Questions about using estimation and calibration at the same time

This question might not be related to Dynare.

I was listening to a macro presentation, and the presenter showed his calibration strategy.

Two parameters in a stochastic process were estimated (MLE) and the rest was parameterized to match some moments. Then there was a critic of mixing estimation and calibration (more specifically, the critic was about not simulating all the moments/using SMM).

Why should we not use estimation and calibration at the same time? Is it because it’s wrong or just not recommendable?

Many thanks

Are you referring to only stochastic process parameters, or all parameters if I may ask.

SMM is not calibration, but a form of estimation. The problem with what you are describing is that you are mixing two types of estimation strategies: full information and limited information. Thus, there is an inherent tension: