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An Information Theoretic Criterion for Empirical Validation of Time Series Models

Citations

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Cited by:

  1. Sylvain Barde, 2015. "A Practical, Universal, Information Criterion over Nth Order Markov Processes," Studies in Economics 1504, School of Economics, University of Kent.
  2. 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.
  3. 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.
  4. Francesco Lamperti & Giovanni Dosi & Mauro Napoletano & Andrea Roventini & Alessandro Sapio, 2018. "And then he wasn't a she : Climate change and green transitions in an agent-based integrated assessment model," Working Papers hal-03443464, HAL.
  5. Barde, Sylvain, 2016. "Direct comparison of agent-based models of herding in financial markets," Journal of Economic Dynamics and Control, Elsevier, vol. 73(C), pages 329-353.
  6. repec:spo:wpmain:info:hdl:2441/dcditnq6282sbu1u151qe5p7f is not listed on IDEAS
  7. Giorgio Fagiolo & Andrea Roventini, 2017. "Macroeconomic Policy in DSGE and Agent-Based Models Redux: New Developments and Challenges Ahead," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 20(1), pages 1-1.
  8. repec:spo:wpmain:info:hdl:2441/46k9rkvut99i7qnn4vqm25t53b is not listed on IDEAS
  9. repec:hal:spmain:info:hdl:2441/7kr9gv74ut9ngo58gia97t83i7 is not listed on IDEAS
  10. 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.
  11. 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.
  12. repec:spo:wpmain:info:hdl:2441/5fafm6me7k8omq5jbo61urqq27 is not listed on IDEAS
  13. repec:hal:spmain:info:hdl:2441/5fafm6me7k8omq5jbo61urqq27 is not listed on IDEAS
  14. Giorgio Fagiolo & Mattia Guerini & Francesco Lamperti & Alessio Moneta & Andrea Roventini, 2017. "Validation of Agent-Based Models in Economics and Finance," LEM Papers Series 2017/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  15. repec:hal:spmain:info:hdl:2441/46k9rkvut99i7qnn4vqm25t53b is not listed on IDEAS
  16. Sylvain Barde, 2015. "Direct calibration and comparison of agent-based herding models of financial markets," Studies in Economics 1507, School of Economics, University of Kent.
  17. Donovan Platt & Tim Gebbie, 2016. "The Problem of Calibrating an Agent-Based Model of High-Frequency Trading," Papers 1606.01495, arXiv.org, revised Mar 2017.
  18. Dosi, Giovanni & Roventini, Andrea & Russo, Emanuele, 2019. "Endogenous growth and global divergence in a multi-country agent-based model," Journal of Economic Dynamics and Control, Elsevier, vol. 101(C), pages 101-129.
  19. G. Rigatos, 2021. "Statistical Validation of Multi-Agent Financial Models Using the H-Infinity Kalman Filter," Computational Economics, Springer;Society for Computational Economics, vol. 58(3), pages 777-798, October.
  20. repec:spo:wpmain:info:hdl:2441/7kr9gv74ut9ngo58gia97t83i7 is not listed on IDEAS
  21. Guerini, Mattia & Moneta, Alessio, 2017. "A method for agent-based models validation," Journal of Economic Dynamics and Control, Elsevier, vol. 82(C), pages 125-141.
  22. Francesco Lamperti, 2016. "Empirical Validation of Simulated Models through the GSL-div: an Illustrative Application," LEM Papers Series 2016/18, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  23. repec:hal:spmain:info:hdl:2441/dcditnq6282sbu1u151qe5p7f is not listed on IDEAS
  24. 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.
  25. Mauro Napoletano & Eric Guerci & Nobuyuki Hanaki, 2018. "Recent advances in financial networks and agent-based model validation," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(1), pages 1-7, April.
  26. repec:spo:wpmain:info:hdl:2441/20hflp7eqn97boh50no50tv67n is not listed on IDEAS
  27. Giorgio Fagiolo & Andrea Roventini, 2016. "Macroeconomic Policy in DGSE and Agent-Based Models Redux," Working Papers hal-03459348, HAL.
  28. repec:hal:spmain:info:hdl:2441/20hflp7eqn97boh50no50tv67n is not listed on IDEAS
  29. 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.
  30. Zhenxi Chen & Thomas Lux, 2018. "Estimation of Sentiment Effects in Financial Markets: A Simulated Method of Moments Approach," Computational Economics, Springer;Society for Computational Economics, vol. 52(3), pages 711-744, October.
  31. Gennaro Catapano & Francesco Franceschi & Valentina Michelangeli & Michele Loberto, 2021. "Macroprudential Policy Analysis via an Agent Based Model of the Real Estate Sector," Temi di discussione (Economic working papers) 1338, Bank of Italy, Economic Research and International Relations Area.
  32. Francesco Lamperti, 2018. "Empirical validation of simulated models through the GSL-div: an illustrative application," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 13(1), pages 143-171, April.
  33. Sander van der Hoog, 2017. "Deep Learning in (and of) Agent-Based Models: A Prospectus," Papers 1706.06302, arXiv.org.
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