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Recursive Models of Dynamic Linear Economies
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Lars Peter Hansen Thomas J. Sargent
Recursive Models of Dynamic Linear Economies by Lars Peter Hansen at Abbey's Bookshop,

Recursive Models of Dynamic Linear Economies

Lars Peter Hansen Thomas J. Sargent


9780691180731

Princeton University Pres


Business & Economics;
Economic theory & philosophy;
Econometrics


Paperback

424 pages

$69.00
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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.

Hansen and Sargent unite economic theory with a workable econometrics while going beyond and beneath demand and supply curves for dynamic economies. They construct and apply competitive equilibria for a class of linear-quadratic-Gaussian dynamic economies with complete markets. Their book, based on the 2012 Gorman lectures, stresses heterogeneity, aggregation, and how a common structure unites what superficially appear to be diverse applications. An appendix describes MATLAB programs that apply to the book's calculations.

By:   Lars Peter Hansen, Thomas J. Sargent
Imprint:   Princeton University Pres
Country of Publication:   United States
Dimensions:   Height: 254mm,  Width: 178mm, 
ISBN:   9780691180731
ISBN 10:   0691180733
Series:   The Gorman Lectures in Economics
Pages:   424
Publication Date:   June 2018
Audience:   College/higher education ,  Professional and scholarly ,  A / AS level ,  Further / Higher Education
Format:   Paperback
Publisher's Status:   Unspecified

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 Thomas J. Sargent, Winner of the 2011 Nobel Prize in Economics This book is chock full of results that will be useful to all interested in dynamic linear models, including material that will be novel to even the experienced macroeconomist. Buy it, read it, use it.---Kenneth D. West, Journal of Economic Literature Thomas J. Sargent, Winner of the 2011 Nobel Prize in Economics This book is chock full of results that will be useful to all interested in dynamic linear models, including material that will be novel to even the experienced macroeconomist. Buy it, read it, use it. --Kenneth D. West, Journal of Economic Literature


  • Joint winner of Co-Winner of the 2013 Nobel Prize in Economics 2013
  • Winner of Nobel Prize in Economics 2011
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