Matthew D. Cocci, Mikkel Plagborg-Møller
arXiv 16 Sep 2021 · Econometrics · publishedThe Review of Economic Studies (2024) · 6 citations (OpenAlex)
arXiv:2109.08109 · PDF · DOI · OpenAlex · Extracted main text
Calibration, the practice of choosing the parameters of a structural model to match certain empirical moments, can be viewed as minimum distance estimation. Existing standard error formulas for such estimators require a consistent estimate of the correlation structure of the empirical moments, which is often unavailable in practice. Instead, the variances of the individual empirical moments are usually readily estimable. Using only these variances, we derive conservative standard errors and confidence intervals for the structural parameters that are valid even under the worst-case correlation structure. In the over-identified case, we show that the moment weighting scheme that minimizes the worst-case estimator variance amounts to a moment selection problem with a simple solution. Finally, we develop tests of over-identifying or parameter restrictions. We apply our methods empirically to a model of menu cost pricing for multi-product firms and to a heterogeneous agent New Keynesian model.
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| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Auclert, A., Bardóczy, B., Rognlie, M., & Straub, L (2021) Using the Sequence-Space Jacobian to Solve and Estimate Heterogeneous-Agent Models | 0.874 | 13 | 2 | 100% |
| 2 | Kydland, F. E. & Prescott, E. C (1996) The Computational Experiment: An Econometric Tool | 0.874 | 5 | 2 | 100% |
| 3 | Alvarez, F. & Lippi, F (2014) Price Setting With Menu Cost for Multiproduct Firms | 0.860 | 11 | 3 | 64% |
| 4 | Newey, W. K. & McFadden, D. L (1994) Large Sample Estimation and Hypothesis Testing | 0.822 | 9 | 3 | 56% |
| 5 | Székely, G. J. & Bakirov, N. K (2003) Extremal probabilities for Gaussian quadratic forms | 0.737 | 3 | 3 | 67% |
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| 7 | Chang, M., Chen, X., & Schorfheide, F (2023) Heterogeneity and Aggregate Fluctuations | 0.693 | 9 | 1 | 100% |
| 8 | Miranda-Agrippino, S. & Ricco, G (2021) The Transmission of Monetary Policy Shocks | 0.693 | 5 | 1 | 100% |
| 9 | Hahn, J., Kuersteiner, G., & Mazzocco, M (2020) Estimation with Aggregate Shocks | 0.644 | 2 | 2 | 100% |
| 10 | Imbens, G. W. & Lancaster, T (1994) Combining Micro and Macro Data in Microeconometric Models | 0.644 | 2 | 2 | 100% |
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