The Non- and Semiparametric Analysis of Ms Models: Some Applications
CentER Discussion Paper No. 2006-95
19 Pages Posted: 24 Oct 2006
Date Written: October 2006
This paper illustrates how to compare different microscopic simulation (MS) models and how to compare a MS model with real data in case the parameters of interest are estimated non- or semiparametrically. As examples we investigate the marginal single-period probability density function of stock returns, and the corresponding spectral density function and memory parameters. We illustrate the methodology by the MS models developed by Levy, Levy, Solomon (2000) and the market fraction model developed by He and Li (2005a, b), and confront the resulting return data with the S&P 500 stock index data.
Keywords: Microscopic simulation models, Probability density function, Spectral density function, Memory parameters
JEL Classification: C14, G12
Suggested Citation: Suggested Citation