Arbeitspapier
Bayesian estimation of agent-based models via adaptive particle Markov chain Monte Carlo
Over the last decade, agent-based models in economics have reached a state of maturity that brought the tasks of statistical inference and goodness-of-fit of such models on the agenda of the research community. While most available papers have pursued a frequentist approach adopting either likelihood-based algorithms or simulated moment estimators, here we explore Bayesian estimation using a Markov chain Monte Carlo approach (MCMC). One major problem in the design of MCMC estimators is finding a parametrization that leads to a reasonable acceptance probability for new draws from the proposal density. With agent-based models the appropriate choice of the proposal density and its parameters becomes even more complex since such models often require a numerical approximation of the likelihood. This brings in additional factors affecting the acceptance rate as it will also depend on the approximation error of the likelihood. In this paper, we take advantage of a number of recent innovations in MCMC: We combine Particle Filter Markov Chain Monte Carlo (PMCMC) as proposed by Andrieu et al. (2010) with adaptive choice of the proposal distribution and delayed rejection in order to identify an appropriate design of the MCMC estimator. We illustrate the methodology using two well-known behavioral asset pricing models.
- Language
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Englisch
- Bibliographic citation
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Series: Economics Working Paper ; No. 2020-01
- Classification
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Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Statistical Simulation Methods: General
Financial Econometrics
- Subject
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Agents-based models
Makov chain Monte Carlo
particle filter
- Event
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Geistige Schöpfung
- (who)
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Lux, Thomas
- Event
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Veröffentlichung
- (who)
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Kiel University, Department of Economics
- (where)
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Kiel
- (when)
-
2020
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Lux, Thomas
- Kiel University, Department of Economics
Time of origin
- 2020
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