Across many ﬁelds in economics, 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.
4 May 2020
Working Paper (CWP16/20)