The Empirical Validation of an Agent-based Model
In: Eastern economic journal: EEJ, Band 38, Heft 4, S. 525-547
ISSN: 1939-4632
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In: Eastern economic journal: EEJ, Band 38, Heft 4, S. 525-547
ISSN: 1939-4632
In: Insurance: Mathematics and Economics, Band 99, Heft 2021
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In: The Nobel Foundation, Causes of Peace, Forthcoming
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In: Physica A., Forthcoming
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In: International journal of forecasting, Band 38, Heft 2, S. 413-422
ISSN: 0169-2070
In: Journal of Economic Behavior & Organization, Band 67, Heft 3-4, S. 947-964
In this paper we deal with some validation experiments on the complex adaptive trivial system (CATS) model proposed in Gallegati et al. [Gallegati, M., Giulioni, G., Palestrini, A., Delli Gatti, D., 2003a. Financial fragility, patterns of firms' entry and exit and aggregate dynamics. Journal of Economic Behavior and Organization 51, 79–97; Gallegati, M., Delli Gatti, D., Di Guilmi, C., Gaffeo, E., Giulioni, G., Palestrini, A., 2005. A new approach to business fluctuations: heterogeneous interacting agents, scaling laws and financial fragility. Journal of Economic Behavior and Organization 56, 489–512]. In particular starting from a sample of Italian firms included in the AIDA database, we perform several ex post validation experiments over the simulation period 1996–2001. In the experiments, the model parameters have been estimated using actual data and the initial set up consists of a sample of agents in 1996. The CATS model is then simulated over the period 1996–2001. Using alternative validation techniques, the simulations' results are ex post validated respect to the actual data.
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In: New Economic Windows 1
In: International journal of forecasting, Band 38, Heft 3, S. 705-871
ISSN: 0169-2070