2022/33  LEM Working Paper Series  
Calibration and Validation of Macroeconomic Simulation Models by Statistical Causal Search 

Mario Martinoli, Alessio Moneta and Gianluca Pallante 

Keywords  
Calibration; Validation; Simulation models; SVAR models; Causal inference;
Model confidence sets; Independent component analysis.


JEL Classifications  
C32, C52, E37


Abstract  
We propose a general protocol for calibration and validation of complex simulation
models by an approach based on discovery and comparison of causal structures. The
key idea is that configurations of parameters of a given theoretical model are selected
by minimizing a distance index between two structural models: one estimated from
the data generated by the theoretical model, another estimated from a set of observed
data. Validation is conceived as a measure of matching between the theoretical and
the empirical causal structure. Causal structures are identified combining structural
vector autoregressive and independent component analysis, so as to avoid a priori re
strictions. We use model confidence set as a tool to measure the uncertainty associated
to the alternative configurations of parameters and causal structures. We illustrate the
procedure by applying it to a largescale macroeconomic agentbased model, namely
the ''dystopian SchumpetermeetingKeynes'' model.
 
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