Standard errors for calibrated parameters

DOI10.1093/RESTUD/RDAE099MaRDI QIDQ6930532zbMATH OpenFDO

Authors Matthew D. Cocci, Mikkel Plagborg-Møller

Publication date 12 September 2025

Published in The Review of Economic Studies (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1093/RESTUD/RDAE099

zbMATH Keywords

calibrationdata combinationminimum distancemoment selectionsemidefinite programming

Mathematics Subject Classification ID

Semidefinite programming (90C22) Microeconomic theory (price theory and economic markets) (91B24) Macroeconomic theory (monetary models, models of taxation) (91B64) Heterogeneous agent models (91B69)

Cites work

• A method for solving and estimating heterogeneous agent macro models
• Central limit theory for combined cross section and time series with an application to aggregate productivity shocks
• Combining Micro and Macro Data in Microeconometric Models
• Extremal probabilities for Gaussian quadratic forms
• Extremum estimation and numerical derivatives
• Full‐information estimation of heterogeneous agent models using macro and micro data
• JOINT TIME-SERIES AND CROSS-SECTION LIMIT THEORY UNDER MIXINGALE ASSUMPTIONS
• Price setting with menu cost for multiproduct firms
• Regression Quantiles
• Using the Sequence‐Space Jacobian to Solve and Estimate Heterogeneous‐Agent Models

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