Similar Search Results

Rational heuristics? : expectations and behaviors in evolving economies with heterogeneous interacting agents

Dosi, Giovanni; Napoletano, Mauro; Roventini, Andrea; … - 2017

We analyze the individual and macroeconomic impacts of heterogeneous expectations and action rules within an agent …, we find that neither individual nor macroeconomic dynamics improve when agents replace myopic expectations with less … naïve learning rules. In fact, more sophisticated, e.g. recursive least squares (RLS) expectations produce less accurate …

Persistent link: https://www.econbiz.de/10011763035

Weird ties? : Growth, cycles and firm dynamics in an agent-based model with financial-market imperfections

Napoletano, Mauro; Delli Gatti, Domenico; Fagiolo, Giorgio - 2005

This paper studies how the interplay between technological shocks and financial variables shapes the properties of macroeconomic dynamics. Most of the existing literature has based the analysis of aggregate macroeconomic regularities on the representative agent hypothesis (RAH). However, recent...

Persistent link: https://www.econbiz.de/10003209414

Macroeconomic regimes, technological shocks and employment dynamics

Ferraresi, Tommaso; Roventini, Andrea; Semmler, Willi - 2016

U.S. economy (recessions vs. expansions). More precisely, we estimate different threshold vector autoregression (TVAR …: after the mid eighties (1984-2011), productivity shocks increase hours during recessions. Finally, we express and test some …

Persistent link: https://www.econbiz.de/10011483831

Production networks, capital dynamics, and heterogeneous agents

Bottazzi, Giulio; Giachini, Daniele; Priori, Eleonora - 2025

We develop a general equilibrium production network model that spans two periods and incorporates heterogeneous households, firm-specific CobbDouglas production technologies, and a time-to-build mechanism for capital formation. Within this dynamic framework, we establish the existence and...

Persistent link: https://www.econbiz.de/10015408167

From ABM back to real data : time series visualization and model selection in the K+S agent-based model

Dosi, Giovanni; Pereira, Marcelo C.; Petrini, Gabriel; … - 2025

Agent-Based Models (ABMs) provide powerful tools for economic analysis, capturing microto-macro interactions and emergent properties. However, integration with empirical data has been a persistent challenge. To address it, we propose a protocol for integration between empirical data and ABM,...

Persistent link: https://www.econbiz.de/10015396020

Venture capital investments through the lens of network and functional data analysis

Esposito, Christian; Gortan, Marco; Testa, Lorenzo; … - 2022

In this paper we characterize the performance of venture capital- backed firms based on their ability to attract investment. The aim of the study is to identify relevant predictors of success built from the network structure of firms' and investors' relations. Focusing on deal-level data for the...

Persistent link: https://www.econbiz.de/10013161528

Identification of vector autoregressive models with nonlinear contemporaneous structure

Cordoni, Francesco; Doremus, Nicolas; Moneta, Alessio - 2024

We propose a statistical identification procedure for structural vector autoregressive (VAR) models that present a nonlinear dependence (at least) at the contemporaneous level. By applying and adapting results from the literature on causal discovery with continuous additive noise models to...

Persistent link: https://www.econbiz.de/10013548855

Calibration and validation of macroeconomic simulation models : a general protocol by causal search

Martinoli, Mario; Moneta, Alessio; Pallante, Gianluca - 2022

We propose a general protocol for calibration and validation of complex simulation models by an approach based on discovery and comparison of causal structures. The key idea is that configurations of parameters of a given theoretical model are selected by minimizing a distance index between two...

Persistent link: https://www.econbiz.de/10013441565

A robust criterion for determining the number of static factors in approximate factor models

Alessi, Lucia (contributor); Barigozzi, Matteo (contributor) - 2007

We propose a refinement of the criterion by Bai and Ng [2002] for determining the number of static factors in factor models with large datasets. It consists in multiplying the penalty function times a constant which tunes the penalizing power of the function itself as in the Hallin and Lika...

Persistent link: https://www.econbiz.de/10003744961

A multivariate perspective for modelling and forecasting inflation's conditional mean and variance

Barigozzi, Matteo (contributor); Capasso, Marco (contributor) - 2007

We test the importance of multivariate information for modelling and forecasting inflation's conditional mean and variance. In the literature, the existence of inflation's conditional heteroskedasticity has been debated for years, as it seemed to appear only in some datasets and for some lag...

Persistent link: https://www.econbiz.de/10003746036