Mattia Guerini, Alessio Moneta, Mauro Napoletano and Andrea Roventini

Author Archive | Mattia Guerini, Alessio Moneta, Mauro Napoletano and Andrea Roventini

working_paper_2017_01_cover

The Janus-Faced Nature of Debt: Results from a Data-Driven Cointegrated SVAR Approach

In this paper, we investigate the causal effects of public and private debts on U.S. output dynamics. We estimate a battery of Cointegrated Structural Vector Autoregressive models, and we identify structural shocks by employing Independent Component Analysis, a data-driven technique which avoids ad-hoc identification choices. The econometric results suggest that the impact of debt on […]

Continue Reading
working_paper_2016_13_cover

A Method for Agent-Based Models Validation

This paper proposes a new method for empirically validate simulation models that gen- erate artificial time series data comparable with real-world data. The approach is based on comparing structures of vector autoregression models which are estimated from both artificial and real-world data by means of causal search algorithms. This relatively simple procedure is able to […]

Continue Reading