Statistical Model Checking of the Keynes+Schumpeter Model: A Transient Sensitivity Analysis of a Macroeconomic ABM

2026-05-11

AI Summary

This study addresses the lack of systematic, reproducible quantitative analysis methods in existing agent-based macroeconomic models (ABMs), which often rely on ad hoc Monte Carlo simulations. For the first time, the statistical model checking (SMC) framework MultiVeStA is applied to the complex Keynes+Schumpeter macro ABM. Without modifying the simulator, the approach enables precision-controlled, cost-transparent, and reproducible transient sensitivity analysis through temporal logic queries and a confidence-driven adaptive termination mechanism. The results demonstrate that macro-financial and structural parameters exert significantly stronger transient effects on unemployment and GDP growth than heuristic rule parameters, thereby validating the effectiveness and practical utility of SMC for analyzing economic ABMs.

Abstract

Agent-based models (ABMs) are increasingly used in macroeconomics, but their analysis still often relies on ad hoc Monte Carlo campaigns with heterogeneous statistical effort across parameter settings. We show how statistical model checking (SMC), implemented through MultiVeStA, can provide a principled analysis layer for a realistic macroeconomic ABM without rewriting the simulator in a dedicated formalism. Our case study is the heuristic-switching Keynes+Schumpeter(K+S) model, analysed hrough a transient sensitivity campaign over one-parameter sweeps, two macro observables (unemployment and GDP growth), and one auxiliary micro-level probe (market share) on the post-warmup phase of a 600-step horizon. The analysis is driven by reusable temporal queries, observable-specific precision targets, and confidence-based stopping rules that automatically determine the simulation effort required by each configuration. Results show a clear contrast across parameter families: macro-financial and structural sweeps produce the strongest transient effects, whereas several heuristic-rule sweeps remain much weaker under the same precision policy. More broadly, the paper shows that SMC can support reproducible and informative quantitative analysis of substantively rich economic ABMs, while making uncertainty estimates and simulation cost explicit parts of the reported results.

Problem

• agent-based model
• statistical model checking
• macroeconomic simulation
• transient sensitivity analysis
• Keynes+Schumpeter model

Innovation

• Statistical Model Checking
• Agent-Based Modeling
• Transient Sensitivity Analysis
• MultiVeStA
• Macroeconomic Simulation