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Bayesian inference in models based on equilibrium search theory

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  • Gary Koop

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Abstract

In this paper we begin by developing practical Bayesian methods for inference in a standard equilibrium search model. We then consider two models which are more flexible, but centered over the equilibrium search model using Bayesian priors. Such priors can be used to control the degree of confidence the researcher has in the assumption of optimal individual or firm behaviour. Subsequently, we extend the model to allow for non-linearity in production and unobserved heterogeneity. The former extension is of interest since a closed form expression for the wage distribution does not exist and, hence, empirical work involving this potentially important extension has not been done. However, we show how Bayesian simulation methods can be used for empirical analysis. The paper concludes with an empirical exercise involving the school-to-work transitions of Canadian and US school leavers.

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Bibliographic Info

Paper provided by Edinburgh School of Economics, University of Edinburgh in its series ESE Discussion Papers with number 12.

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Handle: RePEc:edn:esedps:12

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  1. Gerard J. van den Berg & Geert Ridder, 1998. "An Empirical Equilibrium Search Model of the Labor Market," Econometrica, Econometric Society, vol. 66(5), pages 1183-1222, September.
  2. Koning, Pierre & Ridder, Geert & van den Berg, Gerard J, 1995. "Structural and Frictional Unemployment in an Equilibrium Search Model with Heterogeneous Agents," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(S), pages S133-51, Suppl. De.
  3. Christensen, Bent Jesper & Kiefer, Nicholas M., 1997. "Inference in non-linear panel models with partially missing observations The case of the equilibrium search model," Journal of Econometrics, Elsevier, vol. 79(2), pages 201-219, August.
  4. Ferrall, Christopher, 1997. "Unemployment Insurance Eligibility and the School-to-Work Transition in Canada and the United States," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(2), pages 115-29, April.
  5. Lancaster, Tony, 1997. "Exact Structural Inference in Optimal Job-Search Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(2), pages 165-79, April.
  6. Kiefer, Nicholas M & Steel, Mark F J, 1998. "Bayesian Analysis of the Prototypal Search Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(2), pages 178-86, April.
  7. van den Berg, Gerard J, 1999. "Empirical Inference with Equilibrium Search Models of the Labour Market," Economic Journal, Royal Economic Society, vol. 109(456), pages F283-306, June.
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Cited by:
  1. 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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