Automated and distributed statistical analysis of economic agent-based models

Andrea Vandin, Daniele Giachini, Francesco Lamperti and Francesca Chiaromonte

Journal of Economic Dynamics and Control, 2022, vol. 143, issue C

Abstract: We propose a novel approach to the statistical analysis of stochastic simulation models and, especially, agent-based models (ABMs). Our main goal is to provide fully automated, model-independent and tool-supported techniques and algorithms to inspect simulations and perform counterfactual analysis. Our approach: (i) is easy-to-use by the modeller, (ii) improves reproducibility of results, (iii) optimizes running time given the modeller’s machine, (iv) automatically chooses the number of required simulations and simulation steps to reach user-specified statistical confidence, and (v) automates a variety of statistical tests. In particular, our techniques are designed to distinguish the transient dynamics of the model from its steady-state behaviour (if any), estimate properties in both “phases”, and provide indications on the (non-)ergodic nature of the simulated processes – which, in turn, allows one to gauge the reliability of a steady-state analysis. Estimates are equipped with statistical guarantees, allowing for robust comparisons across computational experiments. To demonstrate the effectiveness of our approach, we apply it to two models from the literature: a large-scale macro-financial ABM and a small scale prediction market model. Compared to prior analyses of these models, we obtain new insights and we are able to identify and fix some erroneous conclusions.

Keywords: ABM; Statistical model checking; Ergodicity analysis; Steady-state analysis; Transient analysis; Warmup estimation; Statistical tests and power; Prediction markets; Macro ABM (search for similar items in EconPapers)
JEL-codes: C15 C18 C63 D53 E30 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:143:y:2022:i:c:s0165188922001634

DOI: 10.1016/j.jedc.2022.104458

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