Calibration and the estimation of macroeconomic models

Detalhes bibliográficos
Autor(a) principal: Iskrev, Nikolay
Data de Publicação: 2018
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10400.5/16015
Resumo: We propose two measures of the impact of calibration on the estimation of macroeconomic models. The first quantifies the amount of information introduced with respect to each estimated parameter as a result of fixing the value of one or more calibrated parameters. The second is a measure of the sensitivity of parameter estimates to perturbations in the calibration values. The purpose of the measures is to show researchers how much and in what way calibration affects their estimation results – by shifting the location and reducing the spread of the marginal posterior distributions of the estimated parameters. This type of analysis is often appropriate since macroeconomists do not always agree on whether and how to calibrate structural parameters in macroeconomic models. The methodology is illustrated using the models estimated in Smets and Wouters (2007) and Schmitt-Groh´e and Uribe (2012).
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spelling Calibration and the estimation of macroeconomic modelsDSGEmodelsinformationcontentcalibrationWe propose two measures of the impact of calibration on the estimation of macroeconomic models. The first quantifies the amount of information introduced with respect to each estimated parameter as a result of fixing the value of one or more calibrated parameters. The second is a measure of the sensitivity of parameter estimates to perturbations in the calibration values. The purpose of the measures is to show researchers how much and in what way calibration affects their estimation results – by shifting the location and reducing the spread of the marginal posterior distributions of the estimated parameters. This type of analysis is often appropriate since macroeconomists do not always agree on whether and how to calibrate structural parameters in macroeconomic models. The methodology is illustrated using the models estimated in Smets and Wouters (2007) and Schmitt-Groh´e and Uribe (2012).ISEG - REM - Research in Economics and MathematicsRepositório da Universidade de LisboaIskrev, Nikolay2018-10-01T09:50:48Z2018-032018-03-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/16015engIskrev, Nikolay (2018). "Calibration and the estimation of macroeconomic models". Instituto Superior de Economia e Gestão – REM Working paper nº 034 - 20182184-108Xinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:45:53Zoai:www.repository.utl.pt:10400.5/16015Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:01:31.547107Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Calibration and the estimation of macroeconomic models
title Calibration and the estimation of macroeconomic models
spellingShingle Calibration and the estimation of macroeconomic models
Iskrev, Nikolay
DSGEmodels
informationcontent
calibration
title_short Calibration and the estimation of macroeconomic models
title_full Calibration and the estimation of macroeconomic models
title_fullStr Calibration and the estimation of macroeconomic models
title_full_unstemmed Calibration and the estimation of macroeconomic models
title_sort Calibration and the estimation of macroeconomic models
author Iskrev, Nikolay
author_facet Iskrev, Nikolay
author_role author
dc.contributor.none.fl_str_mv Repositório da Universidade de Lisboa
dc.contributor.author.fl_str_mv Iskrev, Nikolay
dc.subject.por.fl_str_mv DSGEmodels
informationcontent
calibration
topic DSGEmodels
informationcontent
calibration
description We propose two measures of the impact of calibration on the estimation of macroeconomic models. The first quantifies the amount of information introduced with respect to each estimated parameter as a result of fixing the value of one or more calibrated parameters. The second is a measure of the sensitivity of parameter estimates to perturbations in the calibration values. The purpose of the measures is to show researchers how much and in what way calibration affects their estimation results – by shifting the location and reducing the spread of the marginal posterior distributions of the estimated parameters. This type of analysis is often appropriate since macroeconomists do not always agree on whether and how to calibrate structural parameters in macroeconomic models. The methodology is illustrated using the models estimated in Smets and Wouters (2007) and Schmitt-Groh´e and Uribe (2012).
publishDate 2018
dc.date.none.fl_str_mv 2018-10-01T09:50:48Z
2018-03
2018-03-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10400.5/16015
url http://hdl.handle.net/10400.5/16015
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Iskrev, Nikolay (2018). "Calibration and the estimation of macroeconomic models". Instituto Superior de Economia e Gestão – REM Working paper nº 034 - 2018
2184-108X
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv ISEG - REM - Research in Economics and Mathematics
publisher.none.fl_str_mv ISEG - REM - Research in Economics and Mathematics
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
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collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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