Verlag:
Cemmap, Centre for Microdata Methuods and Practice, The Institute for Fiscal Studies, Department of Economics, UCL, [London]
A common approach to estimation of dynamic economic models is to calibrate a sub-set of model parameters and keep them fixed when estimating the remaining parameters. Calibrated parameters likely affect conclusions based on the model but estimation...
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ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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DS 243
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A common approach to estimation of dynamic economic models is to calibrate a sub-set of model parameters and keep them fixed when estimating the remaining parameters. Calibrated parameters likely affect conclusions based on the model but estimation time often makes a systematic investigation of the sensitivity to calibrated parameters infeasible. I propose a simple and computationally low-cost measure of the sensitivity of parameters and other objects of interest to the calibrated parameters. In the main empirical application, I revisit the analysis of life-cycle savings motives in Gourinchas and Parker (2002) and show that some estimates are sensitive to calibrations.
