SENSITIVITY TO CALIBRATED PARAMETERS

• 成果类型: Article
• 署名作者: Jorgensen, Thomas H.
• 署名单位: University of Copenhagen
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/rest_a_01054
• 发表日期: 2023-03
• 页码: 474-481
• 关键词: life-cycle model; generalized-method; consumption; CHOICE; RISK

摘要

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.