2017/23 | LEM Working Paper Series | ||||||||||||||||
Validation of Agent-Based Models in Economics and Finance |
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Giorgio Fagiolo, Mattia Guerini, Francesco Lamperti, Alessio Moneta and Andrea Roventini |
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Keywords | |||||||||||||||||
agent based models, validation, calibration, sensitivity analysis, parameter space exploration
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JEL Classifications | |||||||||||||||||
C15, C52, C63
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Abstract | |||||||||||||||||
Since the influential survey by Windrum et al. (2007), research on
empirical validation of agent-based models in economics has made
substantial advances, thanks to a constant flow of high-quality
contributions. This Chapter attempts to take stock of such recent
literature to offer an updated critical review of existing validation
techniques. We sketch a simple theoretical framework that
conceptualizes existing validation approaches, which we discuss along
three different dimensions: (i) comparison between artificial and
real-world data; (ii) calibration and estimation of model parameters;
and (iii) parameter space exploration.
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