Finding Optimal Agent-Based Models

Center on Social and Economic Dynamics Working Paper No. 49

16 Pages Posted: 25 Oct 2007

See all articles by Ben Klemens

Ben Klemens

U.S. Department of the Treasury, Office of Tax Analysis (OTA)

Date Written: September 2007

Abstract

This paper applies standard maximum likelihood (ML) techniques to find an optimal agent-based model (ABM), where optimal could refer to replicating a pattern or matching observed data. Because ML techniques produce a covariance matrix for the parameter estimates, the method here provides a means of determining to which parameters and conditions the ABM is sensitive, and which have limited effect on the outcome. Because the search method and the space of models searched is explicitly specified, the derivation of the final ABM is transparent and replicable. Hypotheses regarding parameters can be tested using standard likelihood ratio methods.

Suggested Citation

Klemens, Ben, Finding Optimal Agent-Based Models (September 2007). Center on Social and Economic Dynamics Working Paper No. 49. Available at SSRN: https://ssrn.com/abstract=1024286 or http://dx.doi.org/10.2139/ssrn.1024286

Ben Klemens (Contact Author)

U.S. Department of the Treasury, Office of Tax Analysis (OTA) ( email )

1500 Pennsylvania Ave., N.W.
Washington, DC 22203
United States

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