英文标题：
《Bayesian Estimation of Economic Simulation Models using Neural Networks》
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作者：
Donovan Platt
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最新提交年份：
2019
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英文摘要：
Recent advances in computing power and the potential to make more realistic assumptions due to increased flexibility have led to the increased prevalence of simulation models in economics. While models of this class, and particularly agent-based models, are able to replicate a number of empirically-observed stylised facts not easily recovered by more traditional alternatives, such models remain notoriously difficult to estimate due to their lack of tractable likelihood functions. While the estimation literature continues to grow, existing attempts have approached the problem primarily from a frequentist perspective, with the Bayesian estimation literature remaining comparatively less developed. For this reason, we introduce a Bayesian estimation protocol that makes use of deep neural networks to construct an approximation to the likelihood, which we then benchmark against a prominent alternative from the existing literature. Overall, we find that our proposed methodology consistently results in more accurate estimates in a variety of settings, including the estimation of financial heterogeneous agent models and the identification of changes in dynamics occurring in models incorporating structural breaks.
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中文摘要：
计算能力的最新发展以及由于灵活性的提高而可能做出更现实的假设，导致了模拟模型在经济学中的普及。虽然这类模型，尤其是基于代理的模型，能够复制许多经验观察到的程式化事实，而这些事实不容易被更传统的替代方案恢复，但由于缺乏可处理的似然函数，此类模型仍然难以估计。虽然估计文献不断增长，但现有的尝试主要是从常客的角度来解决这个问题，而贝叶斯估计文献相对来说还不太发达。因此，我们引入了一种贝叶斯估计协议，该协议利用深度神经网络来构建似然近似值，然后我们将其与现有文献中的一个重要替代方案进行比较。总的来说，我们发现，我们提出的方法在各种情况下都能得到更准确的估计，包括对金融异构代理模型的估计，以及识别包含结构突变的模型中发生的动力学变化。
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分类信息：

一级分类：Economics 经济学
二级分类：General Economics 一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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一级分类：Quantitative Finance 数量金融学
二级分类：Economics 经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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