Efficient Sampling and Meta-Modeling for Computational Economic Models

Isabelle Salle and Murat Yildizoglu

Computational Economics, 2014, vol. 44, issue 4, 507-536

Abstract: Extensive exploration of simulation models comes at a high computational cost, all the more when the model involves a lot of parameters. Economists usually rely on random explorations, such as Monte Carlo simulations, and basic econometric modeling to approximate the properties of computational models. This paper aims to provide guidelines for the use of a much more efficient method that combines a parsimonious sampling of the parameter space using a specific design of experiments (DoE), with a well-suited metamodeling method first developed in geostatistics: kriging. We illustrate these guidelines by following them in the analysis of two simple and well known economic models: Nelson and Winter’s industrial dynamics model, and Cournot oligopoly with learning firms. In each case, we show that our DoE experiments can catch the main effects of the parameters on the models’ dynamics with a much lower number of simulations than the Monte-Carlo sampling (e.g. 85 simulations instead of 2,000 in the first case). In the analysis of the second model, we also introduce supplementary numerical tools that may be combined with this method, for characterizing configurations complying with a specific criterion (social optimal, replication of stylized facts, etc.). Our appendix gives an example of the R-project code that can be used to apply this method on other models, in order to encourage other researchers to quickly test this approach on their models. Copyright Springer Science+Business Media New York 2014

Keywords: Computational economics; Exploration of agent-based models; Design of experiments; Meta-modeling (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (64)

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Related works:
Working Paper: Efficient Sampling and Metamodeling for Computational Economic Models (2014)
Working Paper: Efficient Sampling and Metamodeling for Computational Economic Models (2012)
Working Paper: Efficient sampling and metamodeling for computation economic models (2012)
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DOI: 10.1007/s10614-013-9406-7

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