The approach is based on comparing structures of vector autoregression models that are estimated from both artificial and real-world data by means of causal search algorithms. This relatively simple procedure is able to tackle both the problem of confronting theoretical simulation models with the data and the problem of comparing different models in terms of their empirical reliability. The paper also provides an application of the validation procedure to the Dosi et al. (2015) macro-model.
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- WP 42-Moneta (pdf, 748.65 KB)
- C32 Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes • State Space Models
- C5 Econometric Modeling
- C52 Model Evaluation, Validation, and Selection
- E3 Prices, Business Fluctuations, and Cycles
- E37 Forecasting and Simulation: Models and Applications