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Macroeconomic simulation comparison with a multivariate extension of the Markov information criterion

Barde, Sylvain (2020) Macroeconomic simulation comparison with a multivariate extension of the Markov information criterion. Journal of Economic Dynamics and Control, 111 . Article Number 103795. ISSN 0165-1889. (doi:10.1016/j.jedc.2019.103795) (Access to this publication is currently restricted. You may be able to access a copy if URLs are provided) (KAR id:78370)

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The paper aims to address the issue of comparing agent-based models (ABMs) with more traditional VAR and DSGE models by developing a multivariate extension of the Markov Information Criterion (MIC) of Barde (2017). The univariate MIC measures the informational distance between a simulation model and some empirical data by mapping the simulated data to a Markov transition matrix, and is proven to provide an unbiased measurement for all models reducible to a Markov process. As a result, the MIC can accurately measure distance using only simulated data, for a wide class of data generating processes. The paper first presents the multivariate extension of the MIC and its validation on VAR and DGSE models before carrying the first direct comparison between a macroeconomic ABM and a DGSE model, namely the benchmark ABM of Caiani et al. (2016) and Smets and Wouters (2007).

Item Type: Article
DOI/Identification number: 10.1016/j.jedc.2019.103795
Uncontrolled keywords: Model comparison, Agent-based models, Validation methods
Subjects: H Social Sciences > HB Economic Theory
Divisions: Divisions > Division of Human and Social Sciences > School of Economics
Depositing User: Sylvain Barde
Date Deposited: 07 Nov 2019 11:53 UTC
Last Modified: 03 Mar 2021 16:19 UTC
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