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Exact Structural Inference in Optimal Job-Search Models


  • Lancaster, Tony


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.

Suggested Citation

  • Lancaster, Tony, 1997. "Exact Structural Inference in Optimal Job-Search Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(2), pages 165-179, April.
  • Handle: RePEc:bes:jnlbes:v:15:y:1997:i:2:p:165-79

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    References listed on IDEAS

    1. Rust, John, 1987. "Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher," Econometrica, Econometric Society, vol. 55(5), pages 999-1033, September.
    2. Rothwell, Geoffrey, 1990. "Utilization and service : Decomposing nuclear reactor capacity factors," Resources and Energy, Elsevier, vol. 12(3), pages 215-229, September.
    3. Geoffrey Rothwell & John Rust, 1995. "A Dynamic Programming Model of U.S. Nuclear Power Plant Operations," Microeconomics 9502001, EconWPA, revised 06 Feb 1995.
    4. Andrews, Donald W K, 1988. "Chi-Square Diagnostic Tests for Econometric Models: Theory," Econometrica, Econometric Society, vol. 56(6), pages 1419-1453, November.
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    Cited by:

    1. Aguirregabiria, Victor & Mira, Pedro, 2010. "Dynamic discrete choice structural models: A survey," Journal of Econometrics, Elsevier, vol. 156(1), pages 38-67, May.
    2. Koop, Gary, 2001. "Bayesian inference in models based on equilibrium search theory," Journal of Econometrics, Elsevier, vol. 102(2), pages 311-338, June.
    3. M. Daniele Paserman, 2008. "Job Search and Hyperbolic Discounting: Structural Estimation and Policy Evaluation," Economic Journal, Royal Economic Society, vol. 118(531), pages 1418-1452, August.
    4. Susumu Imai & Neelam Jain & Andrew Ching, 2009. "Bayesian Estimation of Dynamic Discrete Choice Models," Econometrica, Econometric Society, vol. 77(6), pages 1865-1899, November.
    5. Sareen, Samita, 2003. "Reference Bayesian inference in nonregular models," Journal of Econometrics, Elsevier, vol. 113(2), pages 265-288, April.
    6. 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.).
    7. Andrew Ching & Susumu Imai & Masakazu Ishihara & Neelam Jain, 2012. "A practitioner’s guide to Bayesian estimation of discrete choice dynamic programming models," Quantitative Marketing and Economics (QME), Springer, vol. 10(2), pages 151-196, June.
    8. 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.
    9. Keane, Michael, 2003. "Comment on “Simulation and Estimation of Hedonic Models” by Heckman, Matzkin and Nesheim," MPRA Paper 55141, University Library of Munich, Germany.
    10. Aguirregabiria, Victor & Mira, Pedro, 2010. "Dynamic discrete choice structural models: A survey," Journal of Econometrics, Elsevier, vol. 156(1), pages 38-67, May.
    11. Geweke, John & Houser, Dan & Keane, Michael, 1999. "Simulation Based Inference for Dynamic Multinomial Choice Models," MPRA Paper 54279, University Library of Munich, Germany.
    12. Jiawei Chen, 2006. "Two-Sided Matching and Spread Determinants in the Loan Market," Working Papers 060702, University of California-Irvine, Department of Economics.

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