A Practical Approach to Testing Calibration Strategies

dc.contributor.authorYongquan, Cao
dc.contributor.authorGordon, Grey
dc.date.accessioned2025-02-20T15:57:58Z
dc.date.available2025-02-20T15:57:58Z
dc.date.issued2018-01-03
dc.description.abstractA calibration strategy tries to match target moments using a model’s parameters. We propose tests for determining whether this is possible. The tests use moments at random parameter draws to assess whether the target moments are similar to the computed ones (evidence of existence) or appear to be outliers (evidence of non-existence). Our experiments show the tests are effective at detecting both existence and non-existence in a non-linear model. Multiple calibration strategies can be quickly tested using just one set of simulated data. Applying our approach to indirect inference allows for the testing of many auxiliary model specifications simultaneously. Code is provided.
dc.identifier.citationYongquan, Cao, and Gordon, Grey. "A Practical Approach to Testing Calibration Strategies." Computational Economics, 2018-01-03, https://doi.org/10.1007/s10614-018-9793-x.
dc.identifier.otherBRITE 2459
dc.identifier.urihttps://hdl.handle.net/2022/30930
dc.language.isoen
dc.relation.isversionofhttps://doi.org/10.1007/s10614-018-9793-x
dc.relation.isversionofhttps://papers.ssrn.com/sol3/papers.cfm?abstract_id=2843814
dc.relation.journalComputational Economics
dc.rightsThis work may be protected by copyright unless otherwise stated.
dc.titleA Practical Approach to Testing Calibration Strategies

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