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A common set of mathematical tools underlies dynamic optimization, dynamic estimation, and filtering. In Recursive Models of Dynamic Linear Economies, Lars Peter Hansen and Thomas Sargent use these tools to create a class of econometrically tractable models of prices and quantities. They present examples from microeconomics, macroeconomics, and asset pricing. The models are cast in terms of a representative consumer. While Hansen and Sargent demonstrate the analytical benefits acquired when an analysis with a representative consumer is possible, they also characterize the restrictiveness of assumptions under which a representative household justifies a purely aggregative analysis.
Lars Peter Hansen is the David Rockefeller Distinguished Service Professor at the University of Chicago, where he is also the research director of the Becker Friedman Institute. Thomas J. Sargent is professor of economics at New York University and a senior fellow at the Hoover Institution at Stanford University. His books include Rational Expectations and Inflation and The Conquest of American Inflation (both Princeton). Hansen and Sargent are the coauthors of Robustness (Princeton). Sargent was awarded the Nobel Prize in economics in 2011 and Hansen received it in 2013.
Show moreA common set of mathematical tools underlies dynamic optimization, dynamic estimation, and filtering. In Recursive Models of Dynamic Linear Economies, Lars Peter Hansen and Thomas Sargent use these tools to create a class of econometrically tractable models of prices and quantities. They present examples from microeconomics, macroeconomics, and asset pricing. The models are cast in terms of a representative consumer. While Hansen and Sargent demonstrate the analytical benefits acquired when an analysis with a representative consumer is possible, they also characterize the restrictiveness of assumptions under which a representative household justifies a purely aggregative analysis.
Lars Peter Hansen is the David Rockefeller Distinguished Service Professor at the University of Chicago, where he is also the research director of the Becker Friedman Institute. Thomas J. Sargent is professor of economics at New York University and a senior fellow at the Hoover Institution at Stanford University. His books include Rational Expectations and Inflation and The Conquest of American Inflation (both Princeton). Hansen and Sargent are the coauthors of Robustness (Princeton). Sargent was awarded the Nobel Prize in economics in 2011 and Hansen received it in 2013.
Show more*Frontmatter, pg. i*Contents, pg. vii*Preface, pg. xiii*Acknowledgments, pg. xv*Chapter 1. Theory and Econometrics, pg. 3*Chapter 2. Linear Stochastic Difference Equations, pg. 15*Chapter 3. Efficient Computations, pg. 33*Chapter 4. Economic Environments, pg. 61*Chapter 5. Optimal Resource Allocations, pg. 79*Chapter 6. A Commodity Space, pg. 125*Chapter 7. Competitive Economies, pg. 131*Chapter 8. Statistical Representations, pg. 153*Chapter 9. Canonical Household Technologies, pg. 191*Chapter 10. Examples, pg. 217*Chapter 11. Permanent IncomeModels, pg. 233*Chapter 12. Gorman Heterogeneous Households, pg. 253*Chapter 13. Complete Markets Aggregation, pg. 269*Chapter 14. Periodic Models of Seasonality, pg. 291*Appendix A. MATLAB Programs, pg. 327*References, pg. 379*Subject Index, pg. 393*Author Index, pg. 397*MATLAB Index, pg. 399*The Gorman Lectures in Economics, pg. 401
Lars Peter Hansen is the David Rockefeller Distinguished Service Professor at the University of Chicago, where he is also the research director of the Becker Friedman Institute. Thomas J. Sargent is professor of economics at New York University and a senior fellow at the Hoover Institution at Stanford University. His books include "Rational Expectations and Inflation" and "The Conquest of American Inflation" (both Princeton). Hansen and Sargent are the coauthors of "Robustness" (Princeton). Sargent was awarded the Nobel Prize in economics in 2011 and Hansen received it in 2013.
Lars Peter Hansen, Co-Winner of the 2013 Nobel Prize in Economics
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