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Exact Structural Inference in Optimal Job-Search Models

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  • Lancaster, Tony
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    Abstract

    This paper is a study of the exact posterior distributions of parameters in a stationary optimal job search model. The author exploits the simple latent structure of the search model when all job offers are observed to stimulate posterior distributions of structural parameters when the latent structure is imperfectly observed. These simulations enable him to show the unusual shape of the job search likelihood when the data are durations and accepted wages. The author also develops an algorithm to resample simulated posterior distributions in order to impose on the model the implications of fully optimal search. The methods are illustrated using simulated data.

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    Bibliographic Info

    Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

    Volume (Year): 15 (1997)
    Issue (Month): 2 (April)
    Pages: 165-79

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    Handle: RePEc:bes:jnlbes:v:15:y:1997:i:2:p:165-79

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    Cited by:
    1. M. Daniele Paserman, 2004. "Job Search and Hyperbolic Discounting: Structural Estimation and Policy Evaluation," 2004 Meeting Papers 99, Society for Economic Dynamics.
    2. Susumu Imai & Neelam Jain & Andrew Ching, 2009. "Bayesian Estimation of Dynamic Discrete Choice Models," Econometrica, Econometric Society, vol. 77(6), pages 1865-1899, November.
    3. John W. Schindler, 2001. "Testing optimality in job search models," International Finance Discussion Papers 710, Board of Governors of the Federal Reserve System (U.S.).
    4. Victor Aguirregabiria & Pedro mira, 2007. "Dynamic Discrete Choice Structural Models: A Survey," Working Papers tecipa-297, University of Toronto, Department of Economics.
    5. Geweke, John & Houser, Dan & Keane, Michael, 1999. "Simulation Based Inference for Dynamic Multinomial Choice Models," MPRA Paper 54279, University Library of Munich, Germany.
    6. Jiawei Chen, 2006. "Two-Sided Matching and Spread Determinants in the Loan Market," Working Papers 060702, University of California-Irvine, Department of Economics.
    7. Mark M. Pitt & Daniel L. Millimet, 1999. "Estimation of Coherent Demand Systems with Many Binding Non-Negativity Constraints," Working Papers 99-4, Brown University, Department of Economics.

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