Estimation of Complete Equilibrium Systems Explaining Aggregate Unemployment, Employment and the Real Wage

摘要

The primary objective of the project is to estimate the parameters of the equilibrium job-search model developed by R.E. Lucas, Jr., and E. Prescott. The theoretical sections extend the model and put it into a form suitable for estimation. The empirical sections estimate both unconstrained and constrained vector autoregressions for U.S. aggregate data. The unconstrained models are estimated by least squares; the constrained models are estimated by nonlinear maximum likelihood. The results are mixed. The magnitudes and signs of the key parameters are consistent with the theory. Nonetheless, the general likelihood ratio test repeatedly rejects the model's nonlinear cross equation restrictions.