A1785
Title: Calibration and validation of macroeconomic simulation models by statistical causal search
Authors: Mario Martinoli - Sant Anna School of Advanced Studies (Italy) [presenting]
Alessio Moneta - Scuola Superiore Sant'Anna (Italy)
Gianluca Pallante - Scuola Superiore Sant Anna (Italy)
Abstract: A general procedure for model calibration and validation is introduced. Configurations of parameters are selected on the basis of a loss function involving a distance between model-derived structural coefficients and their empirical counterparts. These, in both cases, are locally identified by exploiting non-Gaussianity in a structural vector autoregressive framework under a data-driven approach. Model confidence set is used to account for the uncertainty in the selection procedure. A measure of validation is provided by comparing (models and empirical) shocks-variables structure. The procedure is applied to a complex macroeconomic simulation model that studies the link between climate change and economic growth.
