Validating and Calibrating Agent-Based Models: A Case Study
In this paper we deal with the validation of an agent-based model and, in particular, with the technical validation process, that is to say all the set of test and methods used to analyze if the results of a simulation agree with reality. Today, thanks to some important studies, validation techniques are more and more complete and reliable: many distributional and goodness-of-fit tests have been developed, while several graphical tools have been studied to give the researcher a quick comprehension of actual and simulated data. In particular, the aim of this paper is to propose a good way to calibrate and validate a simple agent-based model of industrial dynamics we have developed. To achieve our goal we consider actual micro-level data of a sample of Italian manufacturing firms included in the Centrale dei Bilanci's database for the period 1983-2001, with no missing data and reliable values. The sample has been selected on the basis of appropriate requisites we discuss further in this paper. The validation results (both graphical and analytical) are quite promising. As calibration process, we use the method of indirect inference due to Gourieroux and Monfort(1996) to guarantee more accurate parameters, minimizing the differences between simulated and actual data. Even in this case the results we get are promising
(This abstract was borrowed from another version of this item.)
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 30 (2007)
Issue (Month): 3 (October)
|Contact details of provider:|| Web page: http://www.springer.com|
|Order Information:||Web: http://www.springer.com/economics/economic+theory/journal/10614/PS2|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Tesfatsion, Leigh & Judd, Kenneth L., 2006. "Handbook of Computational Economics, Vol. 2: Agent-Based Computational Economics," Staff General Research Papers Archive 10368, Iowa State University, Department of Economics.
- Domenico Delli Gatti & Corrado Di Guilmi & Edoardo Gaffeo & Gianfranco Giulioni & Mauro Gallegati & Antonio Palestrini, 2004.
"Business Cycle Fluctuations And Firms’ Size Distribution Dynamics,"
World Scientific Book Chapters,
in: Industry And Labor Dynamics The Agent-Based Computational Economics Approach, chapter 10, pages 199-221
World Scientific Publishing Co. Pte. Ltd..
- Domenico Delli Gatti & Corrado Di Guilmi & Edoardo Gaffeo & Gianfranco Giulioni & Mauro Gallegati & Antonio Palestrini, 2004. "Business Cycle Fluctuations And Firms' Size Distribution Dynamics," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 7(02), pages 223-240.
- Bruce C. Greenwald & Joseph E. Stiglitz, 1990.
"Macroeconomic Models with Equity and Credit Rationing,"
in: Asymmetric Information, Corporate Finance, and Investment, pages 15-42
National Bureau of Economic Research, Inc.
- Bruce C. Greenwald & Joseph E. Stiglitz & Andrew Weiss, 1989. "Macroeconomic models with equity and credit rationing," Proceedings, Federal Reserve Bank of San Francisco.
- Bruce C. Greenwald & Joseph E. Stiglitz, 1990. "Macroeconomic Models with Equity and Credit Rationing," NBER Working Papers 3533, National Bureau of Economic Research, Inc.
- Manfred GILLI, & Peter WINKER, 2001.
"Indirect Estimation of the Parameters of Agent Based Models of Financial Markets,"
FAME Research Paper Series
rp38, International Center for Financial Asset Management and Engineering.
- Peter Winker & Manfred Gilli, 2002. "Indirect Estimation of the Parameters of Agent Based Models of Financial Markets," Computing in Economics and Finance 2002 314, Society for Computational Economics.
- Winmker, P. & Gilli, M., 2001. "Indirect Estimation of the Parameters of Agent Based Models of Financial Markets," Papers 38, Manitoba - Department of Economics.
- Peter Winker and Manfred Gilli, 2001. "Indirect Estimation of the Parameters of Agent Based Models of Financial Markets," Computing in Economics and Finance 2001 59, Society for Computational Economics.
- Anders Klevmarken, N., 2002.
"Statistical inference in micro-simulation models: incorporating external information,"
Mathematics and Computers in Simulation (MATCOM),
Elsevier, vol. 59(1), pages 255-265.
- Klevmarken, N.A., 1998. "Statistical Inference in Micro Simulation Models: Incorporationg External Information," Papers 1998:20, Uppsala - Working Paper Series.
- Klevmarken, N. Anders, 1998. "Statistical Inference in Micro Simulation Models: Incorporating external information," Working Paper Series 1998:20, Uppsala University, Department of Economics.
- Domenico Delli Gatti, Mauro Gallegati, Gianfranco Giulioni, Antonio Palestrini, -DISCUSSANT: Thomas Brenner, 2000.
"Financial Fragility, Patterns Of Firms' Entry And Exit And Aggregate Dynamics,"
Computing in Economics and Finance 2000
282, Society for Computational Economics.
- Delli Gatti, Domenico & Gallegati, Mauro & Giulioni, Gianfranco & Palestrini, Antonio, 2003. "Financial fragility, patterns of firms' entry and exit and aggregate dynamics," Journal of Economic Behavior & Organization, Elsevier, vol. 51(1), pages 79-97, May.
- Ramsden, J.J. & Kiss-Haypál, Gy., 2000. "Company size distribution in different countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 277(1), pages 220-227.
- Gilli, M. & Winker, P., 2003. "A global optimization heuristic for estimating agent based models," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 299-312, March.
- Giulio Bottazzi & Angelo Secchi, 2005.
"Explaining the Distribution of Firms Growth Rates,"
LEM Papers Series
2005/16, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Fujiwara, Yoshi, 2004. "Zipf law in firms bankruptcy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 337(1), pages 219-230.
- Corrado Di Guilmi & Mauro Gallegati & Edoardo Gaffeo, 2003. "Power Law Scaling in the World Income Distribution," Economics Bulletin, AccessEcon, vol. 15(6), pages 1-7.
- Bruce C. Greenwald & Joseph E. Stiglitz, 1993.
"Financial Market Imperfections and Business Cycles,"
The Quarterly Journal of Economics,
Oxford University Press, vol. 108(1), pages 77-114.
- Bruce C. Greenwald & Joseph E. Stiglitz, 1988. "Financial Market Imperfections and Business Cycles," NBER Working Papers 2494, National Bureau of Economic Research, Inc.
- repec:ebl:ecbull:v:15:y:2003:i:6:p:1-7 is not listed on IDEAS
- Robert Axtell & Robert Axelrod & Joshua M. Epstein & Michael D. Cohen, 1995. "Aligning Simulation Models: A Case Study and Results," Working Papers 95-07-065, Santa Fe Institute.
- Paul Windrum & Giorgio Fagiolo & Alessio Moneta, 2007. "Empirical Validation of Agent-Based Models: Alternatives and Prospects," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 10(2), pages 8.
- R. Quandt, 1966. "Old and new methods of estimation and the pareto distribution," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 10(1), pages 55-82, December.
- Mauro Gallegati & Gianfranco Giulioni, 2003.
"Complex Dynamics and Financial Fragility in an Agent Based Model,"
Computing in Economics and Finance 2003
86, Society for Computational Economics.
- Mauro Gallegati & Gianfranco Giulioni & Nozomi Kichiji, 2003. "Complex Dynamics And Financial Fragility In An Agent-Based Model," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 6(03), pages 267-282.
- GALLEGATI Mauro & GIULIONI Gianfranco & KICHIJI Nozomi, . "Complex Dynamics and Financial Fragility in an Agent Based Model," EcoMod2003 330700059, EcoMod.
- Frank Hahn, 1985. "Money and Inflation," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262580624, March.
- Gatti, Domenico Delli & Guilmi, Corrado Di & Gaffeo, Edoardo & Giulioni, Gianfranco & Gallegati, Mauro & Palestrini, Antonio, 2005. "A new approach to business fluctuations: heterogeneous interacting agents, scaling laws and financial fragility," Journal of Economic Behavior & Organization, Elsevier, vol. 56(4), pages 489-512, April.
- Bianchi, Carlo & Cirillo, Pasquale & Gallegati, Mauro & Vagliasindi, Pietro A., 2008. "Validation in agent-based models: An investigation on the CATS model," Journal of Economic Behavior & Organization, Elsevier, vol. 67(3-4), pages 947-964, September.
- Robert Axelrod, 1997. "Advancing the Art of Simulation in the Social Sciences," Working Papers 97-05-048, Santa Fe Institute.
When requesting a correction, please mention this item's handle: RePEc:kap:compec:v:30:y:2007:i:3:p:245-264. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla)or (Rebekah McClure)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.