields of applications of agent-based models, avenues for estimation of reduced form and 'full-edged' agent-based models, estimation methods, as well as applications and results.

Keywords: agent-based models, heterogeneous agent models, empirical methods

JEL Classification: G02, G10, C18

Suggested Citation

Lux, Thomas and Zwinkels, Remco C.J., Empirical Validation of Agent-Based Models (November 12, 2018). In: C. Hommes and B. LeBaron (eds), Handbook of Computational Economics 4, pp: 437-488., Available at SSRN: https://ssrn.com/abstract=2926442 or http://dx.doi.org/10.2139/ssrn.2926442

Thomas Lux

University of Kiel - Institute of Economics ( email )

Olshausenstr. 40
D-24118 Kiel, 24098
Germany

University of Bonn - Economic Science Area ( email )

Adenauerallee 24-42
D-53113 Bonn
Germany
+49-228-73-9519 (Phone)
+49-228-73-7953 (Fax)

Remco C.J. Zwinkels (Contact Author)

VU University Amsterdam - Department of Finance and Financial Sector Management ( email )

De Boelelaan 1105
Amsterdam, NL-1081HV
Netherlands
+31 20 59 85220 (Phone)

HOME PAGE: http://research.vu.nl/en/persons/remco-zwinkels

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