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Dear all, I posted this in econometrics forum also, to no avail. Hope this is the right place for this. For my master thesis I have to estimate a Heterogeneous Agents model that forecasts asset price changes. Two types of investors switch between strategies, either chartist or fundamentalist. The re...

thanks for your reply,

The post you referred seems to be a simulation exercise, while my objective (unfortunately it seems) is estimation. Perhaps some one else feels tempted to dig their teeth in it?

Dear all, Hope this is the right place for this. For my master thesis I have to estimate a Heterogeneous Agents model that forecasts asset price changes. Two types of investors switch between strategies, either chartist or fundamentalist. The relative weights of the agents are determined dynamically...