Parameter Estimation of Macroeconomic Agent-Based Models Using Evolutionary Computation

Takahiro Obata, Setsuya Kurahashi

2024

Abstract

This study reports the estimation of model parameters for a macroeconomic agent-based model (ABM) using evolutionary computation methods. In an ABM, the parameter settings of the model are important in terms of verifying the validity of its outputs, because the parameter settings are closely related to these outputs, and determining whether the set parameters are appropriate. Conventionally, model parameters are qualitatively set by researchers based on values confirmed from empirical studies in related fields. However, in recent years, attempts to quantitatively determine model parameters using metaheuristic methods and Bayesian estimation-based methods have become widespread. In this study, we attempted to estimate time-varying parameters using a real-coded genetic algorithm, a type of evolutionary computation method, based on an inverse simulation method, which has not been used in macroeconomic ABM parameter estimation. The analysis confirmed that parameter estimation works well when the economic conditions to be assimilated are simple, whereas it is difficult when economic conditions change in a short time, such as before and after economic shocks.

Paper Citation

in Harvard Style

Obata T. and Kurahashi S. (2024). Parameter Estimation of Macroeconomic Agent-Based Models Using Evolutionary Computation. In Proceedings of the 16th International Conference on Agents and Artificial Intelligence - Volume 1: ICAART; ISBN 978-989-758-680-4, SciTePress, pages 205-212. DOI: 10.5220/0012313300003636

in Bibtex Style

@conference{icaart24,
author={Takahiro Obata and Setsuya Kurahashi},
title={Parameter Estimation of Macroeconomic Agent-Based Models Using Evolutionary Computation},
booktitle={Proceedings of the 16th International Conference on Agents and Artificial Intelligence - Volume 1: ICAART},
year={2024},
pages={205-212},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0012313300003636},
isbn={978-989-758-680-4},
}

in EndNote Style

TY - CONF

JO - Proceedings of the 16th International Conference on Agents and Artificial Intelligence - Volume 1: ICAART
TI - Parameter Estimation of Macroeconomic Agent-Based Models Using Evolutionary Computation
SN - 978-989-758-680-4
AU - Obata T.
AU - Kurahashi S.
PY - 2024
SP - 205
EP - 212
DO - 10.5220/0012313300003636
PB - SciTePress