Sensitivity to Calibrated Parameters

Thomas Jørgensen

No CWP16/20, CeMMAP working papers from Centre for Microdata Methods and Practice, Institute for Fiscal Studies

Abstract: Across many ?elds in economics, a common approach to estimation of economic models is to calibrate a sub-set of model parameters and keep them ?xed 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.

Date: 2020-05-04
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Related works:
Journal Article: Sensitivity to Calibrated Parameters (2023)
Working Paper: Sensitivity to Calibrated Parameters (2021)
Working Paper: Sensitivity to Calibrated Parameters (2021)
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