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An Empirical Small Labor Market Model for the Czech Economy

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Abstract

An empirical small labor market model for the Czech Republic is estimated in the state-space framework. Its purpose is joint modeling of the labor force, employment, wages, hours worked, output, and the GDP deflator in a consistent “structural” framework suitable for short-run forecasting. The model entails, in the long run, five driving forces: a trend labor force component, a trend labor productivity component, a long-run inflation rate, an unemployment trend, and a trend hours worked component. In the short run, the dynamics are governed by a VAR model. The model aims at describing co-movements in the labor-market variables, provides a model-based decomposition into the trend and cyclical components of the underlying series, and outperforms unrestricted VARs in forecasting. The paper also describes the second moments of labor market data at various frequencies and discusses to what extent these properties can be replicated by the data.

Suggested Citation

  • Jan Brùha, 2011. "An Empirical Small Labor Market Model for the Czech Economy," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(5), pages 434-449, November.
    • Handle: RePEc:fau:fauart:v:61:y:2011:i:5:p:434-449
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    More about this item

    Keywords

    structural time series; labor market; forecasting;
    All these keywords.

    JEL classification:

    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
    • J21 - Labor and Demographic Economics - - Demand and Supply of Labor - - - Labor Force and Employment, Size, and Structure

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