Sensitivity to Calibrated Parameters

Thomas Jørgensen

No 20-14, CEBI working paper series from University of Copenhagen. Department of Economics. The Center for Economic Behavior and Inequality (CEBI)

Abstract: A common approach to estimation of dynamic 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.

Keywords: sensitivity; transparency; structural estimation; calibration; savings motives (search for similar items in EconPapers)
JEL-codes: C10 C52 C60 (search for similar items in EconPapers)
Pages: 35
Date: 2021-03-13
New Economics Papers: this item is included in nep-ecm and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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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 (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:kud:kucebi:2014

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