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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.