Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/189150
Authors: 
Gregory, Allan W.
Smith, Gregor W.
Year of Publication: 
1991
Series/Report no.: 
Queen's Economics Department Working Paper 826
Abstract: 
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
Document Type: 
Working Paper
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