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Bayesian Analysis of the Prototypal Search Model

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  • Kiefer, Nicholas M
  • Steel, Mark F J

Abstract

Bayesian analysis for a simple but widely applied dynamic programming model is obtained. The setting is the prototypal job-search model. The general case of wage and duration data, with potential censoring, is studied. The optimality condition implied by the dynamic programming setup is fully imposed. The posterior distribution reveals a 'ridge' reflecting the characteristic nonstandard nature of the inference problem. Marginal distributions and moments are obtained in a canonical parameterization after a suitable approximation. The adequacy of the approximation is easily assessed. Simulation is applied to study alternative parameterizations and prior robustness and to facilitate prior elicitations. Finally, the authors illustrate the applicability of their methods by giving posterior distributions for the elasticities of unemployment durations and reemployment wages with respect to unemployment income. The authors' analysis is easy to implement and all computations are simple to perform.

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Bibliographic Info

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

Volume (Year): 16 (1998)
Issue (Month): 2 (April)
Pages: 178-86

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Handle: RePEc:bes:jnlbes:v:16:y:1998:i:2:p:178-86

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Cited by:
  1. Pedersen, Peder J. & Smith, Nina, 2001. "International Migration and Migration policy in Denmark," CLS Working Papers 01-5, University of Aarhus, Aarhus School of Business, Centre for Labour Market and Social Research.
  2. Westergaard-Nielsen, Niels, 2001. "Danish Labour Market Policy: Is it worth it?," CLS Working Papers 01-10, University of Aarhus, Aarhus School of Business, Centre for Labour Market and Social Research.
  3. Gary Koop, . "Bayesian inference in models based on equilibrium search theory," ESE Discussion Papers 12, Edinburgh School of Economics, University of Edinburgh.
  4. Ortega, Jaime, 2000. "Job Rotation as a Mechanism for Learning," CLS Working Papers 00-4, University of Aarhus, Aarhus School of Business, Centre for Labour Market and Social Research.
  5. 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.).

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