Calibration in Macroeconomics
This chapter reviews calibration techniques in macroeconomics. The discussion designs with an outline of the use of calibration in applied work. Next, a simple asset-pricing model is the setting for a demonstration of calibration and for comparison with conventional estimation and testing. Experiments with calibrated models may be formalized as Monte Carlo testing. With the asset-pricing model, we use simulation methods to calculate the exact size of the variance-bounds-type test proposed by Hansen and Jagannathan (1991). Finally, we suggest that calibration is best viewed as an informal guide to model reformulation
Year of publication: |
1991-06
|
---|---|
Authors: | Gregory, Allan W. ; Smith, Gregor W. |
Institutions: | Economics Department, Queen's University |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Gregory, Allan W., (2001)
-
Business Cycle Theory and Econometrics
Gregory, Allan W., (1995)
-
Measuring Business Cycles with Business-Cycle Models
Gregory, Allan W., (1994)
- More ...