We propose two novel methods to “bring Agent Based Models (ABMs) to the data”. First, we describe a Bayesian procedure to estimate the numerical values of ABM parameters that takes into account the time structure of simulated and observed time series. Second, we propose a method to forecast aggregate time series using data obtained from the simulation of an ABM. We apply our methodological contributions to a specific medium-scale macro ABM.

Delli Gatti, D., Grazzini, J., Rising to the challenge: Bayesian estimation and forecasting techniques for macroeconomic Agent Based Models, <<JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION>>, 2020; 178 (10): 875-902. [doi:10.1016/j.jebo.2020.07.023] [http://hdl.handle.net/10807/179042]

Rising to the challenge: Bayesian estimation and forecasting techniques for macroeconomic Agent Based Models

Delli Gatti, Domenico
;
Grazzini, Jakob
2020

Abstract

We propose two novel methods to “bring Agent Based Models (ABMs) to the data”. First, we describe a Bayesian procedure to estimate the numerical values of ABM parameters that takes into account the time structure of simulated and observed time series. Second, we propose a method to forecast aggregate time series using data obtained from the simulation of an ABM. We apply our methodological contributions to a specific medium-scale macro ABM.
2020
Inglese
Delli Gatti, D., Grazzini, J., Rising to the challenge: Bayesian estimation and forecasting techniques for macroeconomic Agent Based Models, <<JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION>>, 2020; 178 (10): 875-902. [doi:10.1016/j.jebo.2020.07.023] [http://hdl.handle.net/10807/179042]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10807/179042
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