It depends the accuracy you need.
The most accurate solution is to send it in a decent calibration lab. They have the expertise and the tool to do measurements in that order of magnitude accurately. It is most likely way cheaper then to do the calibration by yourself.
If you want to do it by yourself, the first question you should ask yourself is what do you define as calibration. Do you only want to measure it, or you also want to adjust it. What temperature and humidity will it be exposed to. How frequent the calibration should be done? How exact does your shunt need to be? How stable does your shunt need to be? How many shunt will you need to calibrate? And so on.
If you are considering a current sensor with a nominal 0.8% accuracy, I think you would be best served by a 6.5 digit multimeter with a precise 4 wire measurement. I would consider either the DMM6500 from Keithley or 34465A from Keysight. Both will be easy to keep their calibration and can be used for quite a lot in an electrical lab. Consider that any tools you will use will need to be on a calibration schedule to ensure accuracy over several years.
If you need more accuracy then this, your best option will be to use an 8.5 digit DMM. This scenario is WAY more expensive then your budget.
If you want to use any sensor, since they are cheaper, you might get good accuracy, but you'll have a hard time knowing for sure. You will also have difficulties getting them calibrated. So tracking their accuracy over time will be almost impossible.
