Jakob Grazzini

Bio: Jakob Grazzini is an academic researcher from Catholic University of the Sacred Heart. The author has contributed to research in topics: Estimator & Stylized fact. The author has an hindex of 10, co-authored 31 publications receiving 562 citations. Previous affiliations of Jakob Grazzini include University of Pavia & The Catholic University of America.

Analysis of the Emergent Properties: Stationarity and Ergodicity

Abstract: This paper illustrates the use of the nonparametric Wald-Wolfowitz test to detect stationarity and ergodicity in agent-based models. A nonparametric test is needed due to the practical impossibility to understand how the random component influences the emergent properties of the model in many agent-based models. Nonparametric tests on real data often lack power and this problem is addressed by applying the Wald-Wolfowitz test to the simulated data. The performance of the tests is evaluated using Monte Carlo simulations of a stochastic process with known properties. It is shown that with appropriate settings the tests can detect non-stationarity and non-ergodicity. Knowing whether a model is ergodic and stationary is essential in order to understand its behavior and the real system it is intended to represent; quantitative analysis of the artificial data helps to acquire such knowledge.

An empirical analysis of the global input-output network and its evolution

Abstract: Data, without a model, are just numbers. The analysis of networks in economics should take into account how economic agents react to exogenous shocks. In order to determine the centrality of a node in the global input-output network, we analyze the network through the lenses of an economic model calibrated on empirical data. We show that formalizing the nodes as firms, and modeling the links as the result of firms' behavior (trade), is impor- tant for the economic interpretation of the network topology. Moreover, using the calibrated model, we define a fragility index that measures the ability of the system to absorb exogenous shocks. We find that the fragility of the production network has increased from 1995 to 2011.

Estimation and Inference in Econometrics

Abstract: Offering a unifying theoretical perspective not readily available in any other text, this innovative guide to econometrics uses simple geometrical arguments to develop students' intuitive understanding of basic and advanced topics, emphasizing throughout the practical applications of modern theory and nonlinear techniques of estimation. One theme of the text is the use of artificial regressions for estimation, reference, and specification testing of nonlinear models, including diagnostic tests for parameter constancy, serial correlation, heteroscedasticity, and other types of mis-specification. Explaining how estimates can be obtained and tests can be carried out, the authors go beyond a mere algebraic description to one that can be easily translated into the commands of a standard econometric software package. Covering an unprecedented range of problems with a consistent emphasis on those that arise in applied work, this accessible and coherent guide to the most vital topics in econometrics today is indispensable for advanced students of econometrics and students of statistics interested in regression and related topics. It will also suit practising econometricians who want to update their skills. Flexibly designed to accommodate a variety of course levels, it offers both complete coverage of the basic material and separate chapters on areas of specialized interest.

A Theory of Demand Shocks

Abstract: This paper presents a model of business cycles driven by shocks to consumer expectations regarding aggregate productivity. Agents are hit by heterogeneous productivity shocks, they observe their own productivity and a noisy public signal regarding aggregate productivity. The public signal gives rise to ''noise shocks, " which have the features of aggregate demand shocks: they increase output, employment, and inflation in the short run and have no effects in the long run. Numerical examples suggest that the model can generate sizable equilibrium (DSGE) models of the business cycle include a large number of shocks (to technol ogy, monetary policy, preferences, etc.), but typically do not include expectational shocks as independent drivers of short-run fluctuations.1 This paper explores the idea of expectation-driven cycles, looking at a model where technology determines equilibrium output in the long run and consumers receive noisy signals about technology in the short run. The presence of noisy signals produces expectational errors. This paper studies the role of these expectational errors in gener ating volatility at business cycle frequencies. The model is based on two ingredients. First, consumers take time to recognize permanent changes in aggregate fundamentals. Although they may have good information on the current state of the individual firm or sector where they operate, they have only limited information regarding the long-run determinants of aggregate activity. Second, consumers have access to public information that is relevant to estimate long-run productivity. This includes news about technological innovations, publicly released macroeconomic and sectoral statistics, financial market prices, and public statements by policy makers. However, these signals provide only a noisy forecast of the long-run effects of technological innovations. This opens the door to "noise shocks," which induce consumers to temporarily overestimate or underestimate the productive capacity of the economy.

The Evolution of the World Trade Web. A Weighted-Network Analysis. 49.ma Riunione Scientifica Annuale. Società Italiana degli Economisti

Abstract: This paper employs a weighted network approach to study the empirical properties of the web of trade relationships among world countries, and its evolution over time. We show that most countries are characterized by weak trade links; yet, there exists a group of countries featuring a large number of strong relationships, thus hinting to a core-periphery structure. Also, better-connected countries tend to trade with poorly-connected ones, but are also involved in highly-interconnected trade clusters. Furthermore, rich countries display more intense trade links and are more clustered. Finally, all network properties are remarkably stable across the years and do not depend on the weighting procedure.

Validation of agent-based models in economics and finance

Abstract: Since the survey by Windrum et al. (Journal of Artificial Societies and Social Simulation 10:8, 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 the existing validation techniques. We sketch a simple theoretical framework that conceptualizes existing validation approaches, which we examine along three different dimensions: (i) comparison between artificial and real-world data; (ii) calibration and estimation of model parameters; and (iii) parameter space exploration. Finally, we discuss open issues in the field of ABM validation and estimation. In particular, we argue that more research efforts should be devoted toward advancing hypothesis testing in ABM, with specific emphasis on model stationarity and ergodicity.