A Practical, Accurate, Information Criterion for Nth Order Markov Processes
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- Sylvain Barde, 2017. "A Practical, Accurate, Information Criterion for Nth Order Markov Processes," Computational Economics, Springer;Society for Computational Economics, vol. 50(2), pages 281-324, August.
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Cited by:
- Ernesto Carrella & Richard M. Bailey & Jens Koed Madsen, 2018. "Indirect inference through prediction," Papers 1807.01579, arXiv.org.
- Lamperti, F. & Dosi, G. & Napoletano, M. & Roventini, A. & Sapio, A., 2018.
"Faraway, So Close: Coupled Climate and Economic Dynamics in an Agent-based Integrated Assessment Model,"
Ecological Economics, Elsevier, vol. 150(C), pages 315-339.
- Francesco Lamperti & Giovanni Dosi & Mauro Napoletano & Andrea Roventini & Alessandro Sapio, 2017. "Faraway, so Close: Coupled Climate and Economic Dynamics in an Agent-Based Integrated Assessment Model," LEM Papers Series 2017/12, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Francesco Lamperti & Giovanni Dosi & Mauro Napoletano & Andrea Roventini & Alessandro Sapio, 2017. "Faraway, so close : coupled climate and economic dynamics in an agent-based integrated assessment model," Sciences Po publications info:hdl:2441/4hs7liq1f49, Sciences Po.
- Francesco Lamperti & Giovanni Dosi & Mauro Napoletano & Andrea Roventini & Alessandro Sapio, 2017. "Faraway, so close : coupled climate and economic dynamics in an agent based integrated assessment model," Documents de Travail de l'OFCE 2017-10, Observatoire Francais des Conjonctures Economiques (OFCE).
- Lamperti, Francesco & Roventini, Andrea & Sani, Amir, 2018.
"Agent-based model calibration using machine learning surrogates,"
Journal of Economic Dynamics and Control, Elsevier, vol. 90(C), pages 366-389.
- Francesco Lamperti & Andrea Roventini & Amir Sani, 2017. "Agent-Based Model Calibration using Machine Learning Surrogates," Sciences Po publications 2017-09, Sciences Po.
- Francesco Lamperti & Andrea Roventini & Amir Sani, 2017. "Agent-Based Model Calibration using Machine Learning Surrogates," Papers 1703.10639, arXiv.org, revised Apr 2017.
- Frencesco Lamperti & Andrea Roventini & Amir Sani, 2017. "Agent-based model calibration using machine learning surrogates," Documents de Travail de l'OFCE 2017-09, Observatoire Francais des Conjonctures Economiques (OFCE).
- Francesco Lamperti & Andrea Roventini & Amir Sani, 2017. "Agent-Based Model Calibration using Machine Learning Surrogates," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01499344, HAL.
- Francesco Lamperti & Andrea Roventini & Amir Sani, 2017. "Agent-Based Model Calibration using Machine Learning Surrogates," LEM Papers Series 2017/11, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Francesco Lamperti & Andrea Roventini & Amir Sani, 2017. "Agent-Based Model Calibration using Machine Learning Surrogates," Working Papers hal-01499344, HAL.
- Grazzini, Jakob & Richiardi, Matteo G. & Tsionas, Mike, 2017.
"Bayesian estimation of agent-based models,"
Journal of Economic Dynamics and Control, Elsevier, vol. 77(C), pages 26-47.
- Jakob Grazzini & Matteo Richiardi & Mike Tsionas, 2015. "Bayesian Estimation of Agent-Based Models," Economics Papers 2015-W12, Economics Group, Nuffield College, University of Oxford.
- Jakob Grazzini & Matteo G. Richiardi & Mike Tsionas, 2015. "Bayesian Estimation of Agent-Based Models," LABORatorio R. Revelli Working Papers Series 145, LABORatorio R. Revelli, Centre for Employment Studies.
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- Giovanni Dosi & Andrea Roventini, 2019. "More is Different ... and Complex! The Case for Agent-Based Macroeconomics," LEM Papers Series 2019/01, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Balint, T. & Lamperti, F. & Mandel, A. & Napoletano, M. & Roventini, A. & Sapio, A., 2017.
"Complexity and the Economics of Climate Change: A Survey and a Look Forward,"
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- Tomas Balint & Francesco Lamperti & Antoine Mandel & Mauro Napoletano & Andrea Roventini & Alessandro Sapio, 2016. "Complexity and the Economics of Climate Change: a Survey and a Look Forward," LEM Papers Series 2016/29, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- T. BALINT & F. LAMPERTI & A. Mandel & A. Roventini Author-Workplace-Name : OFCE-Sciences Pp and SKEMA Businees School & A. Sapio Author-Workplace-Name : Parathenope Universtiy of Naples, 2016. "Complexity and the Economics of Climate Change : a survey and look forward," Documents de Travail de l'OFCE 2016-23, Observatoire Francais des Conjonctures Economiques (OFCE).
- Tomas Balint & Francesco Lamperti & Antoine Mandel & Mauro Napoletano & Andrea Roventini & Alessandro Sapio, 2016. "Complexity and the Economics of Climate Change: a Survey and a Look Forward," Documents de travail du Centre d'Economie de la Sorbonne 16058, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Tomas Balint & Francesco Lamperti & Antoine Mandel & Mauro Napoletano & Andrea Roventini & Alessandro Sapio, 2016. "Complexity and the Economics of Climate Change: a Survey and a Look Forward," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01390694, HAL.
- Tomas Balint & Francesco Lamperti & Mauro Napoletano & Antoine Mandel & Andrea Roventini & Alessandro Sapio, 2016. "Complexity and the Economics of Climate Change: a Survey and a Look Forward," Sciences Po publications 2016-23, Sciences Po.
- Tomas Balint & Francesco Lamperti & Antoine Mandel & Mauro Napoletano & Andrea Roventini & Alessandro Sapio, 2017. "Complexity and the Economics of Climate Change: A Survey and a Look Forward," Sciences Po publications info:hdl:2441/1nlv566svi8, Sciences Po.
- Tomas Balint & Francesco Lamperti & Antoine Mandel & Mauro Napoletano & Andrea Roventini & Alessandro Sapio, 2016. "Complexity and the Economics of Climate Change: a Survey and a Look Forward," Post-Print halshs-01390694, HAL.
- T. Balint & F. Lamperti & A. Mandel & M. Napoletano & A. Roventini & A. Sapio, 2017. "Complexity and the Economics of Climate Change: A Survey and a Look Forward," Post-Print halshs-01906003, HAL.
- Sander Hoog, 2019. "Surrogate Modelling in (and of) Agent-Based Models: A Prospectus," Computational Economics, Springer;Society for Computational Economics, vol. 53(3), pages 1245-1263, March.
- Herbert Dawid & Philipp Harting & Sander Hoog & Michael Neugart, 2019.
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Journal of Evolutionary Economics, Springer, vol. 29(1), pages 467-538, March.
- Dawid, Herbert & Harting, Philipp & Neugart, Michael & van der Hoog, Sander, 2019. "Macroeconomics with heterogeneous agent models: fostering transparency, reproducibility and replication," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 113126, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
- Platt, Donovan, 2020. "A comparison of economic agent-based model calibration methods," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
- Balint, T. & Lamperti, F. & Mandel, A. & Napoletano, M. & Roventini, A. & Sapio, A., 2017.
"Complexity and the Economics of Climate Change: A Survey and a Look Forward,"
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- T. BALINT & F. LAMPERTI & A. Mandel & A. Roventini Author-Workplace-Name : OFCE-Sciences Pp and SKEMA Businees School & A. Sapio Author-Workplace-Name : Parathenope Universtiy of Naples, 2016. "Complexity and the Economics of Climate Change : a survey and look forward," Documents de Travail de l'OFCE 2016-23, Observatoire Francais des Conjonctures Economiques (OFCE).
- T. Balint & F. Lamperti & A. Mandel & M. Napoletano & A. Roventini & A. Sapio, 2017. "Complexity and the Economics of Climate Change: A Survey and a Look Forward," Post-Print halshs-01906003, HAL.
- Tomas Balint & Francesco Lamperti & Antoine Mandel & Mauro Napoletano & Andrea Roventini & Alessandro Sapio, 2016. "Complexity and the Economics of Climate Change: a Survey and a Look Forward," Documents de travail du Centre d'Economie de la Sorbonne 16058, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Tomas Balint & Francesco Lamperti & Antoine Mandel & Mauro Napoletano & Andrea Roventini & Alessandro Sapio, 2016. "Complexity and the Economics of Climate Change: a Survey and a Look Forward," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01390694, HAL.
- Tomas Balint & Francesco Lamperti & Mauro Napoletano & Antoine Mandel & Andrea Roventini & Alessandro Sapio, 2016. "Complexity and the Economics of Climate Change: a Survey and a Look Forward," Sciences Po publications 2016-23, Sciences Po.
- Tomas Balint & Francesco Lamperti & Antoine Mandel & Mauro Napoletano & Andrea Roventini & Alessandro Sapio, 2017. "Complexity and the Economics of Climate Change: A Survey and a Look Forward," Sciences Po publications info:hdl:2441/1nlv566svi8, Sciences Po.
- Tomas Balint & Francesco Lamperti & Antoine Mandel & Mauro Napoletano & Andrea Roventini & Alessandro Sapio, 2016. "Complexity and the Economics of Climate Change: a Survey and a Look Forward," Post-Print halshs-01390694, HAL.
- Tomas Balint & Francesco Lamperti & Antoine Mandel & Mauro Napoletano & Andrea Roventini & Alessandro Sapio, 2016. "Complexity and the Economics of Climate Change: a Survey and a Look Forward," LEM Papers Series 2016/29, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Sylvain Barde & Sander Van Der Hoog, 2017.
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- Sylvain Barde & Sander van der Hoog, 2017. "An empirical validation protocol for large-scale agent-based models," Studies in Economics 1712, School of Economics, University of Kent.
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- Giorgio Fagiolo & Mattia Guerini & Francesco Lamperti & Alessio Moneta & Andrea Roventini, 2019. "Validation of Agent-Based Models in Economics and Finance," Post-Print halshs-02375423, HAL.
- Lamperti, Francesco, 2018. "An information theoretic criterion for empirical validation of simulation models," Econometrics and Statistics, Elsevier, vol. 5(C), pages 83-106.
- Lamperti, Francesco & Roventini, Andrea & Sani, Amir, 2018.
"Agent-based model calibration using machine learning surrogates,"
Journal of Economic Dynamics and Control,
Elsevier, vol. 90(C), pages 366-389.
- Francesco Lamperti & Andrea Roventini & Amir Sani, 2017. "Agent-Based Model Calibration using Machine Learning Surrogates," Working Papers hal-01499344, HAL.
- Francesco Lamperti & Andrea Roventini & Amir Sani, 2018. "Agent-based model calibration using machine learning surrogates," Sciences Po publications info:hdl:2441/13thfd12aa8, Sciences Po.
- Francesco Lamperti & Andrea Roventini & Amir Sani, 2017. "Agent-Based Model Calibration using Machine Learning Surrogates," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01499344, HAL.
- Francesco Lamperti & Andrea Roventini & Amir Sani, 2017. "Agent-Based Model Calibration using Machine Learning Surrogates," Sciences Po publications 2017-09, Sciences Po.
- Francesco Lamperti & Andrea Roventini & Amir Sani, 2017. "Agent-Based Model Calibration using Machine Learning Surrogates," Papers 1703.10639, arXiv.org, revised Apr 2017.
- Frencesco Lamperti & Andrea Roventini & Amir Sani, 2017. "Agent-based model calibration using machine learning surrogates," Documents de Travail de l'OFCE 2017-09, Observatoire Francais des Conjonctures Economiques (OFCE).
- Francesco Lamperti & Andrea Roventini & Amir Sani, 2017. "Agent-Based Model Calibration using Machine Learning Surrogates," LEM Papers Series 2017/11, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Guerini, Mattia & Moneta, Alessio, 2017.
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- Mattia Guerini & Alessio Moneta, 2016. "A Method for Agent-Based Models Validation," LEM Papers Series 2016/16, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
- Mattia Guerini & Alessio Moneta, 2016. "A Method for Agent-Based Models Validation," Working Papers Series 42, Institute for New Economic Thinking.
- Donovan Platt, 2019. "A Comparison of Economic Agent-Based Model Calibration Methods," Papers 1902.05938, arXiv.org.
- Platt, Donovan & Gebbie, Tim, 2018. "Can agent-based models probe market microstructure?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 1092-1106.
- Barde, Sylvain, 2020. "Macroeconomic simulation comparison with a multivariate extension of the Markov information criterion," Journal of Economic Dynamics and Control, Elsevier, vol. 111(C).
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- Nils Bertschinger & Iurii Mozzhorin, 0. "Bayesian estimation and likelihood-based comparison of agent-based volatility models," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 0, pages 1-38.
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More about this item
Keywords
AIC; Description length; Markov process; Market selection;JEL classification:
- B41 - Schools of Economic Thought and Methodology - - Economic Methodology - - - Economic Methodology
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2018-06-11 (Econometrics)
- NEP-ETS-2018-06-11 (Econometric Time Series)
- NEP-ORE-2018-06-11 (Operations Research)
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