Characterizations in a random record model with a non-identically distributed initial record
We consider a sequence of random length M of independent absolutely continuous observations Xi, 1 = i = M, where M is geometric, X1 has cdf G, and Xi, i = 2, have cdf F. Let N be the number of upper records and Rn, n = 1, be the nth record value. We show that N is free of F if and only if G(x) = G0(F (x)) for some cdf G0 and that if E (|X2|) is finite so is E |Rn|) for n = 2 whenever N = n or N = n. We prove that the distribution of N along with appropriately chosen subsequences of E(Rn) characterize F and G, and along with subsequences of E Rn - Rn-1) characterize F and G up to a common location shift. We discuss some applications to the identification of the wage offer distribution in job search models.
|Date of creation:||2005|
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- Gadi Barlevy & H. N. Nagaraja, 2006.
"Identification of Search Models with Initial Condition Problems,"
2006 Meeting Papers
4, Society for Economic Dynamics.
- Barlevy, Gadi & Nagaraja, H. N., 2006. "Identification of Search Models with Initial Condition Problems," IZA Discussion Papers 2061, Institute for the Study of Labor (IZA).
- Gadi Barlevy & H.N. Nagaraja, 2006. "Identification of Search Models with Initial Condition Problems," NBER Working Papers 12166, National Bureau of Economic Research, Inc.
- Gadi Barlevy & H. N. Nagaraja, 2006. "Identification of search models with initial condition problems," Working Paper Series WP-06-03, Federal Reserve Bank of Chicago.
- Eckstein, Zvi & van den Berg, Gerard J, 2004.
"Empirical Labour Search: A Survey,"
CEPR Discussion Papers
4199, C.E.P.R. Discussion Papers.
- Burdett, Kenneth & Mortensen, Dale T, 1998. "Wage Differentials, Employer Size, and Unemployment," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(2), pages 257-73, May.
- Eckstein, Zvi & Mortensen, Dale T., 2006. "Labor search," European Economic Review, Elsevier, vol. 50(4), pages 807-810, May.
- Gadi Barlevy, 2008. "Identification of Search Models using Record Statistics," Review of Economic Studies, Oxford University Press, vol. 75(1), pages 29-64.
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