Sensitivity to Calibrated Parameters
CEBI Working Paper No. 14/20
35 Pages Posted: 26 May 2020 Last revised: 15 Mar 2021
Date Written: March 11, 2021
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.
Keywords: Sensitivity, Transparency, Structural Estimation, Calibration, Savings Motives
JEL Classification: C10, C52, C60
Suggested Citation: Suggested Citation