Sensitivity to Calibrated Parameters

• Tác giả: Thomas H Jørgensen
• Ngôn ngữ: eng
• Ký hiệu phân loại: 003.78 Distributed-parameter systems
• Thông tin xuất bản: 2020
• Bộ sưu tập: Metadata
• ID: 164300

Tóm tắt

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.