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Analysis of the Emergent Properties: Stationarity and Ergodicity

Jakob Grazzini
- 31 Mar 2012 - 
- Vol. 15, Iss: 2, pp 1-7
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.

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Macroeconomic Policy in DSGE and Agent-Based Models∗

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.).
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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

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Agent based model calibration using machine learning surrogates

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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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Journal ArticleDOI

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, a test of the null hypothesis that an observable series is stationary around a deterministic trend is proposed, where the series is expressed as the sum of deterministic trends, random walks, and stationary error.
Journal ArticleDOI

Time series regression with a unit root

Peter C.B. Phillips
- 01 Mar 1987 - 
TL;DR: In this paper, it is shown that simple least squares regression consistently estimates a unit root under very general conditions in spite of the presence of autocorrelated errors. But, the results of this paper are restricted to the unit root case.
Book ChapterDOI

An Experimental Study of Competitive Market Behavior

TL;DR: In this paper, a series of experimental games designed to study some of the hypotheses of neoclassical competitive market theory are presented. But they are intended as simulations of certain key features of the organized markets and of competitive markets generally, rather than as direct, exhaustive simulations of any particular organized exchange.
Posted Content

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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