Automated and Distributed Statistical Analysis of Economic Agent-Based Models
Andrea Vandin - Scuola Superiore Sant'Anna
The Institute of Economics will hold a meeting of its Seminar Series on Tuesday, November 3, 2020: Andrea Vandin from Scuola Superiore Sant'Anna will present the paper: Automated and Distributed Statistical Analysis of Economic Agent-Based Models.
This paper proposes a novel approach to the statistical analysis of simulation models and, especially, agent-based models (ABMs). Its main objective is to provide an open-source framework to inspect simulations and perform model-based counter-factual analysis that (i) is easy-to-use by the modeller, (ii) improves reproducibility of results, (iii) is as much fast as possible given the modeller's machine and (iv) automatically runs a variety of statistical tests that are often overlooked. In particular, the proposed approach allows distinguishing the transient dynamics of the model from its steady state behaviour (if any), to estimate properties of the model in both ``phases'' and to equip the results with statistical guarantees, allowing robust comparison of model behaviours' across computational experiments. The authors showcase the usefulness of the approach within a small scale prediction market model and a large scale macro financial ABM.
All interested participants are welcome to join online at the following link. External participants need to contact the organisers via email to grant access to the seminar.