Sensitivity to Calibrated Parameters

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A common approach to estimation of dynamic economic models is to calibrate a subset 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.
TidsskriftThe Review of Economics and Statistics
Udgave nummer2
Sider (fra-til)474–481
StatusUdgivet - mar. 2023

ID: 286421509