Recursive Models of Dynamic Linear Economies

Lars Peter Hansen, Thomas J. Sargent

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English

Princeton University Press
26 December 2013

Economic theory & philosophy; Econometrics

Series: The Gorman Lectures in Economics

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 Press
Country of Publication: United States
Dimensions: Height: 254mm, Width: 178mm, Spine: 33mm
Weight: 907g
ISBN: 9780691042770
ISBN 10: 0691042772
Series: The Gorman Lectures in Economics
Pages: 424
Publication Date: 26 December 2013
Audience: College/higher education , Professional and scholarly , A / AS level , Further / Higher Education
Format: Hardback
Publisher's Status: Active

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.