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.
Original language | English |
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Journal | The Review of Economics and Statistics |
Volume | 105 |
Issue number | 2 |
Pages (from-to) | 474–481 |
ISSN | 0034-6535 |
DOIs | |
Publication status | Published - Mar 2023 |
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ID: 286421509