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Analysis of the Emergent Properties: Stationarity and Ergodicity
TLDR
This paper illustrates the use of the nonparametric Wald-Wolfowitz test to detect stationarity and ergodicity in agent-based models and shows that with appropriate settings the tests can detect non-stationarity and non-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.read more
Citations
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Macroeconomic Policy in DSGE and Agent-Based Models∗
Giorgio Fagiolo,Andrea Roventini +1 more
TL;DR: In this article, the authors present a critical discussion of the theoretical, empirical and political-economy pitfalls of the DSGE-based approach to policy analysis and suggest that a more fruitful research avenue to pursue is to explore alternative theoretical paradigms, which can escape the strong theoretical requirements of neoclassical models (e.g., equilibrium, rationality, representative agent, etc.).
Journal ArticleDOI
Formalizing the Role of Agent-Based Modeling in Causal Inference and Epidemiology
TL;DR: This work describes how agent-based models can be used to simulate counterfactual outcomes in the presence of complexity and shows that these models are of particular utility when the hypothesized causal mechanisms exhibit a high degree of interdependence between multiple causal effects.
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The complexities of agent-based modeling output analysis
Ju-Sung Lee,Tatiana Filatova,Arika Ligmann-Zielinska,Behrooz Hassani-Mahmooei,Forrest Stonedahl,Iris Lorscheid,Alexey Voinov,Gary Polhill,Zhanli Sun,Dawn C. Parker +9 more
TL;DR: Issues surrounding variance stability, sensitivity analysis, spatio-temporal analysis, visualization, and effective communication of all these to non-technical audiences, such as various stakeholders are examined.
Journal ArticleDOI
Agent based model calibration using machine learning surrogates
TL;DR: In this article, a surrogate meta-model is proposed for parameter space exploration and calibration of agent-based models (ABM) combining supervised machine learning and intelligent sampling to reduce computation time.
Journal ArticleDOI
Estimation of ergodic agent-based models by simulated minimum distance
TL;DR: In this article, the authors show how to consistently estimate ergodic models by simulated minimum distance techniques, both in a long-run equilibrium and during an adjustment phase, under a variety of conditions.
References
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Testing the Null Hypothesis of Stationarity Against the Alternative of a Unit Root: How Sure Are We That Economic Time Series Have a Unit Root?
TL;DR: In this paper, it was shown that most economic time series are not very informative about whether or not there is a unit root, and that standard unit root tests are not powerful against relevant alternatives.
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