Questions tagged [calibration]

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Marginal value of calibration constraint for positive mathematical programming calibration

I'm building an agricultural sector model on GAMS. Calibration is via PMP. FOr the construction of the slope and intercept of the cost function I get the marginal values of the calibration constraint. ...
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Monthly vs quarterly calibration of models

I'm struggling with moving from a quarterly calibration of a baseline NK model to the corresponding monthly calibration, so that IRFs give the same results with the appropriate timing. What are the ...
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51 views

p-hacking vs. parameter calibration?

I'm currently tasked in my job to design a Prospect Theory (here CPT-)index as mentioned in Barberis, Mukherjee and Wang (2016): "Prospect Theory and Stock Returns: An Empirical Test", see ...
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Market price of interest rate risk under the CIR model

My goal is to find the market price of risk associated with the interest rate under the CIR model whose stochastic differential equation under the physical measure is given: \begin{eqnarray}\label{...
1 vote
1 answer
42 views

Calibration of parameters in a general microeconomic model

I have a very general question about the application of the very beginning of every microeconomics textbook. When solving a profit maximization problem, we take some general parameters that might be ...
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3 votes
0 answers
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Get empirical steady state moments for calibrating a DSGE model

I want to calibrate some parameters of my DSGE model so that in the steady state some variable ratios, that are present in data, are met. My question is, how do I get such ratios from time series ...
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3 votes
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30 views

Calibration of labor market frictions parameters

I want to refer to the following paper A Three State Model of Worker Flows. My questions are regarding the calibration of parameters. First, I would appreciate any help when on p. 11 it says that $\...
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