EconPapers    
Economics at your fingertips  
 

Calibration as Estimation

Allan Gregory and Gregor Smith

No 275210, Queen's Institute for Economic Research Discussion Papers from Queen's University - Department of Economics

Abstract: One aspect of calibration in macroeconomics is the notion that the free parameters of models should be chosen by matching certain moments of the simulated models with those of actual data. We formally examine this notion by treating the process of calibration as an econometric estimator. A numerical version of the Mehra-Prescott (1985) economy is the setting for an evaluation of calibration estimators via Monte Carlo methods. While these estimators sometimes may have reasonable finite-sample properties they are not robust to mistakes in setting non-free parameters. In contrast, generalized method-of-moments (GMM) estimators have satisfactory finite-sample characteristics, quick convergence, and informational requirements less stringent than those of consistent calibration estimators. In dynamic equilibrium models in which GMM is infeasible we offer some suggestions for improving estimates based on calibration methodology.

Keywords: Demand and Price Analysis; Financial Economics (search for similar items in EconPapers)
Pages: 49
Date: 1987-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
https://ageconsearch.umn.edu/record/275210/files/QUEENS-IER-PAPER-700.pdf (application/pdf)

Related works:
Working Paper: Calibration as Estimation (1987)
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:ags:queddp:275210

DOI: 10.22004/ag.econ.275210

Access Statistics for this paper

More papers in Queen's Institute for Economic Research Discussion Papers from Queen's University - Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().

 
Page updated 2025-03-30
Handle: RePEc:ags:queddp:275210