Calibration in Macroeconomics

Arbeitspapier

This chapter reviews calibration techniques in macroeconomics. The discussion designs with an outline of the use of calibration in applied work. Next, a simple asset-pricing model is the setting for a demonstration of calibration and for comparison with conventional estimation and testing. Experiments with calibrated models may be formalized as Monte Carlo testing. With the asset-pricing model, we use simulation methods to calculate the exact size of the variance-bounds-type test proposed by Hansen and Jagannathan (1991). Finally, we suggest that calibration is best viewed as an informal guide to model reformulation

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Queen's Economics Department Working Paper ; No. 826

Classification and Topics

• Classification: Wirtschaft

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Gregory, Allan W. ; Smith, Gregor W.
• Event: Veröffentlichung
• (who): Queen's University, Department of Economics
• (where): Kingston (Ontario)
• (when): 1991

Further information

• Handle: http://hdl.handle.net/10419/189150
• Last update: 10.03.2025, 11:45 AM CET