Calibration and the estimation of macroeconomic models

Nikolay Iskrev

No 2018/34, Working Papers REM from ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa

Abstract: We 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.This type of 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 (search for similar items in EconPapers)
JEL-codes: C32 C51 C52 E32 (search for similar items in EconPapers)
Date: 2018-03
New Economics Papers: this item is included in nep-ecm and nep-mac
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Citations: View citations in EconPapers (1)

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Related works:
Working Paper: Calibration and the estimation of macroeconomic models (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:ise:remwps:wp0342018

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