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Rising to the Challenge : Bayesian Estimation and Forecasting Techniques for Macroeconomic Agent-Based Models

Delli Gatti, Domenico - 2019

We propose two novel methods to "bring ABMs to the data". First, we put forward a new Bayesian procedure to estimate the numerical values of ABM parameters that takes into account the time structure of simulated and observed time series. Second, we propose a method to forecast aggregate time...

Persistent link: https://www.econbiz.de/10012860573

Multi-dimensional transitional dynamics: a simple numberical procedure

Trimborn, Timo; Koch, Karl-Josef; Steger, Thomas M. - 2006

We propose the relaxation algorithm as a simple and powerful method for simulating the transition process in growth models. This method has a number of important advantages: (1) It can easily deal with a wide range of dynamic systems including stiff differential equations and systems giving rise...

Persistent link: https://www.econbiz.de/10010263935

Modeling institutions, start-ups and productivity during transition

Brixiova, Zuzana; Égert, Balázs - 2010

The transition paths from plan to market have varied markedly across countries. Central and Eastern European and the Baltic countries, which opted for a fast and profound transformation of their institutions including business climates, rapidly narrowed the productivity gap with advanced...

Persistent link: https://www.econbiz.de/10010273819

Global Warming and a Potential Tipping Point in the Atlantic Thermohaline Circulation: The Role of Risk Aversion

Belaia, Mariia; Funke, Michael; Glanemann, Nicole - 2014

Common integrated assessment models produce the counterintuitive result that higher risk aversion does not lead to stronger near-term abatement. This paper re-examines this result with a DICE model that is fully coupled with a thermohaline circulation model. It also features Epstein-Zin utility...

Persistent link: https://www.econbiz.de/10010398676

Risk Matters: Breaking Certainty Equivalence

Parra-Alvarez, Juan Carlos; Polattimur, Hamza; Posch, Olaf - 2020

In this paper we use the property that certainty equivalence, as implied by a first-order approximation to the solution of stochastic discrete-time models, breaks in its equivalent continuous-time version. We study the extent to which a first-order approximated solution built by perturbation...

Persistent link: https://www.econbiz.de/10012214161

Taming the Curse of Dimensionality: Quantitative Economics with Deep Learning

Fernández-Villaverde, Jésus; Nuño, Galo; Perla, Jesse - 2024

We argue that deep learning provides a promising avenue for taming the curse of dimensionality in quantitative economics. We begin by exploring the unique challenges posed by solving dynamic equilibrium models, especially the feedback loop between individual agents' decisions and the aggregate...

Persistent link: https://www.econbiz.de/10015165947

Risk Matters : Breaking Certainty Equivalence

Parra-Alvarez, Juan Carlos - 2020

Persistent link: https://www.econbiz.de/10012834991

A stochastic multiple players multi-issues bargaining model for the Piave river basin

Sgobbi, Alessandra; Carraro, Carlo - 2007

The objective of this paper is to investigate the usefulness of non-cooperative bargaining theory for the analysis of … multilateral, multiple issues, non-cooperative bargaining model of water allocation in the Piave River Basin, in the North East of … problem and conduct comparative static analyses to assess sources of bargaining power. Finally, we explore the implications of …

Persistent link: https://www.econbiz.de/10010264274

Explaining the favorite-longshot bias: Is it risk-love or misperceptions?

Snowberg, Erik; Wolfers, Justin - 2010

The favorite-longshot bias describes the longstanding empirical regularity that betting odds provide biased estimates of the probability of a horse winning - longshots are overbet, while favorites are underbet. Neoclassical explanations of this phenomenon focus on rational gamblers who overbet...

Persistent link: https://www.econbiz.de/10010276786

The law and economics of enhancing cartel enforcement: Using information from non-cartel investigations to prosecute cartels

Ghosal, Vivek - 2011

I present the following proposal: information revealed during non-cartel investigations by competition law enforcement authorities, such as evaluation of M&As or investigation of monopolization (dominance) conduct, should be directly used to investigate and prosecute cartels. Currently, in...

Persistent link: https://www.econbiz.de/10010277361