Sensitivity to Calibrated Parameters
Econometrics
2021-03-16 v2
Abstract
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.
Cite
@article{arxiv.2004.12100,
title = {Sensitivity to Calibrated Parameters},
author = {Thomas H. Jørgensen},
journal= {arXiv preprint arXiv:2004.12100},
year = {2021}
}