arXiv 25 Apr 2020 · Econometrics · publishedThe Review of Economics and Statistics (2021) · 4 citations (OpenAlex)
arXiv:2004.12100 · PDF · DOI · OpenAlex
A common approach to estimation of 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.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Sensitivity Analysis for Dynamic Discrete Choice Models | 0.811 | 4 | 2 |