A comparison of economic agent-based model calibration methods
From MaRDI portal
Publication:2181534
DOI10.1016/j.jedc.2020.103859OpenAlexW3005564061MaRDI QIDQ2181534
Publication date: 19 May 2020
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1902.05938
Related Items (5)
Estimation of agent-based models using Bayesian deep learning approach of BayesFlow ⋮ Multi-agent-based VaR forecasting ⋮ Public health interventions in the face of pandemics: network structure, social distancing, and heterogeneity ⋮ Forecasting the propagation of pandemic shocks with a dynamic input-output model ⋮ Search for profits and business fluctuations: how does banks' behaviour explain cycles?
Uses Software
Cites Work
- Unnamed Item
- Structural stochastic volatility in asset pricing dynamics: estimation and model contest
- Constrained global optimization of expensive black box functions using radial basis functions
- On adaptive Metropolis-Hastings methods
- Handbook of computational economics. Vol. 2: Agent-based computational economics
- A global optimization heuristic for estimating agent based models
- Empirical validation of stochastic models of interacting agents
- Estimation of agent-based models: The case of an asymmetric herding model
- Heterogeneous beliefs and routes to chaos in a simple asset pricing model
- Estimation of ergodic agent-based models by simulated minimum distance
- Bayesian estimation of agent-based models
- A method for agent-based models validation
- Estimation of financial agent-based models with simulated maximum likelihood
- Direct comparison of agent-based models of herding in financial markets
- Agent-based model calibration using machine learning surrogates
- Estimation of agent-based models using sequential Monte Carlo methods
- A calibration procedure for analyzing stock price dynamics in an agent-based framework
- Validating and calibrating agent-based models: a case study
- A Method of Simulated Moments for Estimation of Discrete Response Models Without Numerical Integration
- The context-tree weighting method: basic properties
- Advances in Metaheuristic Algorithms for Optimal Design of Structures
This page was built for publication: A comparison of economic agent-based model calibration methods
