EconPapers    
Economics at your fingertips  
 

What to expect when you're calibrating: Measuring the effect of calibration on the estimation of macroeconomic models

Nikolay Iskrev

Journal of Economic Dynamics and Control, 2019, vol. 99, issue C, 54-81

Abstract: I propose two measures of the impact of calibration on the estimation of macroeconomic models. The first quantifies the amount of information introduced with respect to each estimated parameter as a result of fixing the value of one or more calibrated parameters. The second is a measure of the sensitivity of parameter estimates to perturbations in the calibration values. The purpose of the measures is to show researchers how much and in what way calibration affects their estimation results – by shifting the location and reducing the spread of the marginal posterior distributions of the estimated parameters. Such analysis is often appropriate since macroeconomists do not always agree on whether and how to calibrate structural parameters in macroeconomic models. The methodology is illustrated using the models estimated in Smets and Wouters (2007) and Schmitt-Grohé and Uribe (2012).

Keywords: DSGE models; Information content; Calibration; Estimation; Identification (search for similar items in EconPapers)
JEL-codes: C32 C51 C52 E32 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165188918303907
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:dyncon:v:99:y:2019:i:c:p:54-81

DOI: 10.1016/j.jedc.2018.12.002

Access Statistics for this article

Journal of Economic Dynamics and Control is currently edited by J. Bullard, C. Chiarella, H. Dawid, C. H. Hommes, P. Klein and C. Otrok

More articles in Journal of Economic Dynamics and Control from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2025-03-19
Handle: RePEc:eee:dyncon:v:99:y:2019:i:c:p:54-81