Sensitivity to Calibrated Parameters

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Sensitivity to Calibrated Parameters. / Jørgensen, Thomas Høgholm.

I: The Review of Economics and Statistics, Bind 105, Nr. 2, 03.2023, s. 474–481.

Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt

Harvard

Jørgensen, TH 2023, 'Sensitivity to Calibrated Parameters', The Review of Economics and Statistics, bind 105, nr. 2, s. 474–481. https://doi.org/10.2139/ssrn.3586307, https://doi.org/10.1162/rest_a_01054

APA

Jørgensen, T. H. (2023). Sensitivity to Calibrated Parameters. The Review of Economics and Statistics, 105(2), 474–481. https://doi.org/10.2139/ssrn.3586307, https://doi.org/10.1162/rest_a_01054

Vancouver

Jørgensen TH. Sensitivity to Calibrated Parameters. The Review of Economics and Statistics. 2023 mar.;105(2):474–481. https://doi.org/10.2139/ssrn.3586307, https://doi.org/10.1162/rest_a_01054

Author

Jørgensen, Thomas Høgholm. / Sensitivity to Calibrated Parameters. I: The Review of Economics and Statistics. 2023 ; Bind 105, Nr. 2. s. 474–481.

Bibtex

@article{0b79bba4bb054a168ccd5776913196f4,
title = "Sensitivity to Calibrated Parameters",
abstract = "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.",
author = "J{\o}rgensen, {Thomas H{\o}gholm}",
year = "2023",
month = mar,
doi = "10.2139/ssrn.3586307",
language = "English",
volume = "105",
pages = "474–481",
journal = "Review of Economics and Statistics",
issn = "0034-6535",
publisher = "MIT Press",
number = "2",

}

RIS

TY - JOUR

T1 - Sensitivity to Calibrated Parameters

AU - Jørgensen, Thomas Høgholm

PY - 2023/3

Y1 - 2023/3

N2 - 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.

AB - 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.

U2 - 10.2139/ssrn.3586307

DO - 10.2139/ssrn.3586307

M3 - Journal article

VL - 105

SP - 474

EP - 481

JO - Review of Economics and Statistics

JF - Review of Economics and Statistics

SN - 0034-6535

IS - 2

ER -

ID: 286421509