Choosing What to Calibrate and What to Estimate in Structural Models
结构模型中哪些参数应校准、哪些应估计?AI 解读 ↓
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结构模型中哪些参数应校准、哪些应估计?AI 解读 ↓
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Structural models often fix (calibrate) some parameters and estimate the rest, but this calibration-estimation partition is usually chosen by convention. This paper treats that choice as an econometric partition-selection problem. For each admissible partition, we construct a scalar sensitivity statistic measuring the local response of a target object -- such as a policy effect, welfare measure, impulse response, or treatment effect -- to perturbations of the calibrated parameters. The selected partition minimizes this statistic and therefore minimizes worst-case local bias from calibration errors. We first illustrate the decision problem in two canonical examples. We then apply it to the New Keynesian model of Nakamura and Steinsson (2018), where the partition choice has large implications for credibility: some partitions remain reliable under sizeable miscalibrations, whereas others generate large bias from small calibration errors. The procedure requires only local derivatives, avoids repeated re-estimation, and applies to a broad class of structural models.