Sensitivity to Calibrated Parameters

Thomas H. J{\o}rgensen
Authors registered in the RePEc Author Service: Thomas Høgholm Jørgensen

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Abstract: A common approach to estimation of 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.

Date: 2020-04, Revised 2021-03
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Citations: View citations in EconPapers (4)

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http://arxiv.org/pdf/2004.12100 Latest version (application/pdf)

Related works:
Working Paper: Sensitivity to Calibrated Parameters (2021)
Working Paper: Sensitivity to Calibrated Parameters (2020)
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