Sensitivity to Calibrated Parameters

Arbeitspapier

A common approach to estimation of dynamic 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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: CEBI Working Paper Series ; No. 14/20

Classification and Topics

• Classification: Wirtschaft ; Econometric and Statistical Methods and Methodology: General ; Model Evaluation, Validation, and Selection ; Mathematical Methods; Programming Models; Mathematical and Simulation Modeling: General
• Subject: sensitivity ; transparency ; structural estimation ; calibration ; savings motives

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Jørgensen, Thomas H.
• Event: Veröffentlichung
• (who): University of Copenhagen, Department of Economics, Center for Economic Behavior and Inequality (CEBI)
• (where): Copenhagen
• (when): 2021

Further information

• Handle: http://hdl.handle.net/10419/258928
• Last update: 10.03.2025, 11:43 AM CET