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

B-Tier
Journal: Journal of Economic Behavior and Organization
Year: 2020
Volume: 178
Issue: C
Pages: 875-902

Authors (2)

Delli Gatti, Domenico (not in RePEc) Grazzini, Jakob (Università degli Studi di Pavi...)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:jeborg:v:178:y:2020:i:c:p:875-902
Journal Field
Theory
Author Count
2
Added to Database
2026-01-25