Christian Bontemps

Equilibrium Search with Continuous Productivity Dispersion: Theory and Nonparametric Estimation

In this article we develop an equilibrium search model with a continuous distribution of firm productivity types within a given labor market. We characterize equilibrium, derive expressions for the endogenous equilibrium wage distributions, and characterize the set of wage distributions that can be generated by the model. We develop a structural nonparametric estimation method for the productivity distribution. We estimate the model using French longitudinal survey data on labor supply, and we compare the results with those from a French panel data set of firms. The results are informative on the degree to which firms exploit search frictions.

Moment-Based Tests under Parameter Uncertainty

This paper considers moment-based tests applied to estimated quantities. We propose a general class of transforms of moments to handle the parameter uncertainty problem. The construction requires only a linear correction that can be implemented in sample and remains valid for some extended families of nonsmooth moments. We reemphasize the attractiveness of working with robust moments, which lead to testing procedures that do not depend on the estimator. Furthermore, no correction is needed when considering the implied test statistic in the out-of-sample case. We apply our methodology to various examples with an emphasis on the backtesting of value-at-risk forecasts.